相关论文: Extension theorems for linear operators on $L_\inf…
The impact of trades on asset prices is a crucial aspect of market dynamics for academics, regulators and practitioners alike. Recently, universal and highly nonlinear master curves were observed for price impacts aggregated on all…
In this article, we investigate the behavior of long-term options. In many cases, option prices follow an exponential decay (or growth) rate for further maturity dates. We determine under what conditions option prices are characterized by…
The paper develops general, discrete, non-probabilistic market models and minmax price bounds leading to price intervals for European options. The approach provides the trajectory based analogue of martingale-like properties as well as a…
Monotone convex operators and time-consistent systems of operators appear naturally in stochastic optimization and mathematical finance in the context of pricing and risk measurement. We study the dual representation of a monotone convex…
We study a continuous-time financial market with continuous price processes under model uncertainty, modeled via a family $\mathcal{P}$ of possible physical measures. A robust notion ${\rm NA}_{1}(\mathcal{P})$ of no-arbitrage of the first…
We study $\ell^r$-valued extensions of linear operators defined on Lebesgue spaces with variable exponent. Under some natural (and usual) conditions on the exponents, we characterize $1\leq r\leq \infty$ such that every bounded linear…
We establish a super-replication duality in a continuous-time financial model where an investor's trades adversely affect bid- and ask-prices for a risky asset and where market resilience drives the resulting spread back towards zero at an…
We consider a dynamic pricing problem where customer response to the current price is impacted by the customer price expectation, aka reference price. We study a simple and novel reference price mechanism where reference price is the…
For a converging sequence of exponential L\'evy models, we give conditions under which the associated sequence of option prices converges. We also study the behaviour of the prices when no such convergence holds. We then consider two…
Mathematical models of the real world are simplified representations of complex systems. A caveat to using mathematical models is that predicted causal effects and conditional independences may not be robust under model extensions, limiting…
In the framework of an incomplete financial market where the stock price dynamics are modeled by a continuous semimartingale (not necessarily Markovian) an explicit second-order expansion formula for the power investor's value function -…
This is an overview of a few possibilities that are open by model theory in applied mathematics. Most attention is paid to the present state and frontiers of the Cauchy method of majorants, approximation of operator equations with…
This paper is devoted to a study of robust fundamental theorems of asset pricing in discrete time and finite horizon settings. Uncertainty is modelled by a (possibly uncountable) family of price processes on the same probability space. Our…
The seller's risk-indifference price evaluation is studied. We propose a dynamic risk-indifference pricing criteria derived from a fully-dynamic family of risk measures on the $L_p$-spaces for $p\in [1,\infty]$. The concept of fully-dynamic…
In this paper we extend discrete time semi-static trading strategies by also allowing for dynamic trading in a finite amount of options, and we study the consequences for the model-independent super-replication prices of exotic derivatives.…
We consider a multiproduct monopoly pricing model. We provide sufficient conditions under which the optimal mechanism can be implemented via upgrade pricing -- a menu of product bundles that are nested in the strong set order. Our approach…
A pricing principle is introduced for non-attainable $q$-exponential bounded contingent claims in an incomplete Brownian motion market setting. The buyer evaluates the contingent claim under the ``distorted Radon-Nikodym derivative'' and…
We use the optimized perturbation theory, or linear delta expansion, to evaluate the critical exponents in the critical 3d O(N) invariant scalar field model. Regarding the implementation procedure, this is the first successful attempt to…
We prove that operators satisfying the hypotheses of the extrapolation theorem for Muckenhoupt weights are bounded on weighted Morrey spaces. As a consequence, we obtain at once a number of results that have been proved individually for…
We consider the pricing of derivatives in a setting with trading restrictions, but without any probabilistic assumptions on the underlying model, in discrete and continuous time. In particular, we assume that European put or call options…