Related papers: Gamma Hedging without Rough Paths
Delta hedging, which plays a crucial r\^ole in modern financial engineering, is a tracking control design for a "risk-free" management. We utilize the existence of trends in financial time series (Fliess M., Join C.: A mathematical proof of…
We consider a general path-dependent version of the hedging problem with price impact of Bouchard et al. (2019), in which a dual formulation for the super-hedging price is obtained by means of PDE arguments, in a Markovian setting and under…
Within a financial model with linear price impact, we study the problem of hedging a covered European option under gamma constraint. Using stochastic target and partial differential equation smoothing techniques, we prove that the…
Recently, the author has proposed a generalization of the matrix and vector models approach to the theory of random surfaces and polymers. The idea is to replace the simple matrix or vector (path) integrals by gauge theory or non-linear…
The paper investigates quadratic hedging in a semimartingale market that does not necessarily contain a risk-free asset. An equivalence result for hedging with and without numeraire change is established. This permits direct computation of…
Rough path theory is focused on capturing and making precise the interactions between highly oscillatory and non-linear systems. It draws on the analysis of LC Young and the geometric algebra of KT Chen. The concepts and the uniform…
This paper presents a comprehensive analysis of a broad range of variations of the stochastic proximal point method (SPPM). Proximal point methods have attracted considerable interest owing to their numerical stability and robustness…
We propose a deep hedging framework for index option portfolios, grounded in a realistic market simulator that captures the joint dynamics of S&P 500 returns and the full implied volatility surface. Our approach integrates surface-informed…
We extend the new approach introduced in arXiv:1912.02064v2 [math.PR] and arXiv:2102.10119v1 [math.PR] for dealing with stochastic Volterra equations using the ideas of Rough Path theory and prove global existence and uniqueness results.…
We give here a covariant definition of the path integral formalism for the Lagrangian, which leaves a freedom to choose anyone of many possible quantum systems that correspond to the same classical limit without adding new potential terms…
Black hole perturbation theory beyond second order is not well understood because typically one defines the meaning of gauge invariance order by order which is ambiguous. In this series of works we therefore developed a new approach which…
We develop a general framework for pathwise stochastic integration that extends F\"ollmer's classical approach beyond gradient-type integrands and standard left-point Riemann sums and provides pathwise counterparts of It\^o, Stratonovich,…
When path integrals are discussed in quantum field theory, it is almost always assumed that the fields take values in a vector bundle. When the fields are instead valued in a possibly-curved fiber bundle, the independence of the formal path…
The theory of rough paths arose from a desire to establish continuity properties of ordinary differential equations involving terms of low regularity. While essentially an analytic theory, its main motivation and applications are in…
We prove well-posedness and rough path stability of a class of linear and semi-linear rough PDE's on $\mathbb{R}^d$ using the variational approach. This includes well-posedness of (possibly degenerate) linear rough PDE's in…
In a discrete-time market, we study model-independent superhedging, while the semi-static superhedging portfolio consists of {\it three} parts: static positions in liquidly traded vanilla calls, static positions in other tradable, yet…
Real-world data is laden with outlying values. The challenge for machine learning is that the learner typically has no prior knowledge of whether the feedback it receives (losses, gradients, etc.) will be heavy-tailed or not. In this work,…
We obtain a compactness result for $\Gamma$-convergence of integral functionals defined on $\mathcal{A}$-free vector fields. This is used to study homogenization problems for these functionals without periodicity assumptions. More…
We provide a new paradigm for quantum simulation that is based on path integration that allows quantum speedups to be observed for problems that are more naturally expressed using the path integral formalism rather than the conventional…
The gauge principle is at the heart of a good part of fundamental physics: Starting with a group G of so-called rigid symmetries of a functional defined over space-time Sigma, the original functional is extended appropriately by additional…