相关论文: Arbitrage-free exchange rate ensembles over a gene…
In this note we discuss - in what is intended to be a pedagogical fashion - FX option pricing in target zones with attainable boundaries. The boundaries must be reflecting. The no-arbitrage requirement implies that the differential (foreign…
In a model with no given probability measure, we consider asset pricing in the presence of frictions and other imperfections and characterize the property of coherent pricing, a notion related to (but much weaker than) the no arbitrage…
In this work, we investigate a simple nonequilibrium system with many interconnected, open subsystems, each exchanging a globally conserved resource with an external reserve. The system is represented by a random graph, where nodes…
We propose a novel statistical model for sparse networks with overlapping community structure. The model is based on representing the graph as an exchangeable point process, and naturally generalizes existing probabilistic models with…
We consider a random graph model evolving in discrete time-steps that is based on 3-interactions among vertices. Triangles, edges and vertices have different weights; objects with larger weight are more likely to participate in future…
We study a dynamic market setting where an intermediary interacts with an unknown large sequence of agents that can be either sellers or buyers: their identities, as well as the sequence length $n$, are decided in an adversarial, online…
Trades based on bilateral (indivisible) contracts can be represented by a network. Vertices correspond to agents while arcs represent the non-price elements of a bilateral contract. Given prices for each arc, agents choose the incident arcs…
In practice there are temporary arbitrage opportunities arising from the fact that prices for a given asset at different stock exchanges are not instantaneously the same. We will show that even in such an environment there exists a…
We define a class of pure exchange Edgeworth trading processes that under minimal assumptions converge to a stable set in the space of allocations, and characterise the Pareto set of these processes. Choosing a specific process belonging to…
Complex networks are now being studied in a wide range of disciplines across science and technology. In this paper we propose a method by which one can probe the properties of experimentally obtained network data. Rather than just measuring…
We study random graphs with arbitrary distributions of expected degree and derive expressions for the spectra of their adjacency and modularity matrices. We give a complete prescription for calculating the spectra that is exact in the limit…
The efficient market hypothesis (EMH) famously stated that prices fully reflect the information available to traders. This critically depends on the transfer of information into prices through trading strategies. Traders optimise their…
Breaking of equivalence between the microcanonical ensemble and the canonical ensemble, describing a large system subject to hard and soft constraints, respectively, was recently shown to occur in large random graphs. Hard constraints must…
A recently developed semiclassical approximation to exchange in one dimension is shown to be almost exact, with essentially no computational cost. The variational stability of this approximation is tested, and its far greater accuracy…
Given a graph $G$, a subset $S \subseteq V(G)$ is \textit{cycle convex}, if for any vertex $v \in V(G) \setminus S$, the induced subgraph, $G[S \cup \{v\}]$ cannot form a cycle containing the vertex $v$. The \textit{exchange number} of $G$,…
The extreme eigenvalues of adjacency matrices are important indicators on the influences of topological structures to collective dynamical behavior of complex networks. Recent findings on the ensemble averageability of the extreme…
A general random graph evolution mechanism is defined. The evolution is a combination of the preferential attachment model and the interaction of N vertices (N>=3). A vertex in the graph is characterized by its degree and its weight. The…
We present a general derivation of the arbitrage-free pricing framework for multiple-currency collateralized products. We include the impact on option pricing of the policy adopted to fund in foreign currency, so that we are able to price…
World currency network constitutes one of the most complex structures that is associated with the contemporary civilization. On a way towards quantifying its characteristics we study the cross correlations in changes of the daily foreign…
Weighted reciprocity between two agents can be defined as the minimum of sending and receiving value in their bilateral relationship. In financial networks, such reciprocity characterizes the importance of individual banks as both liquidity…