Related papers: Fundamental theorem for quantum asset pricing
Portfolio optimization plays a central role in finance to obtain optimal portfolio allocations that aim to achieve certain investment goals. Over the years, many works have investigated different variants of portfolio optimization.…
Quantum Mechanics (QM) is a very special probabilistic theory, yet we don't know which operational principles make it so. All axiomatization attempts suffer at least one postulate of a mathematical nature. Here I will analyze the…
In the information-based approach to asset pricing the market filtration is modelled explicitly as a superposition of signals concerning relevant market factors and independent noise. The rate at which the signal is revealed to the market…
Identifying what quantum-mechanical properties are useful to untap a superior performance in quantum technologies is a pivotal question. Quantum resource theories provide a unified framework to analyze and understand such properties, as…
Financial crimes fast proliferation and sophistication require novel approaches that provide robust and effective solutions. This paper explores the potential of quantum algorithms in combating financial crimes. It highlights the advantages…
We consider the computation of model-free bounds for multi-asset options in a setting that combines dependence uncertainty with additional information on the dependence structure. More specifically, we consider the setting where the…
Resource theories play a crucial role in characterizing states and properties essential for quantum information processing. A significant challenge is protecting resources from errors. We explore strategies for correcting quantum resources.…
In a model with no given probability measure, we consider asset pricing in the presence of frictions and other imperfections and characterize the property of coherent pricing, a notion related to (but much weaker than) the no arbitrage…
We describe human-subject laboratory experiments on probabilistic auctions based on previously proposed auction protocols involving the simulated manipulation and communication of quantum states. These auctions are probabilistic in…
In a financial market, for agents with long investment horizons or at times of severe market stress, it is often changes in the asset price that act as the trigger for transactions or shifts in investment position. This suggests the use of…
The resource-theoretic approach to quantum thermodynamics assumes complete knowledge of the thermal equilibrium against which thermodynamic resources are defined. In practice, however, this state is determined by the system Hamiltonian and…
A quantum mechanical generalization of superstatistics is presented here based on the positive operator valued measure transformation property of the system density matrix. This procedure reveals that the origin of the fluctuating factors…
Operating quantum sensors and quantum computers would make data in the form of quantum states available for purely quantum processing, opening new avenues for studying physical processes and certifying quantum technologies. In this…
We provide a Fundamental Theorem of Asset Pricing and a Superhedging Theorem for a model independent discrete time financial market with proportional transaction costs. We consider a probability-free version of the Robust No Arbitrage…
Classical asset pricing relies on the risk-neutral measure $Q$ for valuation, yet its economic interpretation is typically anchored in a physical measure $P$. This creates an inherent asymmetry: pricing is governed by $Q$, while meaning…
Of indisputable relevance for non-equilibrium thermodynamics, fluctuations theorems have been generalized to the framework of quantum thermodynamics, with the notion of work playing a key role in such contexts. The typical approach consists…
We consider infinite dimensional optimization problems motivated by the financial model called Arbitrage Pricing Theory. Using probabilistic and functional analytic tools, we provide a dual characterization of the super-replication cost.…
The recent development of quantum computing gives us an opportunity to explore its potential applications to many fields, with the field of finance being no exception. In this paper, we apply the deep quantum neural network proposed by Beer…
In this study, we investigate asset price bubbles in a discrete-time, discrete-state market under model uncertainty and short sales prohibitions. Building on a new fundamental theorem of asset pricing and a superhedging duality in this…
A digital currency is money in a digital form. In this model, maintaining integrity of the supply is a core concern, therefore protections against double-spending are often at the heart of a secure digital money scheme. Quantum money…