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
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Instability of Oldroyd-B Liquid Films with Odd Viscosity on Porous Inclined Substrates. [PDF]
Nanomaterials (Basel)Zhou Q, Liu Q, Zhang R, Ding Z.
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Spanning Multi‐Asset Payoffs With ReLUs
Mathematical Finance, EarlyView.ABSTRACT We propose a distributional formulation of the spanning problem of a multi‐asset payoff by vanilla basket options. This problem is shown to have a unique solution if and only if the payoff function is even and absolutely homogeneous, and we establish a Fourier‐based formula to calculate the solution.
Sébastien Bossu +2 more
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Lorentzian bordisms in algebraic quantum field theory. [PDF]
Lett Math PhysBunk S, MacManus J, Schenkel A.
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Polar Coordinates for the 3/2 Stochastic Volatility Model
Mathematical Finance, EarlyView.ABSTRACT The 3/2 stochastic volatility model is a continuous positive process s with a correlated infinitesimal variance process ν$\nu $. The exact definition is provided in the Introduction immediately below. By inspecting the geometry associated with this model, we discover an explicit smooth map ψ$ \psi $ from (R+)2$({\mathbb{R}}^+)^2 $ to the ...
Paul Nekoranik
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Probing the physical properties of LiSbX<sub>3</sub> (X = Cl, F) halides perovskites for optoelectronic applications. [PDF]
Sci RepKhan I +8 more
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A Pure Dual Approach for Hedging Bermudan Options
Mathematical Finance, EarlyView.ABSTRACT This paper develops a new dual approach to compute the hedging portfolio of a Bermudan option and its initial value. It gives a “purely dual” algorithm following the spirit of Rogers in the sense that it only relies on the dual pricing formula.
Aurélien Alfonsi +2 more
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Optimal Contracts for Delegated Order Execution
Mathematical Finance, EarlyView.ABSTRACT We determine the optimal affine contract for a client who delegates their order execution to a dealer. Existence and uniqueness are established for general linear price impact dynamics of the dealer's trades. Explicit solutions are available for the model of Obizhaeva and Wang, for example, and a simple gradient descent algorithm is applicable
Martin Larsson +2 more
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Multi-Spectral Radiation Temperature Measurement: A High-Precision Method Based on Inversion Using an Enhanced Particle Swarm Optimization Algorithm with Multiple Strategies. [PDF]
Sensors (Basel)Wang X, Han S.
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Optimal Liquidation With Signals: The General Propagator Case
Mathematical Finance, EarlyView.ABSTRACT We consider a class of optimal liquidation problems where the agent's transactions create transient price impact driven by a Volterra‐type propagator along with temporary price impact. We formulate these problems as maximization of a revenue‐risk functionals, where the agent also exploits available information on a progressively measurable ...
Eduardo Abi Jaber, Eyal Neuman
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