Applied Nonlinear Analysis, 1984. ,
Arbitrage theory,in continuous time, 1998. ,
The Mathematics of Arbitrage, 2006. ,
Convex measures of risk and trading constraints, Finance and Stochastics, vol.6, issue.4, pp.429-447, 2002. ,
DOI : 10.1007/s007800200072
Stochastic finance : an introduction in discrete time, De Gruyter Studies in Math, 2002. ,
Dirichlet forms and analysis on Wiener space, De Gruyter Studies in Math, 1991. ,
Brownian Motion and Stochastic Calculus, 1988. ,
Function spaces and capacity related to a sublinear expectation : application to g-brownian motion pathes. Preprint, disponible sur http, 2008. ,
Introduction au calcul stochastique appliqué à la finance. Ellipses, 1999. ,
Pricing and hedging derivative securities in markets with uncertain volatilities, Journal of Applied Finance, vol.1, 1995. ,
Thinking coherently, Risk, vol.10, pp.68-71, 1997. ,
Coherent measures of risk, Math. Finance, vol.9, issue.3, pp.203-228, 1999. ,
Coherent multiperiod risk adjusted values and bellman's principle, Annals of Operations Research, vol.152, issue.1, pp.5-22, 2007. ,
Dynamic monetary risk measures for bounded discrete time processes, Electronical Journal of Probability, vol.11, pp.57-106, 2006. ,
Continuous Martingale and Brownian Motion, 1994. ,
Functional Analysis, 1974. ,
Analyse réelle et complexe, 1977. ,
On the coherence of expected shortfall, Journal of Banking & Finance, vol.26, issue.7, pp.1487-1503, 2002. ,
DOI : 10.1016/S0378-4266(02)00283-2
Expected shortfall as a tool for financial risk management. Working Paper, disponible sur http, 2001. ,
Inf-convolution of risk measures and optimal risk transfer, Finance and Stochastics, vol.9, issue.2, pp.269-298, 2005. ,
DOI : 10.1007/s00780-005-0152-0
Pricing, hedging and optimally designing derivatives via minimization of risk measures, 2007. ,
Conditional risk measure and robust representation of convex conditional risk measures, CMAP Preprint, vol.557, 2004. ,
Dynamic risk measures: Time consistency and risk measures from BMO martingales, Finance and Stochastics, vol.9, issue.2, pp.219-244, 2008. ,
DOI : 10.1007/s00780-007-0057-1
Time consistent dynamic risk processes, Stochastic Processes and their Applications, 2008. ,
The Pricing of Options and Corporate Liabilities, Journal of Political Economy, vol.81, issue.3, pp.637-659, 1973. ,
DOI : 10.1086/260062
Equilibrium in a Reinsurance Market, Econometrica, vol.30, issue.3, pp.424-444, 1962. ,
DOI : 10.2307/1909887
Pricing with coherent risk. Probability Theory and its applications, pp.506-540, 2007. ,
Equilibrium with coherent risk. Preprint, available at, 2008. ,
Theory of capacities Annales de l'Institut Fourier, pp.131-295, 1955. ,
Forme abstraite du théorème de capacitabilité. Annales de l'Institut Fourier, pp.83-89, 1959. ,
DOI : 10.5802/aif.87
URL : http://archive.numdam.org/article/AIF_1959__9__83_0.pdf
Weather derivatives by marginal value, Quantitative Finance, vol.1, pp.1-4, 2001. ,
DOI : 10.1080/713665730
URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.424.6682
A remark on slutsky's theorem. Séminaire de probabilités de Strasbourg, pp.313-315, 1999. ,
Coherent risk measures on general probability spaces Advances in finance and stochastics, pp.1-37, 2002. ,
The Structure of m???Stable Sets and in Particular of the Set of Risk Neutral Measures, Lecture Notes in Mathematics, vol.1874, pp.215-258, 2006. ,
DOI : 10.1007/978-3-540-35513-7_17
A Compactness Principle for Bounded Sequences of Martingales with Applications, Proceedings of the Seminar of Stochastic Analysis, Random Fields and Applications, Progress in Probability, pp.137-173, 1999. ,
DOI : 10.1007/978-3-0348-8681-9_10
A theorical framework for the pricing of continent claims in the presence of model uncertainty. The Annals of Applied Probability, pp.827-852, 2006. ,
