Related papers: Convex pricing by a generalized entropy penalty
This paper defines a strong convertible nonconvex(SCN) function for solving the unconstrained optimization problems with the nonconvex or nonsmooth(nondifferentiable) function. First, many examples of SCN function are given, where the SCN…
We present here a regress later based Monte Carlo approach that uses neural networks for pricing high-dimensional contingent claims. The choice of specific architecture of the neural networks used in the proposed algorithm provides for…
In this note, a new formulation of Model Predictive Control (MPC) framework with no stability-related terminal constraint is proposed and its stability is proved under mild standard assumptions. The novelty in the formulation lies in the…
We analyse the relationship between the full additivity of the entanglement cost and its full monotonicity under local operations and classical communication. We show that the two properties are equivalent for the entanglement cost. The…
Extension problems for polynomial valuations on different cones of convex functions are investigated. It is shown that for the classes of functions under consideration, the extension problem reduces to a simple geometric obstruction on the…
A subordinate Brownian motion is a L\'evy process which can be obtained by replacing the time of the Brownian motion by an independent subordinator. The infinitesimal generator of a subordinate Brownian motion is $-\phi(-\Delta)$, where…
Recent results, establishing evidence of intractability for such restrictive utility functions as additively separable, piecewise-linear and concave, under both Fisher and Arrow-Debreu market models, have prompted the question of whether we…
We study the problem of determination of asset prices in an incomplete market proposing three different but related scenarios. One scenario uses a market game approach whereas the other two are based on risk sharing or regret minimizing…
This paper is devoted to a study of robust fundamental theorems of asset pricing in discrete time and finite horizon settings. Uncertainty is modelled by a (possibly uncountable) family of price processes on the same probability space. Our…
Generalized entropic projections and dominating points are solutions to convex minimization problems related to conditional laws of large numbers. They appear in many areas of applied mathematics such as statistical physics, information…
The monotone rearrangement of a function is the non-decreasing function with the same distribution. The convex rearrangement of a smooth function is obtained by integrating the monotone rearrangement of its derivative. This operator can be…
This work proposes an implementable proximal-type method for a broad class of optimization problems involving nonsmooth and nonconvex objective and constraint functions. In contrast to existing methods that rely on an ad hoc model…
We consider a generic market model with a single stock and with random volatility. We assume that there is a number of tradable options for that stock with different strike prices. The paper states the problem of finding a pricing rule that…
We propose a new definition for tameness within the model of security prices as It\^o processes that is risk-aware. We give a new definition for arbitrage and characterize it. We then prove a theorem that can be seen as an extension of the…
The Lebesgue property (order-continuity) of a monotone convex function on a solid vector space of measurable functions is characterized in terms of (1) the weak inf-compactness of the conjugate function on the order-continuous dual space,…
In the quest for market mechanisms that are easy to implement, yet close to optimal, few seem as viable as posted pricing. Despite the growing body of impressive results, the performance of most posted price mechanisms however, rely…
We study time consistent dynamic pricing mechanisms of European contingent claims under uncertainty by using G framework introduced by Peng ([24]). We consider a financial market consisting of a riskless asset and a risky stock with price…
We consider the problem of choosing prices of a set of products so as to maximize profit, taking into account self-elasticity and cross-elasticity, subject to constraints on the prices. We show that this problem can be formulated as…
We consider a discrete-time model of a financial market where a risky asset is bought and sold with transactions having a transient price impact. It is shown that the corresponding utility maximization problem admits a solution. We manage…
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…