Results 31 to 40 of about 207,950 (53)

Existence of Lévy term structure models [PDF]

Finance and Stochastics 12(1):83-115, 2008, 2019
L\'evy driven term structure models have become an important subject in the mathematical finance literature. This paper provides a comprehensive analysis of the L\'evy driven Heath-Jarrow-Morton type term structure equation. This includes a full proof of existence and uniqueness in particular, which seems to have been lacking in the finance literature ...
arxiv  

Market shape formation, statistical equilibrium and neutral evolution theory [PDF]

arXiv, 2015
Mathematical methods of population genetics and framework of exchangeability provide a Markov chain model for analysis and interpretation of stochastic behaviour of equity markets, explaining, in particular, market shape formation, statistical equilibrium and temporal stability of market weights.
arxiv  

Calls, zonoids, peacocks and log-concavity [PDF]

arXiv, 2016
The main results are two characterisations of log-concave densities in terms of the collection of lift zonoids corresponding to a peacock. These notions are recalled and connected to arbitrage-free asset pricing in financial mathematics.
arxiv  

Retarded action principle and self-financing portfolio dynamics [PDF]

arXiv, 2015
We derive a consistent differential representation for the dynamics of a self-financing portfolio for different hedging strategies. In the basis of the derivation there is the so called "retarded action principle", which represents the causality in the evolution of dependent stochastic variables.
arxiv  

Skewing Quanto with Simplicity [PDF]

arXiv, 2020
We present a simple and highly efficient analytical method for solving the Quanto Skew problem in Equities under a framework that accommodates both Equity and FX volatility skew consistently. Ease of implementation and extremely fast performance of this new approach should benefit a wide spectrum of market participants.
arxiv  

Identification of Atlas models [PDF]

arXiv, 2015
Atlas models are systems of Ito processes with parameters that depend on rank. We show that the parameters of a simple Atlas model can be identified by measuring the variance of the top-ranked process for different sampling intervals.
arxiv  

Topics in Stochastic Portfolio Theory [PDF]

arXiv, 2015
This is an overview of the area of Stochastic Portfolio Theory, and can be seen as an updated and extended version of the survey paper by Fernholz and Karatzas (Handbook of Numerical Analysis Vol.15:89-167, 2009).
arxiv  

An example of short-term relative arbitrage [PDF]

arXiv, 2015
Long-term relative arbitrage exists in markets where the excess growth rate of the market portfolio is bounded away from zero. Here it is shown that under a time-homogeneity hypothesis this condition will also imply the existence of relative arbitrage over arbitrarily short intervals.
arxiv  

Large losses - probability minimizing approach [PDF]

Applicationes Mathematicae, 2004, 31, 243-257, 2016
The probability minimizing problem of large losses of portfolio in discrete and continuous time models is studied. This gives a generalization of quantile hedging presented in [3].
arxiv  

Monetary value measures in a category of probability spaces [PDF]

arXiv, 2017
We generalize the notion of monetary value measures developed with category theory in [Adachi, 2014] by extending their base category from the category \c{hi} to the category of probability spaces Prob introduced in [Adachi and Ryu, 2016].
arxiv