Related papers: Quantile hedging for an insider
Quantum initial state estimation through entanglement and continuous measurement is introduced. This paper provides a unified formulation of classical and quantum smoothing and shows a smoothing uncertainty relation. As an example, a…
We propose a new model for aggregating preferences over a set of indivisible items based on a quantile value. In this model, each agent is endowed with a specific quantile, and the value of a given bundle is defined by the corresponding…
We consider the discretized Bachelier model where hedging is done on an equidistant set of times. Exponential utility indifference prices are studied for path-dependent European options and we compute their non-trivial scaling limit for a…
We study a quadratic hedging problem for a sequence of contingent claims with random weights in discrete time. We obtain the optimal hedging strategy explicitly in a recursive representation, without imposing the non-degeneracy (ND)…
In real data analysis, the underlying model is usually unknown, modelling strategy plays a key role in the success of data analysis. Stimulated by the idea of model averaging, we propose a novel semiparametric modelling strategy for…
A central challenge in quantum information science and technology is achieving real-time estimation and feedforward control of quantum systems. This challenge is compounded by the inherent inhomogeneity of quantum resources, such as qubit…
We explore the quantum nature of black holes by introducing an effective framework that takes into account deviations from the classical results. The approach is based on introducing quantum corrections to the classical Schwarzschild…
We analyse two models of liquidity provision to determine the retail traders' preference for marketable order routing. Order internalization is captured by a model of market makers competing for the retail order flow in a Bertrand fashion.…
A set of zero-range scatterers along its axis lifts the integrability of a harmonic waveguide. Effective solution of the Schr\"odinger equation for this model is possible due to the separable nature of the scatterers and millions of…
We consider option hedging in a model where the underlying follows an exponential L\'evy process. We derive approximations to the variance-optimal and to some suboptimal strategies as well as to their mean squared hedging errors. The…
Quantifying uncertainty in black-box LLMs is vital for reliable responses and scalable oversight. Existing methods, which gauge a model's uncertainty through evaluating self-consistency in responses to the target query, can be misleading:…
We present the mathematical model of decision making (DM) of agents acting in a complex and uncertain environment (combining huge variety of economical, financial, behavioral, and geo-political factors). To describe interaction of agents…
Within a Markovian complete financial market, we consider the problem of hedging a Bermudan option with a given probability. Using stochastic target and duality arguments, we derive a backward numerical scheme for the Fenchel transform of…
We consider the problem of hedging a European contingent claim in a Bachelier model with transient price impact as proposed by Almgren and Chriss. Following the approach of Rogers and Singh and Naujokat and Westray, the hedging problem can…
Market makers play a key role in financial markets by providing liquidity. They usually fill order books with buy and sell limit orders in order to provide traders alternative price levels to operate. This paper focuses precisely on the…
As soon as one accepts to abandon the zero-risk paradigm of Black-Scholes, very interesting issues concerning risk control arise because different definitions of the risk become unequivalent. Optimal hedges then depend on the quantity one…
A logarithmic but divergent term usually appears in the computation of entanglement entropy circumferencing a black hole, while the leading quantum correction to the Bekenstein-Hawking entropy also takes the logarithmic form. A quench model…
Quantile is a popular performance measure for a stochastic system to evaluate its variability and risk. To reduce the risk, selecting the actions that minimize the tail quantiles of some loss distributions is typically of interest for…
In approaches to quantum theory in which the quantum state is regarded as a representation of knowledge, information, or belief, two agents can assign different states to the same quantum system. This raises two questions: when are such…
Recent applications of Operator Algebras to Quantum Field Theory on a Curved Spacetime show that the incremental entropy associated with a quantum black hole, due the addition of a short range charge, is quantized proportionally to the…