Related papers: Quantile hedging for an insider
We consider a semiparametric generalized linear model and study estimation of both marginal and quantile effects in this model. We propose an approximate maximum likelihood estimator, and rigorously establish the consistency, the asymptotic…
We train neural networks to learn optimal replication strategies for an option when two replicating instruments are available, namely the underlying and a hedging option. If the price of the hedging option matches that of the Black--Scholes…
We study in detail and explicitly solve the version of Kyle's model introduced in a specific case in \cite{BB}, where the trading horizon is given by an exponentially distributed random time. The first part of the paper is devoted to the…
Randomized measurements constitute a simple measurement primitive that exploits the information encoded in the outcome statistics of samples of local quantum measurements defined through randomly selected bases. In this work we exploit the…
In this article, we investigate the behavior of long-term options. In many cases, option prices follow an exponential decay (or growth) rate for further maturity dates. We determine under what conditions option prices are characterized by…
We derive new formulas for the price of the European call and put options in the Black-Scholes model, under the form of uniformly convergent series generalizing previously known approximations. We also provide precise boundaries for the…
We revisit the dynamics of a black hole accreting energy from a surrounding homogeneous and infinite space. We argue for a simple heuristic modification of the Schwarzschild approximation when the density of the medium is not negligible…
Considerable attention has been paid to the study of the quantum geometry of nonrotating black holes within the framework of Loop Quantum Cosmology. This interest has been reinvigorated since the introduction of a novel effective model by…
We consider the problem of determining the mixed quantum state of a large but finite number of identically prepared quantum systems from data obtained in a sequence of ideal (von Neumann) measurements, each performed on an individual copy…
We examine the possibility of incorporating information or views of market movements during the holding period of a portfolio, in the hedging of European options with respect to the underlying. Given a fixed holding period interval, we…
Eigenvalues arising in scattering theory have been envisioned as a potential source of target signatures in nondestructive testing of materials, whereby perturbations of the eigenvalues computed for a penetrable medium would be used to…
We solve the superhedging problem for European options in an illiquid extension of the Black-Scholes model, in which transactions have transient price impact and the costs and the strategies for hedging are affected by physical or cash…
This paper studies a semiparametric quantile regression model with endogenous variables and random right censoring. The endogeneity issue is solved using instrumental variables. It is assumed that the structural quantile of the logarithm of…
We propose a resource theory of the quantum invasiveness of general quantum operations, i.e., those defined by quantum channels in Leggett-Garg scenarios. We are then able to compare the resource-theoretic framework of quantum invasiveness…
We introduce the notion of hidden quantum correlations. We present the mean values of observables depending on one classical random variable described by the probability distribution in the form of correlation functions of two (three, etc.)…
We consider a model of linear market impact, and address the problem of replicating a contingent claim in this framework. We derive a non-linear Black-Scholes Equation that provides an exact replication strategy. This equation is fully…
We proposed classification models that utilize the result from the Quasi-Reversibility Method, which solves the Black-Scholes equation to forecast the option prices one day in advance. Combining the minimizer from QRM with our machine…
This paper considers the nonlinear theory of G-martingales as introduced by Peng. A martingale representation theorem for this theory is proved by using the techniques and the results established in an accompanying paper for the second…
Quantum systems with real energies generated by an apparently non-Hermitian Hamiltonian may re-acquire the consistent probabilistic interpretation via an ad hoc metric which specifies the set of observables in the updated Hilbert space of…
Differential equations can be used to construct predictive models of a diverse set of real-world phenomena like heat transfer, predator-prey interactions, and missile tracking. In our work, we explore one particular application of…