Related papers: Conditional Non-Lattice Integration, Pricing and S…

This paper studies the optimal investment problem with random endowment in an inventory-based price impact model with competitive market makers. Our goal is to analyze how price impact affects optimal policies, as well as both pricing rules…

It is shown that delta hedging provides the optimal trading strategy in terms of minimal required initial capital to replicate a given terminal payoff in a continuous-time Markovian context. This holds true in market models where no…

We consider fundamental questions of arbitrage pricing arising when the uncertainty model is given by a set of possible mutually singular probability measures. With a single probability model, essential equivalence between the absence of…

The classical Lagrange formalism is generalized to the case of arbitrary stationary (but not necessarily conservative) dynamical systems. It is shown that the equations of motion for such systems can be derived in the standard ways from the…

Conditional probabilities are a core concept in machine learning. For example, optimal prediction of a label $Y$ given an input $X$ corresponds to maximizing the conditional probability of $Y$ given $X$. A common approach to inference tasks…

There is a growing interest in the so-called Bayesian Predictive Inference approach, which allows to perform Bayesian inference without specifying the likelihood and prior of the model, or the need of any MCMC. Instead, only a sequence of…

The concept of complementarity in combination with a non-Boolean calculus of propositions refers to a pivotal feature of quantum systems which has long been regarded as a key to their distinction from classical systems. But a non-Boolean…

We study a natural variant of the implicational fragment of propositional logic. Its formulas are pairs of conjunctions of positive literals, related together by an implicational-like connective; the semantics of this sort of implication is…

We consider non-concave and non-smooth random utility functions with do- main of definition equal to the non-negative half-line. We use a dynamic pro- gramming framework together with measurable selection arguments to establish both the…

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…

In Bender and Dokuchaev (2013), we studied a control problem related to swing option pricing in a general non-Markovian setting. The main result there shows that the value process of this control problem can be uniquely characterized in…

In this article we propose a study of market models starting from a set of axioms, as one does in the case of risk measures. We define a market model simply as a mapping from the set of adapted strategies to the set of random variables…

Recent empirical studies suggest that the volatility of an underlying price process may have correlations that decay slowly under certain market conditions. In this paper, the volatility is modeled as a stationary process with long-range…

The classic model of computable randomness considers martingales that take real or rational values. Recent work by Bienvenu et al. (2012) and Teutsch (2014) shows that fundamental features of the classic model change when the martingales…

Quantum cognition often explains order effects, contextuality, and violations of the law of total probability by replacing classical probability with quantum probability on a fixed event structure. This paper proposes a different…

This papers addresses the stock option pricing problem in a continuous time market model where there are two stochastic tradable assets, and one of them is selected as a num\'eraire. It is shown that the presence of arbitrarily small…

We model a nonlinear price curve quoted in a market as the utility indifference curve of a representative liquidity supplier. As the utility function we adopt a g-expectation. In contrast to the standard framework of financial engineering,…

This article is the second one in a series on the use of scaling invariance in finance. In the first article (cond-mat/9906048), we introduced a new formalism for the pricing of derivative securities, which focusses on tradable objects…

We analyze the relative price change of assets starting from basic supply/demand considerations subject to arbitrary motivations. The resulting stochastic differential equation has coefficients that are functions of supply and demand. We…

The pricing of options, warrants and other derivative securities is one of the great success of financial economics. These financial products can be modeled and simulated using quantum mechanical instruments based on a Hamiltonian…