Related papers: Arbitrage and Hedging in a non probabilistic frame…
We show how to provide a structure of probability space to the set of execution traces on a non-confluent abstract rewrite system, by defining a variant of a Lebesgue measure on the space of traces. Then, we show how to use this probability…
This paper presents a stochastic model for discrete-time trading in financial markets where trading costs are given by convex cost functions and portfolios are constrained by convex sets. The model does not assume the existence of a cash…
We propose a unified analysis of a whole spectrum of no-arbitrage conditions for financial market models based on continuous semimartingales. In particular, we focus on no-arbitrage conditions weaker than the classical notions of No…
Semiparametric regression offers a flexible framework for modeling non-linear relationships between a response and covariates. A prime example are generalized additive models where splines (say) are used to approximate non-linear functional…
We consider a non-stochastic online learning approach to price financial options by modeling the market dynamic as a repeated game between the nature (adversary) and the investor. We demonstrate that such framework yields analogous…
We are interested in the existence of equivalent martingale measures and the detection of arbitrage opportunities in markets where several multi-asset derivatives are traded simultaneously. More specifically, we consider a financial market…
We investigate the phenomenon of non-recursive trade-offs between descriptional systems in an abstract fashion. We aim at categorizing non-recursive trade-offs by bounds on their growth rate, and show how to deduce such bounds in general.…
We establish the equivalence between a principle of almost absence of arbitrage opportunities and nearly rational decision-making. The implications of such principle are considered in the context of the aggregation of probabilistic opinions…
Attempts to replicate probabilistic reasoning in expert systems have typically overlooked a critical ingredient of that process. Probabilistic analysis typically requires extensive judgments regarding interdependencies among hypotheses and…
We investigate the links between various no-arbitrage conditions and the existence of pricing functionals in general markets, and prove the Fundamental Theorem of Asset Pricing therein. No-arbitrage conditions, either in this abstract…
This paper proposes two approaches that quantify the exact relationship among the viability, the absence of arbitrage, and/or the existence of the num\'eraire portfolio under minimal assumptions and for general continuous-time market…
Non-stationary extremal dependence, whereby the relationship between the extremes of multiple variables evolves over time, is commonly observed in many environmental and financial data sets. However, most multivariate extreme value models…
Contrary to the claims made by several authors, a financial market model in which the price of a risky security follows a reflected geometric Brownian motion is not arbitrage-free. In fact, such models violate even the weakest no-arbitrage…
The new framework for finance is proposed. This framework based on three known approaches in econophysics. Assumptions of the framework are the following: 1. For the majority of situations market follows non-arbitrage condition. 2. For the…
Modelling joint dynamics of liquid vanilla options is crucial for arbitrage-free pricing of illiquid derivatives and managing risks of option trade books. This paper develops a nonparametric model for the European options book respecting…
Tournament solutions provide methods for selecting the "best" alternatives from a tournament and have found applications in a wide range of areas. Previous work has shown that several well-known tournament solutions almost never rule out…
The present paper provides a study of high-dimensional statistical arbitrage that combines factor models with the tools from stochastic control, obtaining closed-form optimal strategies which are both interpretable and computationally…
We construct an aggregator for a family of Snell envelopes in a nondominated framework. We apply this construction to establish a robust hedging duality, along with the existence of a minimal hedging strategy, in a general semi-martingale…
We derive deterministic criteria for the existence and non-existence of equivalent (local) martingale measures for financial markets driven by multi-dimensional time-inhomogeneous diffusions. Our conditions can be used to construct…
We develop an algorithm for computing bounded reachability probability for hybrid systems, i.e., the probability that the system reaches an unsafe region within a finite number of discrete transitions. In particular, we focus on hybrid…