Related papers: Quantile hedging for an insider
We propose a novel computational procedure for quadratic hedging in high-dimensional incomplete markets, covering mean-variance hedging and local risk minimization. Starting from the observation that both quadratic approaches can be treated…
We study arbitrage opportunities, market viability and utility maximization in market models with an insider. Assuming that an economic agent possesses from the beginning an additional information in the form of a random variable G, which…
Based on the theory of quantum mechanics, intrinsic randomness in measurement distinguishes quantum effects from classical ones. From the perspective of states, this quantum feature can be summarized as coherence or superposition in a…
The usual theory of asset pricing in finance assumes that the financial strategies, i.e. the quantity of risky assets to invest, are real-valued so that they are not integer-valued in general, see the Black and Scholes model for instance.…
We investigate an empirical quantile estimation approach to solve chance-constrained nonlinear optimization problems. Our approach is based on the reformulation of the chance constraint as an equivalent quantile constraint to provide…
Hedging strategies in bond markets are computed by martingale representation and the Clark-Ocone formula under the choice of a suitable of numeraire, in a model driven by the dynamics of bond prices. Applications are given to the hedging of…
We discuss the time evolution of quotations of stocks and commodities and show that corrections to the orthodox Bachelier model inspired by quantum mechanical time evolution of particles may be important. Our analysis shows that traders…
We study the propagation of the quantum field perturbations in the interior of the Schwarzschild black hole. The interior of the black hole is like an anisotropic cosmological background which expands in one extended direction while…
An investor faced with a contingent claim may eliminate risk by perfect hedging, but as it is often quite expensive, he seeks partial hedging (quantile hedging or efficient hedging) that requires less capital and reduces the risk. Efficient…
We present our approach to the problem of how an agent, within an economic Multi-Agent System, can determine when it should behave strategically (i.e. learn and use models of other agents), and when it should act as a simple price-taker. We…
This paper does not suppose a priori that the evolution of the price of a financial asset is a semimartingale. Since possible strategies of investors are self-financing, previous prices are forced to be finite quadratic variation processes.…
An agent-based modelling methodology for the joint price evolution of two stocks is put forward. The method models future multidimensional price trajectories reflecting how a class of agents rebalance their portfolios in an operational way…
The influence of additional information on the decision making of agents, who are interacting members of a society, is analyzed within the mathematical framework based on the use of quantum probabilities. The introduction of social…
We initiate a novel direction in randomized social choice by proposing a new definition of agent utility for randomized outcomes. Each agent has a preference over all outcomes and a {\em quantile} parameter. Given a {\em lottery} over the…
We propose a deep learning approach to study the minimal variance pricing and hedging problem in an incomplete jump diffusion market. It is based upon a rigorous stochastic calculus derivation of the optimal hedging portfolio, optimal…
In a classical regression model, it is usually assumed that the explanatory variables are independent of each other and error terms are normally distributed. But when these assumptions are not met, situations like the error terms are not…
Beginning with several basic hypotheses of quantum mechanics, we give a new quantum model in econophysics. In this model, we define wave functions and operators of the stock market to establish the Schr\"odinger equation for the stock…
Quantile regression provides a framework for modeling statistical quantities of interest other than the conditional mean. The regression methodology is well developed for linear models, but less so for nonparametric models. We consider…
Speculative trading can drive pronounced market instabilities, yet existing regulatory and macroprudential tools intervene only after such dynamics emerge. Quantum technologies offer a fundamentally new means of shaping economic behavior by…
We quantize the Oppenheimer-Snyder model of black hole using the integral quantization method. We treat spatial and temporal coordinates on the same footing both at classical and quantum levels. Our quantization resolves or smears the…