相关论文: Arbitrage-free exchange rate ensembles over a gene…
In traditional financial markets, yield curves are widely available for countries (and, by extension, currencies), financial institutions, and large corporates. These curves are used to calibrate stochastic interest rate models, discount…
The paper describes an explicit combinatorial formula for a harmonic vector for the Laplacian of a directed graph with arbitrary edge weights. This result was motivated by questions from mathematical economics, and the formula plays a…
We study a set of scattering matrices of quantum graphs containing minimal number of passbands, i.e., maximal number of zero elements. The cases of even and odd vertex degree are considered. Using a solution of inverse scattering problem,…
This paper studies arbitrage pricing theory in financial markets with implicit transaction costs. We extend the existing theory to include the more realistic possibility that the price at which the investors trade is dependent on the traded…
The paper investigates quadratic hedging in a semimartingale market that does not necessarily contain a risk-free asset. An equivalence result for hedging with and without numeraire change is established. This permits direct computation of…
We consider the triangle-free process: given an integer n, start by taking a uniformly random ordering of the edges of the complete n-vertex graph K_n. Then, traverse the ordered edges and add each traversed edge to an (initially empty)…
Graph vertex sampling set selection aims at selecting a set of ver-tices of a graph such that the space of graph signals that can be reconstructed exactly from those samples alone is maximal. In this context, we propose to extend sampling…
Lead-lag relationships among assets represent a useful tool for analyzing high frequency financial data. However, research on these relationships predominantly focuses on correlation analyses for the dynamics of stock prices, spots and…
The pricing and hedging of a general class of options (including American, Bermudan and European options) on multiple assets are studied in the context of currency markets where trading is subject to proportional transaction costs, and…
Let $G$ be a graph with edge set $(e_1,e_2,...e_N)$. We independently associate to each edge $e_i$ of $G$ a cost ${x}_i$ that is drawn from a Uniform [0, 1] distribution. Suppose $\mathcal{F}$ is a set of targeted structures that consists…
In this paper, a general model of a pure exchange differential information economy is studied. In this economic model, the space of states of nature is a complete probability measure space, the space of agents is a measure space with a…
A common assumption in financial engineering is that the market price for any derivative coincides with an objectively defined risk-neutral price - a plausible assumption only if traders collectively possess objective knowledge about the…
We study the tailoring of structured random graph ensembles to real networks, with the objective of generating precise and practical mathematical tools for quantifying and comparing network topologies macroscopically, beyond the level of…
In this article we give an in depth overview of the recent advances in the field of equilibrium networks. After outlining this topic, we provide a novel way of defining equilibrium graph (network) ensembles. We illustrate this concept on…
The study of sorting permutations by block interchanges has recently been stimulated by a phenomenon observed in the genome maintenance of certain ciliate species. The result was the identification of a block interchange operation that…
We derive the arbitrage gains or, equivalently, Loss Versus Rebalancing (LVR) for arbitrage between \textit{two imperfectly liquid} markets, extending prior work that assumes the existence of an infinitely liquid reference market. Our…
Markets composed of stocks with capitalization processes represented by positive continuous semimartingales are studied under the condition that the market excess growth rate is bounded away from zero. The following examples of these…
Recent studies concerning the point electricity price forecasting have shown evidence that the hourly German Intraday Continuous Market is weak-form efficient. Therefore, we take a novel, advanced approach to the problem. A probabilistic…
The purpose of this work is to explore the role that arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a stationary…
In electricity markets, futures contracts typically function as a swap since they deliver the underlying over a period of time. In this paper, we introduce a market price for the delivery periods of electricity swaps, thereby opening an…