Results 111 to 120 of about 168,604 (284)
Tackling nonlinear price impact with linear strategies
Mathematical Finance, Volume 35, Issue 2, Page 422-440, April 2025.Abstract Empirical studies in various contexts find that the price impact of large trades approximately follows a power law with exponent between 0.4 and 0.7. Yet, tractable formulas for the portfolios that trade off predictive trading signals, risk, and trading costs in an optimal manner are only available for quadratic costs corresponding to linear ...
Xavier Brokmann +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
The Kontsevich constants for the volume of the moduli of curves and topological recursion
, 2010 We give an Eynard-Orantin type topological recursion formula for the canonical Euclidean volume of the combinatorial moduli space of pointed smooth algebraic curves. The recursion comes from the edge removal operation on the space of ribbon graphs. As an
Chapman, Kevin M. +2 more
core
Mathematical Finance, EarlyView.ABSTRACT We introduce a dynamic and stochastic interbank model with an endogenous notion of distress contagion, arising from rational worries about future defaults and ensuing losses. This entails a mark‐to‐market valuation adjustment for interbank claims, leading to a forward‐backward approach to the equilibrium dynamics whereby future default ...
Zachary Feinstein, Andreas Søjmark
wiley +1 more source
Mind &Language, EarlyView.Three main approaches exist for finessing the cognitive demands of Grice's model of communication (a notorious problem): namely, deflationism, modularity, and interpretivism. Here, I consider each in light of human metacommunication, a phenomenon that has been neglected in foundational discussions of Gricean communication.
Ronald J. Planer
wiley +1 more source
Noûs, EarlyView.ABSTRACT It is a truism of mathematics that differences between isomorphic number systems are irrelevant to arithmetic. This truism is deeply rooted in the modern axiomatic method and underlies most strands of arithmetical structuralism, the view that arithmetic is about some abstract number structure.
Balthasar Grabmayr
wiley +1 more source
Why Are All the Sets All the Sets?
Noûs, EarlyView.ABSTRACT Necessitists about set theory think that the pure sets exists, and are the way they are, as a matter of necessity. They cannot explain why the sets (de rebus) are all the sets. This constitutes the Ur‐Objection against necessitism; it is the primary motivation cited by potentialists about set theory.
Tim Button
wiley +1 more source
Type homogeneity is not a restriction for safe recursion schemes [PDF]
, 2017 William Blum
openalex +1 more source