Quasi-sure essential supremum and applications to finance
, 2021 A notion of essential supremum is developed when the uncertainty is measured by a family of non-dominated and non-compact probability measures. It provides new perspectives on super-replication and allows the Absence of Instantaneous Profit (AIP) to be ...
Carassus, Laurence
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A note on the induction of comonotonic additive risk measures from acceptance sets
, 2023 We present simple general conditions on the acceptance sets under which their induced monetary risk and deviation measures are comonotonic additive. We show that acceptance sets induce comonotonic additive risk measures if and only if the acceptance sets
Horta, Eduardo de Oliveira +3 more
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Robust utility maximisation under proportional transaction costs for c\`adl\`ag price processes
, 2022 We consider robust utility maximisation in continuous-time financial markets with proportional transaction costs under model uncertainty. For this, we work in the framework of Chau and R\'asonyi (2019), where robustness is achieved by maximising the ...
Czichowsky, Christoph, Huwyler, Raphael
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Representation of homothetic forward performance processes via ergodic and infinite horizon quadratic BSDE in stochastic factor models [PDF]
, 2015 In an incomplete market, with incompleteness stemming from stochastic factors imperfectly correlated with the underlying stocks, we derive representations of homothetic forward investment performance processes (power, exponential and logarithmic).
Liang, Gechun, Zariphopoulou, Thaleia
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The indifference value of the weak information
We propose indifference pricing to estimate the value of the weak information. Our framework allows for tractability, quantifying the amount of additional information, and permits the description of the smallness and the stability with respect to small ...
Baudoin, Fabrice, Mostovyi, Oleksii
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A theoretical framework for dynamical fee choice in AMMs
In the ever evolving landscape of decentralized finance automated market makers (AMMs) play a key role: they provide a market place for trading assets in a decentralized manner.
Alexander, Abe, Fritz, Lars
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The skew-stickiness-ratio (SSR), examined in detail by Bergomi in his book, is critically important to options traders, especially market makers. We present a model-free expression for the SSR in terms of the characteristic function.
Friz, Peter K., Gatheral, Jim
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Text mining arXiv: a look through quantitative finance papers
This paper explores articles hosted on the arXiv preprint server with the aim to uncover valuable insights hidden in this vast collection of research. Employing text mining techniques and through the application of natural language processing methods, we
Bianchi, Michele Leonardo
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From bid-ask credit default swap quotes to risk-neutral default probabilities using distorted expectations [PDF]
, 2021 Khedher, A., Michielon, M., Spreij, P.
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An Integral Equation Approach for the Valuation of Finite-maturity margin-call Stock Loans
This paper examines the pricing issue of margin-call stock loans with finite maturities under the Black-Scholes-Merton framework. In particular, using a Fourier Sine transform method, we reduce the partial differential equation governing the price of a ...
Le, Nhat-Tan +3 more
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