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We consider arbitrage free valuation of European options in Black-Scholes and Merton markets, where the general structure of the market is known, however the specific parameters are not known. In order to reflect this subjective uncertainty…
Geometrical formulation of classical mechanics with forces that are not necessarily potential-generated is presented. It is shown that a natural geometrical "playground" for a mechanical system of point particles lacking Lagrangian and/or…
We introduce a new preference-based framework for conditional treatment effect estimation and policy learning, built on the Conditional Preference-based Treatment Effect (CPTE). CPTE requires only that outcomes be ranked under a preference…
We present a statistical analysis of spectra of transfer matrices of classical lattice spin models; this continues the work on the eight-vertex model of the preceding paper. We show that the statistical properties of these spectra can serve…
Classical correlations without predefined causal order arise from processes where parties manipulate random variables, and where the order of these interactions is not predefined. No assumption on the causal order of the parties is made,…
The need to condition distributional properties such as expectation, variance, and entropy arises in algorithmic fairness, model simplification, robustness and many other areas. At face value however, distributional properties are not…
In this paper, a general framework is developed for continuous-time financial market models defined from simple strategies through conditional topologies that avoid stochastic calculus and do not necessitate semimartingale models. We then…
The choice of admissible trading strategies in mathematical modelling of financial markets is a delicate issue, going back to Harrison and Kreps (1979). In the context of optimal portfolio selection with expected utility preferences this…
A concept of martingale-fair index of return, consistent with Arbitrage Free Pricing Theory, is introduced. An explicit formula for the average rate of return of a group of investment/pension funds in a discrete time stochastic model is…
We present an Hilbert space formulation for a set of implied volatility models introduced in \cite{BraceGoldys01} in which the authors studied conditions for a family of European call options, varying the maturing time and the strike price…
Contextuality is a central feature distinguishing quantum from classical probability theories, but its operational meaning is often stated only qualitatively. In this Letter, we study a simple information-theoretic question: how much…
We prove the Fundamental Theorem of Asset Pricing for a discrete time financial market where trading is subject to proportional transaction cost and the asset price dynamic is modeled by a family of probability measures, possibly…
We propose a Fundamental Theorem of Asset Pricing and a Super-Replication Theorem in a model-independent framework. We prove these theorems in the setting of finite, discrete time and a market consisting of a risky asset S as well as…
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.…
The canonical theory of sublinear expectations, a foundation of stochastic calculus under ambiguity, is insensitive to the non-convex geometry of primitive uncertainty models. This paper develops a new stochastic calculus for a structured…
We give an infinitesimal meaning to the symbol $dX_t$ for a continuous semimartingale $X$ at an instant in time $t$. We define a vector space structure on the space of differentials at time $t$ and deduce key properties consistent with the…
Classical non-relativistic mechanics in a general setting of time-dependent transformations and reference frame changes is formulated in the terms of fibre bundles over the time-axis R. Connections on fibre bundles are the main ingredient…
The continuous-time version of Kyle's (1985) model is studied, in which market makers are not fiduciaries. They have some market power which they utilize to set the price to their advantage, resulting in positive expected profits. This has…
On the basis of information theory, a new formalism of classical non-relativistic mechanics of a mass point is proposed. The particle trajectories of a general dynamical system defined on an (1+n)-dimensional smooth manifold are treated…
The space of call price functions has a natural noncommutative semigroup structure with an involution. A basic example is the Black--Scholes call price surface, from which an interesting inequality for Black--Scholes implied volatility is…