Related papers: Gamma Hedging without Rough Paths
Following the renewed interest in the topic [1], we revisit the problem of assigning probabilities to classes of Feynman paths passing through specified space-time regions. We show that by assigning of probabilities to interfering…
Motivated by recent applications in rough volatility and regularity structures, notably the notion of singular modelled distribution, we study paths, rough paths and related objects with a quantified singularity at zero. In a pure path…
We prove a rough It\^o formula for path-dependent functionals of $\alpha$-H\"older continuous paths for $\alpha\in(0,1)$. Our approach combines the sewing lemma and a Taylor approximation in terms of path-dependent derivatives.
As soon as one accepts to abandon the zero-risk paradigm of Black-Scholes, very interesting issues concerning risk control arise because different definitions of the risk become unequivalent. Optimal hedges then depend on the quantity one…
We investigate 't Hooft's technique of changing the gauge parameter of the linear covariant gauge from the point of view of the path integral with respect to the gauge freedom. Extension of the degrees of freedom allows us to formulate a…
Path integrals are a central tool when it comes to describing quantum or thermal fluctuations of particles or fields. Their success dates back to Feynman who showed how to use them within the framework of quantum mechanics. Since then, path…
A method of a non-stationary description of tunneling of a particle through the one-dimensional and spherically symmetric rectangular barriers on the basis of analisis of multiple internal reflections of wave packets in relation on the…
With the use of mathematical techniques of tropical geometry, it was shown by Mikhalkin some twenty years ago that certain Gromov-Witten invariants associated with topological quantum field theories of pseudoholomorphic maps can be computed…
We present a rough path analog of the classical Gronwall Lemma introduced recently by A. Deya, M. Gubinelli, M. Hofmanov\'a, S. Tindel in [arXiv:1604.00437] and discuss two of its applications. First, it is applied in the framework of rough…
This paper revisits the classical Merton portfolio choice problem over infinite horizon for high risk aversion, addressing technical challenges related to establishing the existence and identification of optimal strategies. Traditional…
We refine the analysis of hedging strategies for options under the SABR model carried out in [2]. In particular, we provide a theoretical justification of the empirical observation made in [2] that the modified delta ("Bartlett's delta")…
The theta process is a stochastic process of number theoretical origin arising as a scaling limit of quadratic Weyl sums. It can be described in terms of the geodesic flow and an automorphic function on a homogeneous space. This process has…
It is well known that the kind of P systems involved in the definition of the P conjecture is able to solve problems in the complexity class $\mathbf{P}$ by leveraging the uniformity condition. Here we show that these systems are indeed…
In this article, we introduce an algorithm called Backward Hedging, designed for hedging European and American options while considering transaction costs. The optimal strategy is determined by minimizing an appropriate loss function, which…
The essentials of fractional calculus according to different approaches that can be useful for our applications in the theory of probability and stochastic processes are established. In addition to this, from this fractional integral one…
When the one-form is $Lip\left(\gamma-1\right) $ with $\gamma >p\geq 1$, we construct the integral of a branched $p$-rough path, which defines another branched $p$-rough path. We derive a quantitative bound for this integral and prove that…
New simulation approaches to evaluating path-dependent options without matrix inversion issues nor Euler bias are evaluated. They employ three main contributions: Stochastic approximation replaces regression in the LSM algorithm; Explicit…
The standard way to construct a path integral is to use a Legendre transformation to find the hamiltonian, to repeatedly insert complete sets of states into the time-evolution operator, and then to integrate over the momenta. This procedure…
We uncover a method of calculation that proceeds at every step without fixing the gauge or specifying details of the regularisation scheme. Results are obtained by iterated use of integration by parts and gauge invariance identities.…
Recently a path integral formalism has been proposed by the author which gives the time evolution of moments of slow variables in a Hamiltonian statistical system. This closure relies on evaluating the informational discrepancy of a time…