Related papers: Duality and Convergence for Binomial Markets with …
This paper considers binomial approximation of continuous time stochastic processes. It is shown that, under some mild integrability conditions, a process can be approximated in mean square sense and in other strong metrics by binomial…
We investigate online pricing in two-sided markets where a platform repeatedly posts prices based on binary accept/reject feedback to maximize gains-from-trade (GFT) or profit. We characterize the regret achievable across three mechanism…
This paper examines the applicability of the Skorokhod representation theorem in filtrated probability spaces for the utility maximization problem in the Kabanov conic model of multi-asset markets with proportional transaction costs. A key…
We study a multiplicative transient price impact model for an illiquid financial market, where trading causes price impact which is multiplicative in relation to the current price, transient over time with finite rate of resilience, and…
The classical discrete time model of proportional transaction costs relies on the assumption that a feasible portfolio process has solvent increments at each step. We extend this setting in two directions, allowing for convex transaction…
In this article, a compact finite difference method is proposed for pricing European and American options under jump-diffusion models. Partial integro-differential equation and linear complementary problem governing European and American…
We characterize the set of market models when there are a finite number of traded Vanilla and Barrier options with maturity $T$ written on the asset $S$. From a probabilistic perspective, our result describes the set of joint distributions…
We prove the Fundamental Theorem of Asset Pricing for a discrete time financial market where trading is subject to proportional transaction cost and the asset price dynamic is modeled by a family of probability measures, possibly…
We study the valuation and hedging problem of European options in a market subject to liquidity shocks. Working within a Markovian regime-switching setting, we model illiquidity as the inability to trade. To isolate the impact of such…
This article considers the pricing and hedging of a call option when liquidity matters, that is, either for a large nominal or for an illiquid underlying asset. In practice, as opposed to the classical assumptions of a price-taking agent in…
We unify and establish equivalence between the pathwise and the quasi-sure approaches to robust modelling of financial markets in discrete time. In particular, we prove a Fundamental Theorem of Asset Pricing and a Superhedging Theorem,…
We show how spectral filters can improve the convergence of numerical schemes which use discrete Hilbert transforms based on a sinc function expansion, and thus ultimately on the fast Fourier transform. This is relevant, for example, for…
We prove a robust super-hedging duality result for path-dependent options on assets with jumps, in a continuous time setting. It requires that the collection of martingale measures is rich enough and that the payoff function satisfies some…
We revisit the duality theorem for multimarginal optimal transportation problems. In particular, we focus on the Coulomb cost. We use a discrete approximation to prove equality of the extremal values and some careful estimates of the…
We study a robust stochastic optimization problem in the quasi-sure setting in discrete-time. We show that under a lineality-type condition the problem admits a maximizer. This condition is implied by the no-arbitrage condition in models of…
Inspired by the double-debt problem in Japan where the mortgagor has to pay the remaining loan even if their house was destroyed by a catastrophic event, we model the lender's cash flow, by an exponential functional of a renewal-reward…
The proposed model modifies option pricing formulas for the basic case of log-normal probability distribution providing correspondence to formulated criteria of efficiency and completeness. The model is self-calibrating by historic…
We present an optimal investment theorem for a currency exchange model with random and possibly discontinuous proportional transaction costs. The investor's preferences are represented by a multivariate utility function, allowing for…
Prediction markets are long known for prediction accuracy. This study systematically explores the fundamental properties of prediction markets, addressing questions about their information aggregation process and the factors contributing to…
In this paper, the survival function of waiting times between orders and the corresponding trades in a double-auction market is studied both by means of experiments and of empirical data. It turns out that, already at the level of order…