Related papers: Mathematical Foundations of Quantum Pricing Theory
This paper introduces a comprehensive framework for Financial Information Theory by applying information-theoretic concepts such as entropy, Kullback-Leibler divergence, mutual information, normalized mutual information, and transfer…
Classical matching theory can be defined in terms of matrices with nonnegative entries. The notion of Positive operator, central in Quantum Theory, is a natural generalization of matrices with nonnegative entries. Based on this point of…
Efficient large-scale network allocation requires data-driven pricing mechanisms that internalize the stochastic and non-linear dynamics of user behavior. We move beyond the classic fully strategic agents to study oblivious users (agents…
In this Thesis, several results in quantum information theory are collected, most of which use entropy as the main mathematical tool. *While a direct generalization of the Shannon entropy to density matrices, the von Neumann entropy behaves…
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…
We study the visible compression of a source E of pure quantum signal states, or, more formally, the minimal resources per signal required to represent arbitrarily long strings of signals with arbitrarily high fidelity, when the compressor…
We study the performance of anonymous posted-price selling mechanisms for a standard Bayesian auction setting, where $n$ bidders have i.i.d. valuations for a single item. We show that for the natural class of Monotone Hazard Rate (MHR)…
A financial market model where agents trade using realistic combinations of buy-and-hold strategies is considered. Minimal assumptions are made on the discounted asset-price process - in particular, the semimartingale property is not…
We consider the pricing of European-style structured credit payoff in a static framework, where the underlying default times are independent given a common factor. A practical application would consist of the pricing of nth-to-default…
For utility functions $u$ finite valued on $\mathbb{R}$, we prove a duality formula for utility maximization with random endowment in general semimartingale incomplete markets. The main novelty of the paper is that possibly non locally…
We consider a periodical equilibrium pricing problem for multiple firms over a planning horizon of T periods. At each period, firms set their selling prices and receive stochastic demand from consumers. Firms do not know their underlying…
We consider the pricing problem related to payoffs that can have discontinuities of polynomial growth. The asset price dynamic is modeled within the Black and Scholes framework characterized by a stochastic volatility term driven by a…
In the setting proposed by Hughston & Rafailidis (2005) we consider general interest rate models in the case of a Brownian market information filtration $(\mathcal{F}_t)_{t\geq0}$. Let $X$ be a square-integrable…
This thesis consolidates, improves and extends the smooth entropy framework for non-asymptotic information theory and cryptography. We investigate the conditional min- and max-entropy for quantum states, generalizations of classical R\'enyi…
We study contextual dynamic pricing, where a decision maker posts personalized prices based on observable contexts and receives binary purchase feedback indicating whether the customer's valuation exceeds the price. Each valuation is…
In a global derivatives market with notional values in the hundreds of trillions of dollars, the accuracy and efficiency of pricing models are of fundamental importance, with direct implications for risk management, capital allocation, and…
Risk-neutral pricing dictates that the discounted derivative price is a martingale in a measure equivalent to the economic measure. The residual ambiguity for incomplete markets is here resolved by minimising the entropy of the price…
Based on the problem of quantum data compression in a lossless way, we present here an operational interpretation for the family of quantum R\'enyi entropies. In order to do this, we appeal to a very general quantum encoding scheme that…
We develop a weighted mixed-norm $L_q(L_p)$-estimates for solutions to fractional evolution equations of the form \[ \partial_t^\alpha w(t,x) = \phi(\Delta) w(t,x) + h(t,x), \quad w(0,\cdot) = w_0, \quad t > 0, \; x \in \mathbb{R}^d, \]…
We consider the dynamics $t\mapsto\tau_t$ of an infinite quantum lattice system that is generated by a local interaction. If the interaction decomposes into a finite number of terms that are themselves local interactions, we show that…