Treffer: A unified framework for robust modelling of financial markets in discrete time

We unify and establish equivalence between the pathwise and the quasi-sure approaches to robust modelling of financial markets in finite discrete time. In particular, we prove a fundamental theorem of asset pricing and a superhedging theorem which encompass the formulations of Bouchard and Nutz [12] and Burzoni et al. [13]. In bringing the two streams of literature together, we examine and compare their many different notions of arbitrage. We also clarify the relation between robust and classical ℙ-specific results. Furthermore, we prove when a superhedging property with respect to the set of martingale measures supported on a set Ω $\Omega $ of paths may be extended to a pathwise superhedging on Ω $\Omega $ without changing the superhedging price. ; Robust pricing and hedging, Superhedging, Model-independent arbitrage, Dynamic programming principle ; 91G20, 60G42