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Robust no-free lunch with vanishing risk, a continuum of assets and proportio...
We propose a continuous time model for financial markets with proportional transactions costs and a continuum of risky assets. This is motivated by bond markets in... -
Stress-Test Exercises and the Pricing of Very Long-Term Bonds
In the first part of this thesis, we introduce a new methodology for stress-test exercises. Our approach allows to consider richer stress-test exercises, which assess...
