Related papers: Financial Models with Defaultable Num\'eraires

Based on a criterion of mathematical simplicity and consistency with empirical market data, a stochastic volatility model has been obtained with the volatility process driven by fractional noise. Depending on whether the stochasticity…

Seemingly unrelated models of inflation that originate from different physical setups yield, in some cases, identical predictions for the currently constrained inflationary observables. In order to classify the available models, we propose…

The estimation of dependencies between multiple variables is a central problem in the analysis of financial time series. A common approach is to express these dependencies in terms of a copula function. Typically the copula function is…

We study the Fundamental Theorem of Asset Pricing for a general financial market under Knightian Uncertainty. We adopt a functional analytic approach which require neither specific assumptions on the class of priors $\mathcal{P}$ nor on the…

We consider the fundamental theorem of asset pricing (FTAP) and hedging prices of options under non-dominated model uncertainty and portfolio constrains in discrete time. We first show that no arbitrage holds if and only if there exists…

A risk-neutral valuation framework is developed for pricing and hedging in-play football bets based on modelling scores by independent Poisson processes with constant intensities. The Fundamental Theorems of Asset Pricing are applied to…

There is much interest in providing probabilistic semantics for defaults but most approaches seem to suffer from one of two problems: either they require numbers, a problem defaults were intended to avoid, or they generate peculiar side…

Many widely used models amount to an elaborate means of making up numbers--but once a number has been produced, it tends to be taken seriously and its source (the model) is rarely examined carefully. Many widely used models have little…

We calibrate and test various variants of field theory models of the interest rate with data from eurodollars futures. A model based on a simple psychological factor are seen to provide the best fit to the market. We make a model…

We study the existence of the numeraire portfolio under predictable convex constraints in a general semimartingale model of a financial market. The numeraire portfolio generates a wealth process, with respect to which the relative wealth…

The paper studies defeasible reasoning in rule-based systems, in particular about legal norms and contracts. We identify rule modifiers that specify how rules interact and how they can be overridden. We then define rule transformations that…

There is vast empirical evidence that given a set of assumptions on the real-world dynamics of an asset, the European options on this asset are not efficiently priced in options markets, giving rise to arbitrage opportunities. We study…

We consider a financial market in discrete time and study pricing and hedging conditional on the information available up to an arbitrary point in time. In this conditional framework, we determine the structure of arbitrage-free prices.…

In this short paper, we study the simulation of a large system of stochastic processes subject to a common driving noise and fast mean-reverting stochastic volatilities. This model may be used to describe the firm values of a large pool of…

We present a multivariate stochastic volatility model with leverage, which is flexible enough to recapture the individual dynamics as well as the interdependencies between several assets while still being highly analytically tractable.…

Based on criteria of mathematical simplicity and consistency with empirical market data, a model with volatility driven by fractional noise has been constructed which provides a fairly accurate mathematical parametrization of the data.…

The use of models, even if efficient, must be accompanied by an understanding at all levels of the process that transforms data (upstream and downstream). Thus, needs increase to define the relationships between individual data and the…

We construct a model of expert prediction where predictions can influence the state of the world. Under this model, we show through theoretical and numerical results that proper scoring rules can incentivize experts to manipulate the world…

We consider the computation of model-free bounds for multi-asset options in a setting that combines dependence uncertainty with additional information on the dependence structure. More specifically, we consider the setting where the…

Over the last decade, nonparametric methods have gained increasing attention for modeling complex data structures due to their flexibility and minimal structural assumptions. In this paper, we study a general multivariate nonparametric…