相关论文: A Harmonic Analysis Solution to the Static Basket …

This paper investigates arbitrage properties of financial markets under distributional uncertainty using Wasserstein distance as the ambiguity measure. The weak and strong forms of the classical arbitrage conditions are considered. A…

In this paper we consider a stochastic heavy-ball method for solving linear ill-posed inverse problems. With suitable choices of the step-sizes and the momentum coefficients, we establish the regularization property of the method under {\it…

Paper is based on "The cost of illiquidity and its effects on hedging", L. C. G. Rogers and Surbjeet Singh, 2010. We generalize its thesis to constant elasticity model, which own previously used Black-Schoels model as a special case. The…

In this paper we study the problem of model reduction by moment matching for stochastic systems. We characterize the mathematical object which generalizes the notion of moment to stochastic differential equations and we find a class of…

Geometric arbitrage theory reformulates a generic asset model possibly allowing for arbitrage by packaging all asset and their forward dynamics into a stochastic principal fibre bundle, with a connection whose parallel transport encodes…

There exist several methods how more general options can be priced with call prices. In this article, we extend these results to cover a wider class of options and market models. In particular, we introduce a new pricing formula which can…

The strong relative arbitrage problem in Stochastic Portfolio Theory seeks an investment strategy that almost surely outperforms a benchmark portfolio at the end of a given time horizon. The highest relative return in relative arbitrage…

In the buyback problem, an algorithm observes a sequence of bids and must decide whether to accept each bid at the moment it arrives, subject to some constraints on the set of accepted bids. Decisions to reject bids are irrevocable, whereas…

In this paper we study regularity estimates for the solution to an obstacle problem arising in stochastic impulse control theory. We prove using elementary methods the known sharp $C_{loc}^{1,1}$ estimate for the solution. The new proof is…

Budget constraints are ubiquitous in online advertisement auctions. To manage these constraints and smooth out the expenditure across auctions, the bidders (or the platform on behalf of them) often employ pacing: each bidder is assigned a…

We present closed analytical approximations for the pricing of basket options, also applicable to Asian options with discrete averaging under the Black-Scholes model with time-dependent parameters. The formulae are obtained by using a…

We derive tractable necessary and sufficient conditions for the absence of buy-and-hold arbitrage opportunities in a perfectly liquid, one period market. We formulate the positivity of Arrow-Debreu prices as a generalized moment problem to…

Increased data availability has stimulated the interest in studying sports prediction problems via analytical approaches; in particular, with machine learning and simulation. We characterize several models that have been proposed in the…

In a discrete-time setting, we study arbitrage concepts in the presence of convex trading constraints. We show that solvability of portfolio optimization problems is equivalent to absence of arbitrage of the first kind, a condition weaker…

We consider a general formulation of the random horizon Principal-Agent problem with a continuous payment and a lump-sum payment at termination. In the European version of the problem, the random horizon is chosen solely by the principal…

This paper tackles the problem of how two selfish users jointly determine the operating point in the achievable rate region of a two-user Gaussian interference channel through bargaining. In previous work, incentive conditions for two users…

The pricing, hedging, optimal exercise and optimal cancellation of game or Israeli options are considered in a multi-currency model with proportional transaction costs. Efficient constructions for optimal hedging, cancellation and exercise…

We develop a novel deep learning approach for pricing European basket options written on assets that follow jump-diffusion dynamics. The option pricing problem is formulated as a partial integro-differential equation, which is approximated…

This paper deals with the problem of discrete-time option pricing by the mixed fractional version of Merton model with transaction costs. By a mean-self-financing delta hedging argument in a discrete-time setting, a European call option…

In this paper we develop a statistical arbitrage trading strategy with two key elements in hi-frequency trading: stop-loss and leverage. We consider, as in Bertram (2009), a mean-reverting process for the security price with proportional…