Related papers: When terminal facelift enforces Delta constraints

We study asset price bubbles in market models with proportional transaction costs $\lambda\in (0,1)$ and finite time horizon $T$ in the setting of [49]. By following [28], we define the fundamental value $F$ of a risky asset $S$ as the…

We solve the superhedging problem for European options in an illiquid extension of the Black-Scholes model, in which transactions have transient price impact and the costs and the strategies for hedging are affected by physical or cash…

We present here a regress later based Monte Carlo approach that uses neural networks for pricing high-dimensional contingent claims. The choice of specific architecture of the neural networks used in the proposed algorithm provides for…

The usual theory of asset pricing in finance assumes that the financial strategies, i.e. the quantity of risky assets to invest, are real-valued so that they are not integer-valued in general, see the Black and Scholes model for instance.…

In this article we study the convergence of a European lookback option with floating strike evaluated with the binomial model of Cox-Ross-Rubinstein to its evaluation with the Black-Scholes model. We do the same for its delta. We confirm…

We study the rank-three lifting problem for incidence matrices of finite projective planes through residue-level determinant constraints invisible to tropical valuations alone. In residue characteristic $\neq 3$, any rank-$\le 3$ lift of…

We consider the nonlinear eigenvalue problem, with Dirichlet boundary condition, for a class of very degenerate elliptic operators, with the aim to show that, at least for square type domains having fixed volume, the symmetry of the domain…

We consider the problem of translating between irreducible closed sets and implicational bases in closure systems. To date, the complexity status of this problem is widely open, and it is further known to generalize the notorious hypergraph…

We consider the problem of option hedging in a market with proportional transaction costs. Since super-replication is very costly in such markets, we replace perfect hedging with an expected loss constraint. Asymptotic analysis for small…

We study the upper hedging price for contingent claims in market models with strong types of arbitrage: increasing profit, strong arbitrage, and arbitrage of the first kind. The existence of arbitrage may make the price smaller than if it…

We study market-consistent valuation of liability cash flows motivated by current regulatory frameworks for the insurance industry. Building on the theory on multiple-prior optimal stopping we propose a valuation functional with sound…

In a recent paper, Bouchard, Elie and Reveillac \cite{BER} have studied a new class of Backward Stochastic Differential Equations with weak terminal condition, for which the $T$-terminal value $Y_T$ of the solution $(Y,Z)$ is not fixed as a…

We consider the pricing of derivatives in a setting with trading restrictions, but without any probabilistic assumptions on the underlying model, in discrete and continuous time. In particular, we assume that European put or call options…

The existence of large and extreme claims of a non-life insurance portfolio influences the ability of (re)insurers to estimate the reserve. The excess over-threshold method provides a way to capture and model the typical behaviour of…

We consider the problem of the semidefinite representation of a class of non-compact basic semialgebraic sets. We introduce the conditions of pointedness and closedness at infinity of a semialgebraic set and show that under these conditions…

For a wide class of noninteracting tight-binding models in one dimension we present an analytical solution for all scattering and edge states on a half-infinite system. Without assuming any symmetry constraints we consider models with…

This paper includes an original self contained proof of well-posedness of an initial-boundary value problem involving a non-local parabolic PDE which naturally arises in the study of derivative pricing in a generalized market model. We call…

We take the holistic approach of computing an OTC claim value that incorporates credit and funding liquidity risks and their interplays, instead of forcing individual price adjustments: CVA, DVA, FVA, KVA. The resulting nonlinear…

We propose a new definition for tameness within the model of security prices as It\^o processes that is risk-aware. We give a new definition for arbitrage and characterize it. We then prove a theorem that can be seen as an extension of the…

An investor's risk aversion is assumed to tend to infinity. In a fairly general setting, we present conditions ensuring that the respective utility indifference prices of a given contingent claim converge to its super replication price.