相关论文: Pricing principle via Tsallis relative entropy in …

In this work, we derive information-theoretic properties for a modified Tsallis entropy, hereinafter referred to as q-entropy. We introduce the notions of joint q-entropy, conditional q-entropy, relative q-entropy, conditional mutual…

We address the generalized uncertainty principle in scenarios of successive measurements. Uncertainties are characterized by means of generalized entropies of both the R\'{e}nyi and Tsallis types. Here, specific features of measurements of…

Consider a financial market in which an agent trades with utility-induced restrictions on wealth. For a utility function which satisfies the condition of reasonable asymptotic elasticity at $-\infty$ we prove that the utility-based…

We provide a rigorous first-principle derivation of the non-additive Tsallis' entropy by employing the Chaitin-Kolmogorov algorithmic information theory. By applying non-local restrictive rules on the string formation (grammar), we show…

Financial markets based on L\'evy processes are typically incomplete and option prices depend on risk attitudes of individual agents. In this context, the notion of utility indifference price has gained popularity in the academic circles.…

In the quest for market mechanisms that are easy to implement, yet close to optimal, few seem as viable as posted pricing. Despite the growing body of impressive results, the performance of most posted price mechanisms however, rely…

In discrete time markets with proportional transaction costs, Schachermayer (2004) shows that robust no-arbitrage is equivalent to the existence of a strictly consistent price system. In this paper, we introduce the concept of prospective…

We consider a financial market with one riskless and one risky asset. The super-replication theorem states that there is no duality gap in the problem of super-replicating a contingent claim under transaction costs and the associated dual…

We introduce a price impact model which accounts for finite market depth, tightness and resilience. Its coupled bid- and ask-price dynamics induce convex liquidity costs. We provide existence of an optimal solution to the classical problem…

The aim of the present paper is to present a careful and accessible discussion of the formal aspects of Boltzmann-Gibbs and Tsallis entropies. We begin with a brief overview of Boltzmann-Gibbs entropy, highlighting its main properties and…

Coherence is the most fundamental quantum feature of the nonclassical systems. The understanding of coherence within the resource theory has been attracting increasing interest among which the quantification of coherence is an essential…

We give a new proof of the theorems on the maximum entropy principle in Tsallis statistics. That is, we show that the $q$-canonical distribution attains the maximum value of the Tsallis entropy, subject to the constraint on the…

In this paper, we introduce a model that adds a non-linearity to discounting: the discounting factor may depend on the notional (i.e., discounted values are no longer linear in the notional). In the first part of the paper, we provide a…

Tsallis has suggested a nonextensive generalization of the Boltzmann-Gibbs entropy, the maximization of which gives a generalized canonical distribution under special constraints. In this brief report we show that the generalized canonical…

We study utility indifference prices and optimal purchasing quantities for a non-traded contingent claim in an incomplete semi-martingale market with vanishing hedging errors. We make connections with the theory of large deviations. We…

We study time consistent dynamic pricing mechanisms of European contingent claims under uncertainty by using G framework introduced by Peng ([24]). We consider a financial market consisting of a riskless asset and a risky stock with price…

The maximum entropy principle in Tsallis statistics is reformulated in the mathematical framework of the q-product, which results in the unique non self-referential q-canonical distribution. As one of the applications of the present…

We propose a new definition for tameness within the model of security prices as It\^o processes that is risk-aware. We give a new definition for arbitrage and characterize it. We then prove a theorem that can be seen as an extension of the…

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…

Generalizations of the quantum Fano inequality are considered. The notion of $q$-entropy exchange is introduced. This quantity is concave in each of its two arguments. For $q\geq0$, the inequality of Fano type with $q$-entropic functionals…