相关论文: Extension theorems for linear operators on $L_\inf…

The paper studies sub and super-replication price bounds for contingent claims defined on general trajectory based market models. No prior probabilistic or topological assumptions are placed on the trajectory space, trading is assumed to…

In continuous-choice settings, consumers decide not only on whether to purchase a product, but also on how much to purchase. Thus, firms optimize a full price schedule rather than a single price point. This paper provides a methodology to…

We consider fundamental questions of arbitrage pricing arising when the uncertainty model is given by a set of possible mutually singular probability measures. With a single probability model, essential equivalence between the absence of…

Extensions of previous linear regression models for interval data are presented. A more flexible simple linear model is formalized. The new model may express cross-relationships between mid-points and spreads of the interval data in a…

We use series expansions to study dynamics of equilibrium and non-equilibrium systems on networks. This analytical method enables us to include detailed non-universal effects of the network structure. We show that even low order…

In this paper we discuss practical limitations of the standard choice-based demand models used in the literature to estimate demand from sales transaction data. We present modifications and extensions of the models and discuss data…

We develop a theory of operator renewal sequences in the context of infinite ergodic theory. For large classes of dynamical systems preserving an infinite measure, we determine the asymptotic behaviour of iterates $L^n$ of the transfer…

The general method is proposed for constructing a family of martingale measures for a wide class of evolution of risky assets. The sufficient conditions are formulated for the evolution of risky assets under which the family of equivalent…

We study the martingale optimal transport problem with state-dependent trading frictions and develop a geometric and duality framework extending from the one time-step to the multi-marginal setting. Building on the left-monotone structure…

This paper discusses the connection between mathematical finance and statistical modelling which turns out to be more than a formal mathematical correspondence. We like to figure out how common results and notions in statistics and their…

We obtain option pricing formulas for stock price models in which the drift and volatility terms are functionals of a continuous history of the stock prices. That is, the stock dynamics follows a nonlinear stochastic functional differential…

We consider a Hilbert space that is a product of a finite number of Hilbert spaces and operators that are represented by "componental operators" acting on the Hilbert spaces that form the product space. We attribute operatorial properties…

We investigate the supports of extremal martingale measures with pre-specified marginals in a two-period setting. First, we establish in full generality the equivalence between the extremality of a given measure $Q$ and the denseness in…

Employing probabilistic techniques we compute best possible upper and lower bounds on the price of an option on one or two assets with continuous piecewise linear payoff function based on prices of simple call options of possibly distinct…

We extend the notions of conditioned and controlled invariant spaces to linear dynamical systems over the max-plus or tropical semiring. We establish a duality theorem relating both notions, which we use to construct dynamic observers.…

We consider option pricing in a regime-switching diffusion market. As the market is incomplete, there is no unique price for a derivative. We apply the good-deal pricing bounds idea to obtain ranges for the price of a derivative. As an…

For discretisations of hyperbolic conservation laws, mimicking properties of operators or solutions at the continuous (differential equation) level discretely has resulted in several successful methods. While well-posedness for nonlinear…

As operators acting on the undetermined final settlement of a derivative security, expectation is linear but price is non-linear. When the market of underlying securities is incomplete, non-linearity emerges from the bid-offer around the…

We consider plain vanilla European options written on an underlying asset that follows a continuous time semi-Markov multiplicative process. We derive a formula and a renewal type equation for the martingale option price. In the case in…

Models to price long term loans in the securities lending business are developed. These longer horizon deals can be viewed as contracts with optionality embedded in them. This insight leads to the usage of established methods from…