Related papers: On the Dybvig-Ingersoll-Ross Theorem
Cox-Ingersoll-Ross (CIR) processes are widely used in financial modeling such as in the Heston model for the approximative pricing of financial derivatives. Moreover, CIR processes are mathematically interesting due to the irregular square…
The article presents a general discrete time dividend valuation model when the dividend growth rate is a general continuous variable. The main assumption is that the dividend growth rate follows a discrete time semi-Markov chain with…
With the emergence of precision medicine, estimating optimal individualized decision rules (IDRs) has attracted tremendous attention in many scientific areas. Most existing literature has focused on finding optimal IDRs that can maximize…
We study utility indifference prices and optimal purchasing quantities for a contingent claim, in an incomplete semi-martingale market, in the presence of vanishing hedging errors and/or risk aversion. Assuming that the average indifference…
We identify a notion of reducibility between predicates, called instance reducibility, which commonly appears in reverse constructive mathematics. The notion can be generally used to compare and classify various principles studied in…
This article presents an empirical study of thirteen derivative markets for commodity and financial assets. It compares the statistical properties of futures contracts's daily returns at different maturities, from 1998 to 2010 and for…
We prove limit theorems for the super-replication cost of European options in a Binomial model with friction. The examples covered are markets with proportional transaction costs and the illiquid markets. The dual representation for the…
We study how a decision-maker (DM) learns from data of unknown quality to form robust, ''general-purpose'' posterior beliefs. We develop a framework for robust learning and belief formation under a minimax-regret criterion, cast as a…
It was generally believed throughout the 20-th century that irreversibility is a purely classical event without operator counterpart. However, a classical irreversible system cannot be consistently decomposed into a finite number of…
As operators acting on the undetermined final settlement of a derivative security, expectation is linear but price is non-linear. When the market of underlying securities is incomplete, non-linearity emerges from the bid-offer around the…
Despite the many applications of rate-independent systems, their regularity theory is still largely unexplored. Usually, only weak solution with potentially very low regularity are considered, which requires non-smooth techniques. In this…
We provide a unified framework for modeling LIBOR rates using general semimartingales as driving processes and generic functional forms to describe the evolution of the dynamics. We derive sufficient conditions for the model to be…
We establish deterministic necessary and sufficient conditions for the no-arbitrage notions "no increasing profit" (NIP), "no strong arbitrage" (NSA) and "no unbounded profit with bounded risk" (NUPBR) in one-dimensional general diffusion…
Irreversibility and acausality of a sub-system are established in exactly soluble harmonic models with reversible and causal dynamics. It is shown that initial conditions, imposed on some dynamical degrees of freedom may break time reversal…
We establish a finite-dimensional version of the Arveson-Stinespring dilation theorem for unital completely positive maps on operator systems. This result can be seen as a general principle to deduce finite-dimensional dilation theorems…
We show that the martingale component in the long-term factorization of the stochastic discount factor due to Alvarez and Jermann (2005) and Hansen and Scheinkman (2009) is highly volatile, produces a downward-sloping term structure of bond…
We introduce a first theory of price impact in presence of an interest-rates term structure. We explain how one can formulate instantaneous and transient price impact on bonds with different maturities, including a cross price impact that…
In this paper, we give a Breiman's theorem for conditional dependent random vector, where one component has a regularly-varying-tailed distribution with the index $\alpha\ge0$ and its slowly varying function satisfies a relaxed condition,…
Applying historical data from the USD LIBOR transition period, we estimate a joint model for SOFR, Fed Funds, and Eurodollar futures rates as well as spot USD LIBOR and term repo rates. The framework endogenously models basis spreads…
We show that Yang-Mills matrix integrals remain convergent when a Myers term is added, and stay in the same topological class as the original model. It is possible to add a supersymmetric Myers term and this leaves the partition function…