Results 51 to 60 of about 17,183 (156)
Measure‐valued processes for energy markets
Mathematical Finance, Volume 35, Issue 2, Page 520-566, April 2025.Abstract We introduce a framework that allows to employ (non‐negative) measure‐valued processes for energy market modeling, in particular for electricity and gas futures. Interpreting the process' spatial structure as time to maturity, we show how the Heath–Jarrow–Morton approach can be translated to this framework, thus guaranteeing arbitrage free ...
Christa Cuchiero +3 more
wiley +1 more source
The fundamental theorem of asset pricing with and without transaction costs
Mathematical Finance, Volume 35, Issue 2, Page 567-609, April 2025.Abstract We prove a version of the fundamental theorem of asset pricing (FTAP) in continuous time that is based on the strict no‐arbitrage condition and that is applicable to both frictionless markets and markets with proportional transaction costs. We consider a market with a single risky asset whose ask price process is higher than or equal to its ...
Christoph Kühn
wiley +1 more source
A THEORY OF RATIONAL CHOICE UNDER COMPLETE IGNORANCE [PDF]
This paper contributes to a theory of rational choice under uncertainty for decision-makers whose preferences are exhaustively described by partial orders representing ""limited information."" Specifically, we consider the limiting case of ""Complete ...
Klaus Nehring, Massimiliano Marcellino
core
Agents' Behavior and Interest Rate Model Optimization in DeFi Lending
Mathematical Finance, EarlyView.ABSTRACT Contrasting sharply with traditional money, bond, and bond futures markets, where interest rates emerge organically from participant interactions, DeFi lending platforms employ rule‐based interest rates that are algorithmically set. Thus, the selection of an effective interest rate model (IRM) is paramount for the success of a lending protocol.
Charles Bertucci +4 more
wiley +1 more source
Science, evidence, law, and justice. [PDF]
Proc Natl Acad Sci U S A, 2023 Albright TD +4 more
europepmc +1 more source
Macroscopic Market Making Games
Mathematical Finance, EarlyView.ABSTRACT Building on the macroscopic market making framework as a control problem, this paper investigates its extension to stochastic games. In the context of price competition, each agent is benchmarked against the best quote offered by the others. We begin with the linear case.
Ivan Guo, Shijia Jin
wiley +1 more source
Morality in middle childhood: the role of callous-unemotional traits and emotion regulation skills. [PDF]
BMC Psychol, 2023 Wilke J, Goagoses N.
europepmc +1 more source
Order Routing and Market Quality: Who Benefits From Internalization?
Mathematical Finance, EarlyView.ABSTRACT Does retail order internalization benefit (via price improvement) or harm (via reduced liquidity) retail traders? To answer this question, we compare two market designs that differ in their mode of liquidity provision: In the setting capturing retail order internalization, liquidity is provided by market makers (wholesalers) competing for the ...
Umut Çeti̇n, Albina Danilova
wiley +1 more source
Taking Risks, With and Without Probabilities
Noûs, EarlyView.ABSTRACT Some hold that expected utility is too restrictive in the way it handles risk. Risk‐weighted expected utility is an alternative that allows decision‐makers to have a range of attitudes toward probabilistic risk. It holds that any attitude within this range is instrumentally rational, since these attitudes represent different, equally good ...
Lara Buchak
wiley +1 more source
A scientist's take on scientific evidence in the courtroom. [PDF]
Proc Natl Acad Sci U S A, 2023 Albright TD.
europepmc +1 more source