Conditional and dynamic convex risk measures, Finance and Stochastics, vol.9, issue.4, 2005. ,
DOI : 10.1007/s00780-005-0159-6
URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.453.4944
Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market, SIAM Journal on Control and Optimization, vol.33, issue.1, pp.29-66, 1995. ,
DOI : 10.1137/S0363012992232579
Pricing via utility maximisation and entropy, Mathematical Finance, vol.10, pp.259-276, 2000. ,
Extreme value theory : Potential and limitations as an integrated risk management tool, Derivatives Use, Trading and Regulations, vol.6, pp.449-456, 2000. ,
Espaces de Sobolev gaussiens, Annales de l???institut Fourier, vol.39, issue.4, pp.875-908, 1989. ,
DOI : 10.5802/aif.1193
URL : http://archive.numdam.org/article/AIF_1989__39_4_875_0.pdf
Convex risk measures beyond bounded risks, or the canonical model space for law-invariant convex risk measures is l 1 . VIF working paper series, 2008. ,
Dynamic convex risk measures. Risk Measures for the 21st Century, 2004. ,
Maxmin expected utility with non-unique prior, Journal of Mathematical Economics, vol.18, issue.2, pp.141-153, 1989. ,
DOI : 10.1016/0304-4068(89)90018-9
URL : https://hal.archives-ouvertes.fr/hal-00753237
Minimax Tests and the Neyman-Pearson Lemma for Capacities, The Annals of Statistics, vol.1, issue.2, pp.251-263, 1973. ,
DOI : 10.1214/aos/1176342363
The asymptotic elasticity of utility functions and optimal investement in incomplete markets, The Annals of Applied Probability, vol.9, issue.3, pp.904-950, 1999. ,
Necessary and su ?cient conditions in the problem of optimal investment in incomplete markets, The Annals of Applied Probability, vol.13, issue.4, 2003. ,
Uncertain volatility and the risk-free synthesis of derivatives, Applied Mathematical Finance, vol.20, issue.2, pp.117-133, 1995. ,
DOI : 10.1002/cpa.3160450103
Optimum consumption and portfolio rules in a continuous-time model, Journal of Economic Theory, vol.3, issue.4, pp.373-413, 1971. ,
DOI : 10.1016/0022-0531(71)90038-X
Backward sde and related g-expectation ,
Filtration Consistent Nonlinear Expectations and Evaluations of Contingent Claims, Acta Mathematicae Applicatae Sinica, English Series, vol.30, issue.2, pp.1-24, 2004. ,
DOI : 10.1007/s004400050214
Nonlinear expectations, nonlinear evaluations and risk measures Stochastics Methods in finance, pp.165-253, 2004. ,
NONLINEAR EXPECTATIONS AND NONLINEAR MARKOV CHAINS, Chinese Annals of Mathematics, vol.26, issue.02, pp.159-184, 2005. ,
DOI : 10.1142/S0252959905000154
G-expectation, g-brownian motion and related stochastic calculus of ito's type. Preprint, disponible sur http, 2006. ,
Multi-dimentional g-brownian motion and related stochastic calculus under g-expectation. Preprint, disponible sur http, 2006. ,
DOI : 10.1016/j.spa.2007.10.015
URL : http://doi.org/10.1016/j.spa.2007.10.015
Law of large numbers and central limit theorem under nonlinear expectations . Preprint, disponible sur http, 2007. ,
Optimal Portfolio in a Multiple-Priors Model, Progress in Probability, pp.291-321, 2004. ,
DOI : 10.1007/978-3-0348-7943-9_18
Dynamic coherent risk measures, Stochastic Processes and their Applications, pp.185-200, 2004. ,
A single number can't hedge against economic catastrophes, Ambio, vol.28, issue.6, pp.550-555, 1999. ,
Duality theory for optimal investments under model uncertainty, Statistics & Decisions, vol.23, issue.3/2005, pp.199-217, 2005. ,
DOI : 10.1524/stnd.2005.23.3.199
Worst case model risk management, Finance and Stochastics, vol.6, issue.4, pp.517-537, 2002. ,
DOI : 10.1007/s007800200074
URL : https://hal.archives-ouvertes.fr/inria-00072259
Convex Analysis, 1970. ,
DOI : 10.1515/9781400873173
Theory of Games and Economic Behavior, 1944. ,