Related papers: No-arbitrage concepts in topological vector lattic…
We extend the fundamental theorem of asset pricing to a model where the risky stock is subject to proportional transaction costs in the form of bid-ask spreads and the bank account has different interest rates for borrowing and lending. We…
We introduce a pointfree theory of convergence on lattices and coframes. A convergence lattice is a lattice $L$ with a monotonic map $\lim_L$ from the lattice of filters on $L$ to $L$, meant to be an abstract version of the map sending…
In this paper we demonstrate both theoretically as well as numerically that neural networks can detect model-free static arbitrage opportunities whenever the market admits some. Due to the use of neural networks, our method can be applied…
The classical discrete time model of proportional transaction costs relies on the assumption that a feasible portfolio process has solvent increments at each step. We extend this setting in two directions, allowing for convex transaction…
The article presents a description of geometry of Banach structures forming mathematical base of markets arbitrage absence type phenomena. In this connection the role of reflexive subspaces (replacing classically considered…
This paper completes the analysis of Choulli et al. Non-Arbitrage up to Random Horizons and after Honest Times for Semimartingale Models and contains two principal contributions. The first contribution consists in providing and analysing…
Generalized statistical arbitrage concepts are introduced corresponding to trading strategies which yield positive gains on average in a class of scenarios rather than almost surely. The relevant scenarios or market states are specified via…
This paper presents a stochastic model for discrete-time trading in financial markets where trading costs are given by convex cost functions and portfolios are constrained by convex sets. The model does not assume the existence of a cash…
We introduce a simple and tractable methodology for estimating semiparametric conditional latent factor models. Our approach disentangles the roles of characteristics in capturing factor betas of asset returns from ``alpha.'' We construct…
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…
We study the stability of several no-arbitrage conditions with respect to absolutely continuous, but not necessarily equivalent, changes of measure. We first consider models based on continuous semimartingales and show that no-arbitrage…
We investigate default-free bond markets where the standard relationship between a possibly existing bank account process and the term structure of bond prices is broken, i.e. the bank account process is not a valid num\'eraire. We argue…
In a semimartingale financial market model, it is shown that there is equivalence between absence of arbitrage of the first kind (a weak viability condition) and the existence of a strictly positive process that acts as a local martingale…
We show that the existence of an equivalent local martingale measure for asset prices does not prevent negative prices for European calls written on positive stock prices. In particular, we illustrate that many standard no-arbitrage…
The AMNM property for commutative Banach algebras is a form of Ulam stability for multiplicative linear functionals. We show that on any semilattice of infinite breadth, one may construct a weight for which the resulting weighted…
In frictionless financial markets, no-arbitrage is a local property in time. This means that a discrete time model is arbitrage-free if and only if there does not exist a one-period-arbitrage. With capital gains taxes, this equivalence…
We introduce several classes of set-valued maps with generalized convexity. We obtain minimax theorems for set-valued maps which satisfy the introduced properties and are not continuous, by using a fixed point theorem for weakly naturally…
No-arbitrage asset pricing characterizes valuation through the existence of equivalent martingale measures relative to a filtration and a class of admissible trading strategies. In practice, pricing is performed across multiple asset…
In this paper, we introduce the nonstandard vector space in which the concept of additive inverse element will not be taken into account. We also consider a metric defined on this nonstandard vector space. Under these settings, the…
In this paper, we propose a novel framework for modeling topological phases of matter using code-based Narain conformal field theories (NCFTs). We show that the algebraic structure of the NCFTs naturally embeds into critical lattice quantum…