相关论文: Extension theorems for linear operators on $L_\inf…
We seek to utilize the nonextensive statistics to the microscopic modeling of the interacting many-investor dynamics that drive the price changes in a market. The statistics of price changes are known to be fit well by the Students-T and…
This paper deals with applications of coherent risk measures to pricing in incomplete markets. Namely, we study the No Good Deals pricing technique based on coherent risk. Two forms of this technique are presented: one defines a good deal…
In this paper we provide a quantitative analysis to the concept of arbitrage, that allows to deal with model uncertainty without imposing the no-arbitrage condition. In markets that admit ``small arbitrage", we can still make sense of the…
We consider a simple model of higher order, functional computation over the booleans. Then, we enrich the model in order to encompass non-termination and unrecoverable errors, taken separately or jointly. We show that the models so defined…
This note continues investigation of randomness-type properties emerging in idealized financial markets with continuous price processes. It is shown, without making any probabilistic assumptions, that the strong variation exponent of…
Extending functions from boundary values plays an important role in various applications. In this thesis we consider discrete and continuous formulations of the problem based on $p$-Laplacians, in particular for $p=\infty$ and tight…
This paper demonstrates the additive and multiplicative version of a long-run law of unexpected shocks for any economic variable. We derive these long-run laws by the martingale theory without relying on the stationary and ergodic…
We extend the spectral method for proving limit theorems to random non-uniformly expanding dynamical systems. This yields the CLT and moderate deviations principles (MDP). We show that as the amount of non-uniformity decreases the CLT rates…
A classical inventory problem is studied from the perspective of embedded options, reducing inventory-management to the design of optimal contracts for forward delivery of stock (commodity). Financial option techniques \`{a} la…
The goal of this contribution is to investigate L${}^2$ extension properties for holomorphic sections of vector bundles satisfying weak semi-positivity properties. Using techniques borrowed from recent proofs of the Ohsawa-Takegoshi…
This paper focuses on an extension of the Limit Order Book (LOB) model with general shape introduced by Alfonsi, Fruth and Schied. Here, the additional feature allows a time-varying LOB depth. We solve the optimal execution problem in this…
We consider testing zero pricing errors in high-dimensional linear factor pricing models. Existing methods are mainly based on either an $L_2$ statistic, which is effective under dense alternatives, or an $L_\infty$ statistic, which is…
We define the concept of good trade execution and we construct explicit adapted good trade execution strategies in the framework of linear temporary market impact. Good trade execution strategies are dynamic, in the sense that they react to…
The recent financial crisis has led to so-called multi-curve models for the term structure. Here we study a multi-curve extension of short rate models where, in addition to the short rate itself, we introduce short rate spreads. In…
Beyond its obvious macro-economic relevance, fiat money has important micro-economic implications. They matter for addressing No. 8 in Smale's "Mathematical Problems for the Next Century": extend the mathematical model of general…
The dynamics of the expansion of a Lennard-Jones system, initially confined at high density and subsequently expanding freely in the vacuum, is confronted to an expanding statistical ensemble, derived in the diluted quasi-ideal Boltzmann…
We develop elements of a general dilation theory for operator-valued measures and bounded linear maps between operator algebras that are not necessarily completely-bounded. We prove our main results by extending and generalizing some known…
We develop high-order numerical schemes to solve random hyperbolic conservation laws using linear programming. The proposed schemes are high-order extensions of the existing first-order scheme introduced in [{\sc S. Chu, M. Herty, M.…
Unemployment insurance provides temporary cash benefits to eligible unemployed workers. Benefits are sometimes extended by discretion during economic slumps. In a model that features temporary benefits and sequential job opportunities, a…
Nonlinear contraction theory is a comparatively recent dynamic control system design tool based on an exact differential analysis of convergence, in essence converting a nonlinear stability problem into a linear time-varying stability…