A trajectorial interpretation of Doobs martingale inequalities, Ann. Appl. Probab, 2012. ,
A MODEL-FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER-REPLICATION THEOREM, Mathematical Finance, vol.41, issue.5 ,
DOI : 10.1111/mafi.12060
Model-independent Bounds for Option Prices: A Mass-Transport Approach, preprint arXiv:1106, Finance and Stochastics, vol.5929, 2013. ,
On a problem of optimal transport under marginal martingale constraints, preprint, 2012. ,
Prices of State-Contingent Claims Implicit in Option Prices, The Journal of Business, vol.51, issue.4, p.621651, 1978. ,
DOI : 10.1086/296025
Décomposition polaire et réarrangement monotone des champs de vecteurs, C. R. Acad. Sci. Paris Sci. Paris Série I Math, vol.305, pp.805-808, 1987. ,
Robust Hedging of Barrier Options, Mathematical Finance, vol.11, issue.3, p.285314, 2001. ,
DOI : 10.1111/1467-9965.00116
On a class of multidimensional optimal transportation problems, Journal of convex analysis, vol.10, issue.2, pp.517-529, 2003. ,
Local variance Gamma option pricing model, presentation, IBCI conference, 2009. ,
DOI : 10.1111/mafi.12086
URL : http://arxiv.org/abs/1308.2326
From local volatility to local Lévy models, Quantitative Finance, 2004. ,
Necessary and suffcient conditions for no static arbitrage among european calls. Courant Institute, 2004. ,
Conditions on option prices for absence of arbitrage and exact calibration, Journal of Banking and Finance, issue.11, p.3133773397, 2007. ,
Pathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping, The Annals of Applied Probability, vol.18, issue.5, p.18701896, 2008. ,
DOI : 10.1214/07-AAP507
Robust Hedging of Double Touch Barrier Options, SIAM Journal on Financial Mathematics, vol.2, issue.1, p.141182, 2011. ,
DOI : 10.1137/090777487
Robust pricing and hedging of double no-touch options, Finance and Stochastics, vol.12, issue.3, p.573605, 2011. ,
DOI : 10.1007/s00780-011-0154-z
Root???s barrier: Construction, optimality and applications to variance options, The Annals of Applied Probability, vol.23, issue.3, 2012. ,
DOI : 10.1214/12-AAP857
Static arbitrage bounds on basket option prices, Mathematical Programming, Series A, vol.17, issue.1063, pp.467-489, 2006. ,
THE RANGE OF TRADED OPTION PRICES, Mathematical Finance, vol.36, issue.1, p.114, 2007. ,
DOI : 10.1073/pnas.37.12.826
Arbitrage Bounds for Prices of Options on Realized Variance, Math. Finance, 2012. ,
Robust hedging and martingale optimal transport in continuous time, preprint, 2012. ,
Robust Hedging under Proportional Transaction Costs, 2013. ,
On extremal martingale distributions, Proc. Fifth Berkeley Symp. on Math. Statist. and Prob, vol.2, issue.1, pp.295-299, 1967. ,
Pricing with a Smile, Risk Magazine, vol.7, pp.18-20, 1994. ,
A stochastic control approach to no-arbitrage bounds given marginals, with an application to Lookback options, Annals of Applied Probability, 2013. ,
Optimal maps for the multidimensional Monge-Kantorovich problem, Communications on Pure and Applied Mathematics, vol.51, issue.1, pp.23-45, 1998. ,
DOI : 10.1002/(SICI)1097-0312(199801)51:1<23::AID-CPA2>3.0.CO;2-H
Being particular about calibration, Available at SSRN: http://ssrn.com/abstract=1885032, Risk magazine, 2012. ,
Maximum Maximum of Martingales Given Marginals, SSRN Electronic Journal ,
DOI : 10.2139/ssrn.2031461
A new proof of Kellerer's theorem, ESAIM: Probability and Statistics, pp.48-60, 2012. ,
Robust hedging of the lookback option, Finance and Stochastics, vol.2, issue.4, pp.329-347, 1998. ,
DOI : 10.1007/s007800050044
The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices, Paris-Princeton Lectures on Mathematical Finance, p.267318, 2003. ,
DOI : 10.1007/978-3-642-14660-2_4
Model independent hedging strategies for variance swaps, to appear in, Finance and Stochastics, 2012. ,
ROBUST BOUNDS FOR FORWARD START OPTIONS, Mathematical Finance, vol.41, issue.1, pp.31-56, 2012. ,
DOI : 10.1111/j.1467-9965.2010.00473.x
The minimum maximum of a continuous martingale with given initial and terminal laws, The Annals of Probability, vol.30, issue.2, p.978999, 2002. ,
DOI : 10.1214/aop/1023481014
Local martingales and the fundamental asset pricing theorems in the discrete-time case, Finance and Stochastics, vol.2, issue.3, pp.259-273, 1998. ,
DOI : 10.1007/s007800050040
???tude des solutions extr???males et repr???sentation int???grale des solutions pour certains probl???mes de martingales, Zeitschrift f???r Wahrscheinlichkeitstheorie und Verwandte Gebiete, vol.283, issue.2, pp.83-125, 1977. ,
DOI : 10.1007/BF00533303
Model-independent lower bound on variance swaps, preprint, 2009. ,
Sharp Upper and Lower Bounds for Basket Options, SSRN Electronic Journal, vol.12, issue.3, pp.253-282, 2005. ,
DOI : 10.2139/ssrn.578146
Root's Barrier, Viscosity Solutions of Obstacle Problems and Reflected FBSDEs ,
The Skorokhod embedding problem and its offspring, Probab. Surv, vol.1, p.321390, 2004. ,
Uniqueness and Monge Solutions in the Multimarginal Optimal Transportation Problem, SIAM Journal on Mathematical Analysis, vol.43, issue.6, pp.2758-2775, 2011. ,
DOI : 10.1137/100804917
The Existence of Probability Measures with Given Marginals, The Annals of Mathematical Statistics, vol.36, issue.2, pp.423-439, 1965. ,
DOI : 10.1214/aoms/1177700153
Optimal Transportation, Old and New, Series Grundlehren der mathematischen Wissenschaften, 2009. ,