Related papers: Perfect and partial hedging for swing game options…

In this paper, we consider the problem of equal risk pricing and hedging in which the fair price of an option is the price that exposes both sides of the contract to the same level of risk. Focusing for the first time on the context where…

This paper is concerned with a non-zero sum differential game problem of an anticipated forward-backward stochastic differential delayed equation under partial information. We establish a necessary maximum principle and sufficient…

We reveal a geometric structure underlying both hedging and investment products. The structure follows from a simple formula expressing investment risks in terms of returns. This informs optimal product designs. Optimal pure hedging…

Parity games can be used to represent many different kinds of decision problems. In practice, tools that use parity games often rely on a specification in a higher-order logic from which the actual game can be obtained by means of an…

This paper uses the development of multi-agent market models to present a unified approach to the joint questions of how financial market movements may be simulated, predicted, and hedged against. We examine the effect of different market…

We propose a discrete time algorithm for the valuation of employee stock options based on exponential indifference prices and taking into account both the possibility of partial exercise of a fraction of the options and the use of a…

This paper is interested in the problem of optimal stopping in a mean field game context. The notion of mixed solution is introduced to solve the system of partial differential equations which models this kind of problem. This notion…

We present a numerically efficient approach for learning a risk-neutral measure for paths of simulated spot and option prices up to a finite horizon under convex transaction costs and convex trading constraints. This approach can then be…

In security games, the solution concept commonly used is that of a Stackelberg equilibrium where the defender gets to commit to a mixed strategy. The motivation for this is that the attacker can repeatedly observe the defender's actions and…

We consider Dynkin games for Markov processes associated with semi-Dirichlet forms. Dynkin games are the optimal stopping games introduced as the models of zero-sum games by two players. We prove that the solution to the certain variational…

We consider a dynamical approach to sequential games. By restricting the convertibility relation over strategy profiles, we obtain a semi-potential (in the sense of Kukushkin), and we show that in finite games the corresponding restriction…

We consider an investment problem in which an investor performs capital injections to increase the liquidity of a firm for it to maximise profit from market operations. Each time the investor performs an injection, the investor incurs a…

We propose and investigate a general class of discrete time and finite state space mean field game (MFG) problems with potential structure. Our model incorporates interactions through a congestion term and a price variable. It also allows…

This paper studies game-type credit default swaps that allow the protection buyer and seller to raise or reduce their respective positions once prior to default. This leads to the study of an optimal stopping game subject to early default…

We consider fractional Black-Scholes market with proportional transaction costs. When transaction costs are present, one trades periodically i.e. we have the discrete trading with equidistance $n^{-1}$ between trading times. We derive a non…

We analyse derivative securities whose value is NOT a deterministic function of an underlying which means presence of a basis risk at any time. The key object of our analysis is conditional probability distribution at a given underlying…

We introduce the concept of partial law invariance, generalizing the concepts of law invariance and probabilistic sophistication widely used in decision theory, as well as statistical and financial applications. This new concept is…

Opportunities for stochastic arbitrage in an options market arise when it is possible to construct a portfolio of options which provides a positive option premium and which, when combined with a direct investment in the underlying asset,…

This paper enhances the pricing of derivatives as well as optimal control problems to a level comprising risk. We employ nested risk measures to quantify risk, investigate the limiting behavior of nested risk measures within the classical…

We develop a robust framework for pricing and hedging of derivative securities in discrete-time financial markets. We consider markets with both dynamically and statically traded assets and make minimal measurability assumptions. We obtain…