The Graduate Program in Mathematics and Applications of PSL University offers scholarships for students willing to enrol in the PSL Master of Mathematics Master (M1 or M2) for 2024-2025. The teaching language is English and the program is based on the research teams in mathematics at CEREMADE (Paris-Dauphine-PSL), at DMA (Ecole Normale Supérieure - PSL), at the Ecole des Mines Paris-PSL , at the Paris Observatory-PSL, at the EHESS, and Collège de France.
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Martingale model risk
Abstract
We consider the general framework of distributionally robust optimization under a martingale restriction. We provide explicit expressions for model risk sensitivities in this context by considering deviations in the Wasserstein distance and the corresponding adapted one. We also extend the dual formulation to this context.