Related papers: No-arbitrage with multiple-priors in discrete time
We consider a one-period market model composed by a risk-free asset and a risky asset with $n$ possible future values (namely, a $n$-nomial market model). We characterize the lower envelope of the class of equivalent martingale measures in…
We explore a nuance to 'no arbitrage' in relation to 'information efficiency': acting immediately on an arbitrage is sometimes suboptimal; in such cases optimised trading can suppress the anticipation of predictable risk-outcomes, thereby…
For several decades, the no-arbitrage (NA) condition and the martingale measures have played a major role in the financial asset's pricing theory. We propose a new approach for estimating the super-replication cost based on convex duality…
We consider the non-linear optimal multiple stopping problem under general conditions on the non-linear evaluation operators, which might depend on two time indices: the time of evaluation/assessment and the horizon (when the reward or loss…
We study a quadratic hedging problem for a sequence of contingent claims with random weights in discrete time. We obtain the optimal hedging strategy explicitly in a recursive representation, without imposing the non-degeneracy (ND)…
In this paper we introduce a sublinear conditional operator with respect to a family of possibly nondominated probability measures in presence of multiple ordered default times. In this way we generalize the results of [5], where a…
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 notion that economies should normally be in equilibrium is by now well-established; equally well-established is that economies are almost never precisely in equilibrium. Using a very general formulation, we show that under dynamics that…
The concept of conditional expectation is important in applications of probability and statistics in many areas such as reliability engineering, economy, finance, and actuarial sciences due to its property of being the best predictor of a…
We consider learning a predictor which is non-discriminatory with respect to a "protected attribute" according to the notion of "equalized odds" proposed by Hardt et al. [2016]. We study the problem of learning such a non-discriminatory…
We consider a dynamic market model where buyers and sellers submit limit orders. If at a given moment in time, the buyer is unable to complete his entire order due to the shortage of sell orders at the required limit price, the unmatched…
We establish a quantitative version of the classical Halmos-Savage Theorem for convex, potentially non-dominated sets of probability measures and its dual counterpart, generalizing previous quantitative versions. These results are then used…
Models phrased though moment conditions are central to much of modern inference. Here these moment conditions are embedded within a nonparametric Bayesian setup. Handling such a model is not probabilistically straightforward as the…
In a model with no given probability measure, we consider asset pricing in the presence of frictions and other imperfections and characterize the property of coherent pricing, a notion related to (but much weaker than) the no arbitrage…
Double no-touch options, contracts which pay out a fixed amount provided an underlying asset remains within a given interval, are commonly traded, particularly in FX markets. In this work, we establish model-free bounds on the price of…
We apply Geometric Arbitrage Theory to obtain results in mathematical finance for credit markets, which do not need stochastic differential geometry in their formulation. We obtain closed form equations involving default intensities and…
In a model with no given probability measure, we consider asset pricing in the presence of frictions and other imperfections and characterize the property of coherent pricing, a notion related to (but much weaker than) the no arbitrage…
The generalized notion of noncontextuality provides an avenue to explore the fundamental departure of quantum theory from a classical explanation. Recently, extracting a different form of quantum advantage in various information processing…
Strict local martingales may admit arbitrage opportunities with respect to the class of simple trading strategies. (Since there is no possibility of using doubling strategies in this framework, the losses are not assumed to be bounded from…
A market model with $d$ assets in discrete time is considered where trades are subject to proportional transaction costs given via bid-ask spreads, while the existence of a num\`eraire is not assumed. It is shown that robust no arbitrage…