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
Uncertainty-Aware Remaining Useful Life Prediction via Synergizing TCN-Transformer Networks and Fractional Brownian Motion. [PDF]
Entropy (Basel)Geng Y, Yu T, Liu Y, Zhao J.
europepmc +1 more source
Exponential stability for neutral stochastic functional partial differential equations driven by Brownian motion and fractional Brownian motion. [PDF]
J Inequal Appl, 2018 Zhang X, Ruan D.
europepmc +1 more source
Optimal Portfolio Choice With Cross‐Impact Propagators
Mathematical Finance, EarlyView.ABSTRACT We consider a class of optimal portfolio choice problems in continuous time where the agent's transactions create both transient cross‐impact driven by a matrix‐valued Volterra propagator, as well as temporary price impact. We formulate this problem as the maximization of a revenue‐risk functional, where the agent also exploits available ...
Eduardo Abi Jaber +2 more
wiley +1 more source
Isotropic Q-fractional Brownian motion on the sphere: regularity and fast simulation. [PDF]
Philos Trans A Math Phys Eng SciLang A, Müller B.
europepmc +1 more source
Market Making With Fads, Informed, and Uninformed Traders
Mathematical Finance, EarlyView.ABSTRACT We characterize the solution to a continuous‐time optimal liquidity provision problem in a market populated by informed and uninformed traders. In our model, the asset price exhibits fads —these are short‐term deviations from the fundamental value of the asset.
Emilio Barucci +2 more
wiley +1 more source
Generative inpainting of incomplete Euclidean distance matrices of trajectories generated by a fractional Brownian motion. [PDF]
Sci RepLobashev A, Guskov D, Polovnikov K.
europepmc +1 more source
A set-indexed fractional Brownian motion
, 2006 24 pagesInternational audienceWe define and prove the existence of a fractional Brownian motion indexed by a collection of closed subsets of a measure space.
Merzbach, E., Herbin, Erick
core
On Short‐Term Behavior of Implied Volatility for Index Options
Mathematical Finance, EarlyView.ABSTRACT This paper investigates short‐term behavior of implied volatility of derivatives written on a market index when the index is constructed using a ranking procedure. Even when stock prices follow geometric Brownian motion dynamics, the ranking mechanism can lead to the observed term structure of at‐the‐money (ATM) implied volatility skew for ...
Huy N. Chau, Duy Nguyen, Thai Nguyen
wiley +1 more source
Probability of entering an orthant by correlated fractional Brownian motion with drift: exact asymptotics. [PDF]
Extremes (Boston)Dȩbicki K, Ji L, Novikov S.
europepmc +1 more source