Related papers: No-Arbitrage Symmetries
In this note, a non-commutative analogue of the fundamental theorem of asset pricing in mathematical finance is proved.
We present here a general framework, expressed by a system of nonlinear differential equations, suitable for the modelling of taxation and redistribution in a closed (trading market) society. This framework allows to describe the evolution…
Two markets should be considered isomorphic if they are financially indistinguishable. We define a notion of isomorphism for financial markets in both discrete and continuous time. We then seek to identify the distinct isomorphism classes,…
It is shown that absence of arbitrage opportunity in financial markets is a particular case of existence of uncertainty in decision system. Absence of arbitrage opportunity is considered in the sense of the Arrow-Debreu model of financial…
We study valued fields equipped with an automorphism. We prove that all of them have an extension admitting an equivariant cross-section of the valuation. In residual characteristic zero, and in the presence of such a cross-section, we show…
A particular form of non-linear $\sigma$-model, having a global gauge invariance, is studied. The detailed discussion on current algebra structures reveals the non-abelian nature of the invariance, with {\it{field dependent structure…
Without imposing restrictions on a weighted graph's arc lengths, symmetry structures cannot be expected. But, they exist. To find them, the graphs are decomposed into a component that dictates all closed path properties (e.g., shortest and…
The existence of a semiconjugate relation permits the transformation of a higher order difference equation on a group into an equivalent triangular system of two difference equations of lower orders. Introducing time-dependent form…
Sequences of actions do not commute.. For example, the tick of a clock and the measurement of a position do not commute with one another, since the position will have moved to the next position after the tick. We adopt non-commutative…
A new mathematical theory, non-associative geometry, providing a unified algebraic description of continuous and discrete spacetime, is introduced.
Statistical models that possess symmetry arise in diverse settings such as random fields associated to geophysical phenomena, exchangeable processes in Bayesian statistics, and cyclostationary processes in engineering. We formalize the…
We first study situations where the stable AF-algebras defined by two square primitive nonsingular incidence matrices with nonnegative integer matrix elements are isomorphic even though no powers of the associated automorphisms of the…
In this paper, we introduce a particular class of matrices. We study the concept of a matrix to be \emph{balanced}. We study some properties of this concept in the context of matrix operations. We examine the behaviour of various matrix…
It is now widely accepted that volatility models have to incorporate the so-called leverage effect in order to to model the dynamics of daily financial returns.We suggest a new class of multivariate power transformed asymmetric models. It…
It is shown that, under suitable conditions, involving in particular the existence of analytic constants of motion, the presence of Lie point symmetries can ensure the convergence of the transformation taking a vector field (or dynamical…
Existence of stochastic financial equilibria giving rise to semimartingale asset prices is established under a general class of assumptions. These equilibria are expressed in real terms and span complete markets or markets with withdrawal…
A geometric framework, called multicontact geometry, has recently been developed to study action-dependent field theories. In this work, we use this framework to analyze symmetries in action-dependent Lagrangian and Hamiltonian field…
The scattering formulation of characteristic mode decomposition is utilized to extend modal analysis to lossless scatterers breaking time-reversal symmetry. This enables characteristic modes analysis on devices containing gyrotropic or…
The no-boundary proposal is a theory of the initial conditions of the universe formulated in semi-classical gravity, and relying on the existence of regular (complex) solutions of the equations of motion. We show by explicit computation…
A one parameter set of noncommutative complex algebras is given. These may be considered deformation quantisation algebras. The commutative limit of these algebras correspond to the algebra of polynomial functions over a manifold or…