Related papers: Quantile hedging for an insider
We propose a method to assess the intrinsic risk carried by a financial position $X$ when the agent faces uncertainty about the pricing rule assigning its present value. Our approach is inspired by a new interpretation of the quasiconvex…
We introduce ways to measure information storage in quantum systems, using a recently introduced computation-theoretic model that accounts for measurement effects. The first, the quantum excess entropy, quantifies the shared information…
One approach to the analysis of stochastic fluctuations in market prices is to model characteristics of investor behaviour and the complex interactions between market participants, with the aim of extracting consequences in the aggregate.…
In this paper, the Kyle model of insider trading is extended by characterizing the trading volume with long memory and allowing the noise trading volatility to follow a general stochastic process. Under this newly revised model, the…
This paper consists of two parts. In the first part we prove the fundamental theorem of asset pricing under short sales prohibitions in continuous-time financial models where asset prices are driven by nonnegative, locally bounded…
The inference of entangled quantum states by recourse to the maximum entropy principle is considered in connection with the recently pointed out problem of fake inferred entanglement [R. Horodecki, {\it et al.}, Phys. Rev. A {\it 59} (1999)…
Quantiles are often used for summarizing and understanding data. If that data is sensitive, it may be necessary to compute quantiles in a way that is differentially private, providing theoretical guarantees that the result does not reveal…
This paper explores the utility of agent-based simulations in realistically modelling market structures and sheds light on the nuances of optimal dealer strategies. It underscores the contrast between conclusions drawn from probabilistic…
In this work, we give a generalized formulation of the Black-Scholes model. The novelty resides in considering the Black-Scholes model to be valid on 'average', but such that the pointwise option price dynamics depends on a measure…
This paper studies the model risk of the Black-Scholes (BS) model in pricing and risk-managing variable annuities motivated by its wide usage in the insurance industry. Specifically, we derive a model-free decomposition of the no-arbitrage…
We study pricing and hedging under parameter uncertainty for a class of Markov processes which we call generalized affine processes and which includes the Black-Scholes model as well as the constant elasticity of variance (CEV) model as…
For a bi-partite quantum system defined in a finite dimensional Hilbert space we investigate in what sense entanglement change and interactions imply each other. For this purpose we introduce an entanglement operator, which is then shown to…
We extend quantum trajectory theory to encompass the evolution of a large class of open quantum systems interacting with an environment at {arbitrary coupling strength}. Specifically, we prove that general time-local quantum master…
We derive, from first principles, the complete Luttinger liquid theory of abelian quantum Hall edge states. This theory includes the effects of disorder and Coulomb interactions as well as the coupling to external electromagnetic fields. We…
Hawking radiation from a black hole can be viewed as quantum tunneling of particles through the event horizon. Using this approach we provide a general framework for studying corrections to the entropy of black holes beyond semiclassical…
The issue of black hole entropy is reexamined within a finite lattice framework along the lines of Wheeler, 't Hooft and Susskind, with an additional criterion to identify physical horizon states contributing to the entropy. As a…
Understanding treatment effect heterogeneity is vital to many scientific fields because the same treatment may affect different individuals differently. Quantile regression provides a natural framework for modeling such heterogeneity. We…
The analysis of decision-making process in electricity markets is crucial for understanding and resolving issues related to market manipulation and reduced social welfare. Traditional Multi-Agent Reinforcement Learning (MARL) method can…
A nonlocal quantum approach is presented to polarimetry, leveraging the phenomenon of entanglement in photon pairs to enhance the precision in sample property determination. By employing two distinct channels, one containing the sample of…
A general mathematical framework is presented to describe local equivalence classes of multipartite quantum states under the action of local unitary and local filtering operations. This yields multipartite generalizations of the singular…