Related papers: Semi-Static Hedging Based on a Generalized Reflect…
We consider the jump-diffusion risky asset model and study its conditional prediction laws. Next, we explain the conditional least square hedging strategy and calculate its closed form for the jump-diffusion model, considering the…
The paper addresses the stabilization of nonlinear systems with semi-quadratic cost: quadratic with respect to controls and nonlinear for state variables. Paper presents the effective new feedback synthesis procedure. The novel feedback…
We propose a novel diffusion-based generative framework for financial time series that incorporates geometric Brownian motion (GBM), the foundation of the Black--Scholes theory, into the forward noising process. Unlike standard score-based…
We revisit the classical topic of quadratic and linear mean-variance equilibria with both financial and real assets. The novelty of our results is that they are the first allowing for equilibrium prices driven by general semimartingales and…
We study a generalized geometric Brownian motion framework that incorporates both entries of new units and exit mechanisms for the current population, extending earlier stochastic resetting models where these rates are treated as identical.…
A new framework for pricing the European currency option is developed in the case where the spot exchange rate fellows a time-changed fractional Brownian motion. An analytic formula for pricing European foreign currency option is proposed…
The paper develops no arbitrage results for trajectory based models by imposing general constraints on the trading portfolios. The main condition imposed, in order to avoid arbitrage opportunities, is a local continuity requirement on the…
We consider a Black-Scholes type equation arising on a pricing model for a multi-asset option with general transaction costs. The pioneering work of Leland is thus extended in two different ways: on the one hand, the problem is…
We consider evolutionary Stokes system, coupled with the so-called dynamic slip boundary condition, in the simple geometry of a $d$-dimensional half-space. Using the standard technique of the Fourier transform in tangential directions, we…
An option market maker incurs funding costs when carrying and hedging inventory. To hedge a net long delta inventory, for example, she pays a fee to borrow stock from the securities lending market. Because of haircuts, she posts additional…
We introduce a set of combinatorial techniques for studying the simplicial bounded cohomology of semi-simplicial sets, simplicial complexes and posets. We apply these methods to prove several new bounded acyclicity results for…
Dzhaparidze and Spreij [5] showed that the quadratic variation of a semimartingale can be approximated using a randomized periodogram. We show that the same approximation is valid for a special class of continuous stochastic processes. This…
Options are contingent claims regarding the value of underlying assets. The Black-Scholes formula provides a road map for pricing these options in a risk-neutral setting, justified by a delta hedging argument in which countervailing…
The main notions of semiclassical scalar electrodynamics in different gauges (Hamiltonian, Couloumb, Lorentz) are discussed. These are semiclassical states, Poincare transformations, fields, observables, gauge equivalence. General…
We consider arbitrage free valuation of European options in Black-Scholes and Merton markets, where the general structure of the market is known, however the specific parameters are not known. In order to reflect this subjective uncertainty…
We propose a tractable semiparametric estimation method for structural dynamic discrete choice models. The distribution of additive utility shocks in the proposed framework is modeled by location-scale mixtures of extreme value…
Motivated by recent experimental progress to read out quantum bits implemented in superconducting circuits via the phenomenon of dynamical bifurcation, transitions between steady orbits in a driven anharmonic oscillator, the Duffing…
We present a framework for hedging a portfolio of derivatives in the presence of market frictions such as transaction costs, market impact, liquidity constraints or risk limits using modern deep reinforcement machine learning methods. We…
The mean-variance hedging (MVH) problem is studied in a partially observable market where the drift processes can only be inferred through the observation of asset or index processes. Although most of the literatures treat the MVH problem…
Recent applications (e.g. active gels and self-assembly of elastic sheets) motivate the need to efficiently simulate the dynamics of thin elastic sheets. We present semi-implicit time stepping algorithms to improve the time step constraints…