Related papers: Relative Arbitrage: Sharp Time Horizons and Motion…
The variance measures the portfolio risks the investors are taking. The investor, who holds his portfolio and doesn't trade his shares, at the current time can use the time series of the market trades that were made during the averaging…
In this paper we look for the convex hull of a set using the geometric evolution by minimal curvature of a hypersurface that surrounds the set. To find the convex hull, we study the large time behavior of solutions to an obstacle problem…
We study the following question: What is the largest deterministic amount of time $T_*$ that a suitably normalized martingale $X$ can be kept inside a convex body $K$ in $\mathbb{R}^d$? We show, in a viscosity framework, that $T_*$ equals…
In practice there are temporary arbitrage opportunities arising from the fact that prices for a given asset at different stock exchanges are not instantaneously the same. We will show that even in such an environment there exists a…
We have embedded the classical theory of stochastic finance into a differential geometric framework called Geometric Arbitrage Theory and show that it is possible to: --Write arbitrage as curvature of a principal fibre bundle.…
Consider an agent who enters a financial market on day t = 0 with an initial capital amount x. He invests this amount on stocks and the money market, and by day t = T, has generated a wealth W . He is given a convex class of probability…
We develop a robust framework for pricing and hedging of derivative securities in discrete-time financial markets. We consider markets with both dynamically and statically traded assets and make minimal measurability assumptions. We obtain…
The paper develops general, discrete, non-probabilistic market models and minmax price bounds leading to price intervals for European options. The approach provides the trajectory based analogue of martingale-like properties as well as a…
In stochastic finance, one traditionally considers the return as a competitive measure of an asset, {\it i.e.}, the profit generated by that asset after some fixed time span $\Delta t$, say one week or one year. This measures how well (or…
We study curvature invariants in a binary black hole merger. It has been conjectured that one could define a quasi-local and foliation independent black hole horizon by finding the level--$0$ set of a suitable curvature invariant of the…
We examine the possibility of incorporating information or views of market movements during the holding period of a portfolio, in the hedging of European options with respect to the underlying. Given a fixed holding period interval, we…
We address the problem of portfolio optimization under the simplest coherent risk measure, i.e. the expected shortfall. As it is well known, one can map this problem into a linear programming setting. For some values of the external…
We establish a curvature estimate for classical minimal surfaces with total boundary curvature less than 4\pi. The main application is a bound on the genus of these surfaces depending solely on the geometry of the boundary curve. We also…
In a fixed time horizon, appropriately executing a large amount of a particular asset -- meaning a considerable portion of the volume traded within this frame -- is challenging. Especially for illiquid or even highly liquid but also highly…
We derive finite time error bounds for estimating general linear time-invariant (LTI) systems from a single observed trajectory using the method of least squares. We provide the first analysis of the general case when eigenvalues of the LTI…
We study a financial market where the risky asset is modelled by a geometric It\^o-L\'{e}vy process, with a singular drift term. This can for example model a situation where the asset price is partially controlled by a company which…
Least squares approximation is a technique to find an approximate solution to a system of linear equations that has no exact solution. In a typical setting, one lets $n$ be the number of constraints and $d$ be the number of variables, with…
We use a continuous version of the standard deviation premium principle for pricing in incomplete equity markets by assuming that the investor issuing an unhedgeable derivative security requires compensation for this risk in the form of a…
We introduce a pathwise approach to analyze the relative performance of an equity portfolio with respect to a benchmark market portfolio. In this energy-entropy framework, the relative performance is decomposed into three components: a…
Trade prices of about 1000 New York Stock Exchange-listed stocks are studied at one-minute time resolution over the continuous five year period 2018--2022. For each stock, in dollar-volume-weighted transaction time, the discrepancy from a…