Related papers: Super-replication in Fully Incomplete Markets

Matrix Completion is the problem of recovering an unknown real-valued low-rank matrix from a subsample of its entries. Important recent results show that the problem can be solved efficiently under the assumption that the unknown matrix is…

We study overpricing in a repeated game between two representative agents: a market maker, who controls market liquidity, and a market taker, who chooses trade quantities. Market prices evolve through the endogenous price impact of trades…

We consider a general local-stochastic volatility model and an investor with exponential utility. For a European-style contingent claim, whose payoff may depend on either a traded or non-traded asset, we derive an explicit approximation for…

In this paper incomplete-information models are developed for the pricing of securities in a stochastic interest rate setting. In particular we consider credit-risky assets that may include random recovery upon default. The market…

We prove the superhedging duality for a discrete-time financial market with proportional transaction costs under model uncertainty. Frictions are modeled through solvency cones as in the original model of [Kabanov, Y., Hedging and…

This paper studies convex duality in optimal investment and contingent claim valuation in markets where traded assets may be subject to nonlinear trading costs and portfolio constraints. Under fairly general conditions, the dual expressions…

We develop a model of algorithmic pricing that shuts down every channel for explicit or implicit collusion while still generating collusive outcomes. We analyze the dynamics of a duopoly market where both firms use pricing algorithms…

We study a new model of complementary valuations, which we call "proportional complementarities." In contrast to common models, such as hypergraphic valuations, in our model, we do not assume that the extra value derived from owning a set…

We model a nonlinear price curve quoted in a market as the utility indifference curve of a representative liquidity supplier. As the utility function we adopt a g-expectation. In contrast to the standard framework of financial engineering,…

This paper focuses on the pricing of the variance swap in an incomplete market where the stochastic interest rate and the price of the stock are respectively driven by Cox-Ingersoll-Ross model and Heston model with simultaneous L\'{e}vy…

We study the high frequency price dynamics of traded stocks by a model of returns using a semi-Markov approach. More precisely we assume that the intraday return are described by a discrete time homogeneous semi-Markov process and the…

We study the dual formulation of the utility maximization problem in incomplete markets when the utility function is finitely valued on the whole real line. We extend the existing results in this literature in two directions. First, we…

Cloud computing as a fairly new commercial paradigm, widely investigated by different researchers, already has a great range of challenges. Pricing is a major problem in Cloud computing marketplace; as providers are competing to attract…

We present a prototype hybrid prediction market and demonstrate the avenue it represents for meaningful human-AI collaboration. We build on prior work proposing artificial prediction markets as a novel machine-learning algorithm. In an…

We consider the standard non-parametric regression model with Gaussian errors but where the data consist of different samples. The question to be answered is whether the samples can be adequately represented by the same regression function.…

A new model for the stock market price analysis is proposed. It is suggested to look at price as an everywhere discontinuous function of time of bounded variation.

We propose a simple randomized rule for the optimization of prices in revenue management with contextual information. It is known that the certainty equivalent pricing rule, albeit popular, is sub-optimal. We show that, by allowing a small…

We study contingent claims in a discrete-time market model where trading costs are given by convex functions and portfolios are constrained by convex sets. In addition to classical frictionless markets and markets with transaction costs or…

In this paper we provide a quantitative analysis to the concept of arbitrage, that allows to deal with model uncertainty without imposing the no-arbitrage condition. In markets that admit ``small arbitrage", we can still make sense of the…

Existence of stochastic financial equilibria giving rise to semimartingale asset prices is established under a general class of assumptions. These equilibria are expressed in real terms and span complete markets or markets with withdrawal…