Related papers: Model-Free Finance and Non-Lattice Integration

Some features of integrable lattice models are reviewed for the case of the six-vertex model. By the Bethe ansatz method we derive the free energy of the six-vertex model. Then, from the expression of the free energy we show analytically…

In a discrete-time setting, we study arbitrage concepts in the presence of convex trading constraints. We show that solvability of portfolio optimization problems is equivalent to absence of arbitrage of the first kind, a condition weaker…

We consider the fundamental theorem of asset pricing (FTAP) and hedging prices of options under non-dominated model uncertainty and portfolio constrains in discrete time. We first show that no arbitrage holds if and only if there exists…

We consider dynamical systems on the space of functions taking values in a free associative algebra. The system is said to be integrable if it possesses an infinite dimensional Lie algebra of commuting symmetries. In this paper we propose a…

We provide simple models for the utility function (or psychology) of an actor trading a multitude of goods for money. In this framework, money has no intrinsic consumption value, but is required as a medium of exchange. A collection of such…

Using Vovk's outer measure, which corresponds to a minimal superhedging price, the existence of quadratic variation is shown for "typical price paths" in the space of c\`adl\`ag functions possessing a mild restriction on the jumps directed…

In this paper, we study the global phase space dynamics of single nonminimally coupled scalar field inflation models in the metric and Palatini formalisms. Working in the Jordan frame, we derive the scalar-tensor general field equations and…

Lions and Musiela (2007) give sufficient conditions to verify when a stochastic exponential of a continuous local martingale is a martingale or a uniformly integrable martingale. Blei and Engelbert (2009) and Mijatovi\'c and Urusov (2012c)…

We give an elementary proof of the celebrated Bichteler-Dellacherie Theorem which states that the class of stochastic processes $S$ allowing for a useful integration theory consists precisely of those processes which can be written in the…

We consider the problem of calculation of correlation functions in the six-vertex model with domain wall boundary conditions. To this aim, we formulate the model as a scalar product of off-shell Bethe states, and, by applying the quantum…

We study a method for calculating the utility function from a candidate of a demand function that is not differentiable, but is locally Lipschitz. Using this method, we obtain two new necessary and sufficient conditions for a candidate of a…

This paper introduces a no-arbitrage, Monte Carlo-free approach to pricing path-dependent interest rate derivatives. The Heath-Jarrow-Morton model gives arbitrage-free contingent claims prices but is infinite-dimensional, making traditional…

We construct models for the pricing and risk management of inflation-linked derivatives. The models are rational in the sense that linear payoffs written on the consumer price index have prices that are rational functions of the state…

We suggest two versions of the Hardy--Littlewood--Sobolev inequality for discrete time martingales. In one version, the fractional integration operator is a martingale transform, however, it may vanish if the filtration is excessively…

In this manuscript we define the right fractional derivative and its corresponding right fractional integral for the recently introduced nonlocal fractional derivative with Mittag-Leffler kernel. Then, we obtain the related integration by…

We obtain a decomposition of the call option price for a very general stochastic volatility diffusion model extending the decomposition obtained by E. Al\`os in [2] for the Heston model. We realize that a new term arises when the stock…

We introduce a price impact model which accounts for finite market depth, tightness and resilience. Its coupled bid- and ask-price dynamics induce convex liquidity costs. We provide existence of an optimal solution to the classical problem…

Multidimensional integration by parts formulas apply under the standard assumption that one of the functions is continuous and the other has bounded Hardy-Krause variation. Motivated by recently developed results in the probabilistic…

While absence of arbitrage in frictionless financial markets requires price processes to be semimartingales, non-semimartingales can be used to model prices in an arbitrage-free way, if proportional transaction costs are taken into account.…

We obtain option pricing formulas for stock price models in which the drift and volatility terms are functionals of a continuous history of the stock prices. That is, the stock dynamics follows a nonlinear stochastic functional differential…