Related papers: When terminal facelift enforces Delta constraints
We consider the transmission eigenvalue problem for an impenetrable obstacle with Dirichlet boundary condition surrounded by a thin layer of non-absorbing inhomogeneous material. We derive a rigorous asymptotic expansion for the first…
This article is the second one in a series on the use of scaling invariance in finance. In the first article (cond-mat/9906048), we introduced a new formalism for the pricing of derivative securities, which focusses on tradable objects…
A new local, covariant ``counter-term'' is used to construct a variational principle for asymptotically flat spacetimes in any spacetime dimension $ d \ge 4$. The new counter-term makes direct contact with more familiar background…
We consider high dimensional random optimization problems where the dynamical variables are subjected to non-convex excluded volume constraints. We focus on the case in which the cost function is a simple quadratic cost and the excluded…
In a discrete-time financial market, a generalized duality is established for model-free superhedging, given marginal distributions of the underlying asset. Contrary to prior studies, we do not require contingent claims to be upper…
This paper concerns the tilt stability of local optimal solutions to a class of nonlinear semidefinite programs, which involves a twice continuously differentiable objective function and a convex feasible set. By leveraging the second…
This paper studies the problem of option replication in general stochastic volatility markets with transaction costs, using a new specification for the volatility adjustment in Leland's algorithm \cite{Leland}. We prove several limit…
When the underlying stock price is a strict local martingale process under an equivalent local martingale measure, Black-Scholes PDE associated with an European option may have multiple solutions. In this paper, we study an approximation…
We propose a novel Black-Scholes model under which the stock price processes are modeled by stochastic differential equations driven by sub-diffusions. The new framework can capture the less financial activity phenomenon during the bear…
A version of indifference valuation of a European call option is proposed that includes statistical regularities of nonstochastic randomness. Classical relations (forward contract value and Black-Scholes formula) are obtained as particular…
This paper considers the difference of stop-loss payoffs where the underlying is a difference of two random variables. The goal is to study whether the comonotonic and countermonotonic modifications of those two random variables can be used…
We consider a financial model with permanent price impact. Continuous time trading dynamics are derived as the limit of discrete rebalancing policies. We then study the problem of super-hedging a European option. Our main result is the…
Toehold purchase, defined here as purchase of one share in a firm by an investor preparing a tender offer to acquire majority of shares in it, reduces by one the number of shares this investor needs for majority. In the paper we construct…
Hyperproperties, like observational determinism or symmetry, cannot be expressed as properties of individual computation traces, because they describe a relation between multiple computation traces. HyperLTL is a temporal logic that…
We solve the problem of super-hedging European or Asian options for discrete-time financial market models where executable prices are uncertain. The risky asset prices are not described by single-valued processes but measurable selections…
This article proves the well posedness of the boundary value problemthat arises when PML algorithms are applied to Pauli's equationswith a three dimensional rectangle as computational domain. The absorptionsare positive near the boundary…
A new approach to the local and global explanation is proposed. It is based on selecting a convex hull constructed for the finite number of points around an explained instance. The convex hull allows us to consider a dual representation of…
We analyze a term penalizing surface self-penetration, as a soft constraint for models of hyperelastic materials to approximate the Ciarlet-Ne\v{c}as condition (almost everywhere global invertibility of deformations). For a linear elastic…
This paper studies a type of periodic utility maximization problems for portfolio management in incomplete stochastic factor models with convex trading constraints. The portfolio performance is periodically evaluated on the relative ratio…
This paper studies nonparametric identification and counterfactual bounds for heterogeneous firms that can be ranked in terms of productivity. Our approach works when quantities and prices are latent, rendering standard approaches…