Mon, 13 May 2024
15:30
Lecture Room 3

Martingale model risk

Prof Nizar Touzi
(NYU)
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.

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