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In this paper it is reconsidered the prediction problem in time series framework by using a new non-parametric approach. Through this reconsideration, the prediction is obtained by a weighted sum of past observed data. These weights are…
Existing approaches to asset-pricing under model-uncertainty adapt classical utility-maximization frameworks and seek theoretical comprehensiveness. We move toward practice by considering binary model-risks and by emphasizing 'constraints'…
The autor considers an initial-boundary value problem for the nonstationary Stokes system in an angle, where Dirichlet and Neumann conditions are prescribed on the diferent sides of the angle. The major part of the paper deals with the…
While short-range dependence is widely assumed in the literature for its simplicity, long-range dependence is a feature that has been observed in data from finance, hydrology, geophysics and economics. In this paper, we extend a…
In this paper, we provide a model-independent extension of the paradigm of dynamic hedging of derivative claims. We relate model-independent replication strategies to local martingales having a closed form which we can characterise via…
This paper considers a general class of nonparametric time series regression models where the regression function can be time-dependent. We establish an asymptotic theory for estimates of the time-varying regression functions. For this…
We develop a behavioral asset pricing model in which agents trade in a market with information friction. Profit-maximizing agents switch between trading strategies in response to dynamic market conditions. Due to noisy private information…
In a discrete time setting, we study the central problem of giving a fair price to some financial product. For several decades, the no-arbitrage conditions and the martingale measures have played a major role for solving this problem. We…
In the Hamiltonian formalism, and in the presence of a symmetry Lie group, a variational reduction procedure has already been developed for Hamiltonian systems without constraints. In this paper we present a procedure of the same kind, but…
It is well known how to determine the price of perpetual American options if the underlying stock price is a time-homogeneous diffusion. In the present paper we consider the inverse problem, that is, given prices of perpetual American…
The constraint reaction force of ideal nonholonomic constraints in time-dependent mechanics on a configuration bundle $Q\to R$ is obtained. Using the vertical extension of Hamiltonian formalism to the vertical tangent bundle $VQ$ of $Q\to…
Employing probabilistic techniques we compute best possible upper and lower bounds on the price of an option on one or two assets with continuous piecewise linear payoff function based on prices of simple call options of possibly distinct…
We propose a continuous time model for financial markets with proportional transactions costs and a continuum of risky assets. This is motivated by bond markets in which the continuum of assets corresponds to the continuum of possible…
The Lie product and the order relation are viewed as defining structures for Hamiltonian dynamical systems. Their admissible combinations are singled out by the requirement that the group of the Lie automorphisms be contained in the group…
We consider the problem of finding model-independent bounds on the price of an Asian option, when the call prices at the maturity date of the option are known. Our methods differ from most approaches to model-independent pricing in that we…
This article introduce a new model theory call non-predetermined model theory where functions and relations need not to be determined already and they are determined through time.
Using the Donsker-Prokhorov invariance principle we extend the Kim-Stoyanov-Rachev-Fabozzi option pricing model to allow for variably-spaced trading instances, an important consideration for short-sellers of options. Applying the…
We provide series expansions for the tempered stable densities and for the price of European-style contracts in the exponential L\'evy model driven by the tempered stable process. These formulas recover several popular option pricing…
An agent-based model for financial markets has to incorporate two aspects: decision making and price formation. We introduce a simple decision model and consider its implications in two different pricing schemes. First, we study its…
This study considers a new multi-term urn process that has a correlation in the same term and temporal correlation. The objective is to clarify the relationship between the urn model and the Hawkes process. Correlation in the same term is…