Related papers: Quantile hedging for an insider
We analyze the role of entanglement among probes and with external ancillas in quantum metrology. In the absence of noise, it is known that unentangled sequential strategies can achieve the same Heisenberg scaling of entangled strategies…
We extend the QLBS model by reformulating via considering a large trader whose transactions leave a permanent impact on the evolution of the exchange rate process and therefore affect the price of contingent claims on such processes.…
An asymmetric information model is introduced for the situation in which there is a small agent who is more susceptible to the flow of information in the market than the general market participant, and who tries to implement strategies…
We study a notion of good-deal hedging, that corresponds to good-deal valuation for generalized good-deal constraints. Under model uncertainty about the market prices of risk of hedging assets, a robust approach leads to a reduction or even…
Quadratic hedging of option payoffs generates the variance optimal martingale measure. When an option features an exercise policy and its cash flows are hedged according to this approach, it may be tempting to optimize such a policy under…
Quantum computers have the potential to provide an advantage for financial pricing problems by the use of quantum estimation. In a broader context, it is reasonable to ask about situations where the market and the assets traded on the…
In a seminal paper[JHEP09(2007)120], Hayden and Preskill showed that information can be retrieved from a black hole that is sufficiently scrambling, assuming that the retriever has perfect control of the emitted Hawking radiation and…
Pricing a multi-asset derivative is an important problem in financial engineering, both theoretically and practically. Although it is suitable to numerically solve partial differential equations to calculate the prices of certain types of…
The authors aim to develop numerical schemes of the two representative quadratic hedging strategies: locally risk minimizing and mean-variance hedging strategies, for models whose asset price process is given by the exponential of a normal…
We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to span all sources of uncertainty. If the agents have…
Black-Scholes implied volatility is a quantile. The insight follows from the normalized option price being a probability on the variance scale, with the inverse Gaussian distribution providing the link. It enables analytically exact and…
Among the many ways of quantifying uncertainty in a regression setting, specifying the full quantile function is attractive, as quantiles are amenable to interpretation and evaluation. A model that predicts the true conditional quantiles…
In this paper, our objective is to develop a multi-agent financial system that incorporates simulated trading, a technique extensively utilized by financial professionals. While current LLM-based agent models demonstrate competitive…
We investigate Quantum Target Ranging in the context of multi-hypothesis testing and its applicability to real-world LiDAR systems. First, we demonstrate that ranging is generally an easier task compared to the well-studied problem of…
In this paper, we investigate the Hamiltonian formulation of a spherically symmetric spacetime that corresponds to the interior of a Schwarzschild black hole. The resulting phase space involves two independent dynamical variables along with…
The price of a given stock is exactly known only at the time of sale when the stock is between the traders. If we know the price (owner) then we have no information on the owner (price). A more general description including cases when we…
Numerous empirical proofs indicate the adequacy of the time discrete auto-regressive stochastic volatility models introduced by Taylor in the description of the log-returns of financial assets. The pricing and hedging of contingent products…
In a quantum system, there may be many density matrices associated with a state on an algebra of observables. For each density matrix, one can compute its entropy. These are in general different. Therefore one reaches the remarkable…
We propose a dynamic network quantile regression model to investigate the quantile connectedness using a predetermined network information. We extend the existing network quantile autoregression model of Zhu et al. (2019b) by explicitly…
Pricing financial derivatives, in particular European-style options at different time-maturities and strikes, means a relevant problem in finance. The dynamics describing the price of vanilla options when constant volatilities and interest…