Li, Lujun; Shao, Hui; Wang, Ruodu; Yang, Jingping Worst-case range value-at-risk with partial information. (English) Zbl 1408.91240 SIAM J. Financ. Math. 9, No. 1, 190-218 (2018). MSC: 91G70 60E15 62H10 PDFBibTeX XMLCite \textit{L. Li} et al., SIAM J. Financ. Math. 9, No. 1, 190--218 (2018; Zbl 1408.91240) Full Text: DOI
De Marco, Stefano; Henry-Labordère, Pierre Linking vanillas and VIX options: a constrained martingale optimal transport problem. (English) Zbl 1386.91138 SIAM J. Financ. Math. 6, 1171-1194 (2015). Reviewer: Pavel Stoynov (Sofia) MSC: 91G20 49N15 90C05 90C34 90C46 PDFBibTeX XMLCite \textit{S. De Marco} and \textit{P. Henry-Labordère}, SIAM J. Financ. Math. 6, 1171--1194 (2015; Zbl 1386.91138) Full Text: DOI Link
Wang, Ruodu; Bignozzi, Valeria; Tsanakas, Andreas How superadditive can a risk measure be? (English) Zbl 1338.91080 SIAM J. Financ. Math. 6, 776-803 (2015). MSC: 91B30 62P05 91G70 PDFBibTeX XMLCite \textit{R. Wang} et al., SIAM J. Financ. Math. 6, 776--803 (2015; Zbl 1338.91080) Full Text: DOI Link