A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Paper investigates existence of deflators in financial markets.
Study forward investment performance in semimartingale markets with stochastic factors.
No arbitrage in financial markets with special semimartingales.
Existence of stochastic financial equilibria giving rise to semimartingale asset prices is established under a general class of assumptions. These equilibria are expressed in real terms and span complete markets or markets with withdrawal constraints.We deal with random endowment density streams which admit jumps and g…
Unified framework for optimal liquidation with small market impact and semimartingale strategies.
New results on financial equilibria in markets with general semimartingales.
Extends credit risky bond market models to include jumps and general semimartingales.
A financial market model where agents trade using realistic combinations of buy-and-hold strategies is considered. Minimal assumptions are made on the discounted asset-price process - in particular, the semimartingale property is not assumed. Via a natural market viability assumption, namely, absence of arbitrages of t…
This thesis is devoted to the study of affine processes and their applications in financial mathematics. In the first part we consider the theory of time-inhomogeneous affine processes on general state spaces. We present a concise setup for time-inhomogeneous Markov processes. For stochastically continuous affine proce…
Constructs rank-based continuous semimartingales for financial markets.
Short selling is key to exploiting arbitrage opportunities in financial markets.
Suppose that are continuous semimartingales that are reversible and have nondegenerate crossings. Then the corresponding rank processes can be represented by generalized Stratonovich integrals, and this representation can be used to decompose the relative log-return of portfolios generated by functi…
Study optimizes portfolio liquidation strategies with complex market impacts.
Optimal trading strategies in fluctuating financial markets are analyzed using complex mathematical models.
Study shows cooperation can improve everyone's market efficiency.
This paper addresses the question of how an arbitrage-free semimartingale model is affected when stopped at a random horizon. We focus on No-Unbounded-Profit-with-Bounded-Risk (called NUPBR hereafter) concept, which is also known in the literature as the first kind of non-arbitrage. For this non-arbitrage notion, we ob…
New method finds profitable investment opportunities by considering additional financial variables.
The paper sets criteria for no arbitrage in complex financial models.
Stochastic integrals are defined with respect to a collection of continuous semimartingales, imposing no assumptions on the index set and the subspace of where takes values. The integrals are constructed though finite-dimensional approximation, identifying the appropriate …
In a stock market, the numeraire portfolio, if it exists, is the portfolio with the highest expected logarithmic growth rate at all times. A numeraire market is a stock market for which the market portfolio is the numeraire portfolio. We study open markets, markets comprising the higher capitalization stocks within a b…
In this work, we develop a novel principal component analysis (PCA) for semimartingales by introducing a suitable spectral analysis for the quadratic variation operator. Motivated by high-dimensional complex systems typically found in interest rate markets, we investigate correlation in high-dimensional high-frequency …
While absence of arbitrage in frictionless financial markets requires price processes to be semimartingales, non-semimartingales can be used to model prices in an arbitrage-free way, if proportional transaction costs are taken into account. In this paper, we show, for a class of price processes which are not necessaril…
We consider the problem of maximizing expected utility from consumption in a constrained incomplete semimartingale market with a random endowment process, and establish a general existence and uniqueness result using techniques from convex duality. The notion of asymptotic elasticity of Kramkov and Schachermayer is ext…
For utility functions finite valued on , we prove a duality formula for utility maximization with random endowment in general semimartingale incomplete markets. The main novelty of the paper is that possibly non locally bounded semimartingale price processes are allowed. Following Biagini and Frittelli …
In a semimartingale financial market model, it is shown that there is equivalence between absence of arbitrage of the first kind (a weak viability condition) and the existence of a strictly positive process that acts as a local martingale deflator on nonnegative wealth processes.
New findings show independent subordination is not relevant for accurate option pricing.
Develops portfolio theory without probabilistic analysis, focusing on pathwise decomposition.
The paper analyzes arbitrage theory in a fluctuating market of stochastic dimension.
The study examines Nash equilibria in utility maximization games with multiplicative performance criteria.
We introduce a theory of stochastic integration with respect to a family of semimartingales depending on a continuous parameter, as a mathematical background to the theory of bond markets. We apply our results to the problem of super-replication and utility maximization from terminal wealth in a bond market. Finally, w…
The paper explores anticipative binary information in financial markets using Brownian motion and Poisson processes.
This article studies the sensitivity of the power utility maximization problem with respect to the investor's relative risk aversion, the statistical probability measure, the investment constraints and the market price of risk. We extend previous descriptions of the dual domain then exploit the link between the constra…
Markets composed of stocks with capitalization processes represented by positive continuous semimartingales are studied under the condition that the market excess growth rate is bounded away from zero. The following examples of these markets are given: i) a market with a singular covariance matrix and instantaneous rel…
The paper simplifies hedging and portfolio allocation in markets without a risk-free asset.
Method calibrates local volatility and stochastic short rate models for equity-rate dynamics.
The present paper deals with the characterization of no-arbitrage properties of a continuous semimartingale. The first main result, Theorem \refMainTheoremCharNA, extends the no-arbitrage criterion by Levental and Skorohod [Ann. Appl. Probab. 5 (1995) 906-925] from diffusion processes to arbitrary continuous semimartin…
This paper studies the continuous time utility maximization problem on consumption with addictive habit formation in incomplete semimartingale markets. Introducing the set of auxiliary state processes and the modified dual space, we embed our original problem into a time-separable utility maximization problem with a sh…
We consider the problem of optimal consumption of multiple goods in incomplete semimartingale markets. We formulate the dual problem and identify conditions that allow for existence and uniqueness of the solution and give a characterization of the optimal consumption strategy in terms of the dual optimizer. We illustra…
In [2] the notion of stickiness for stochastic processes was introduced. It was also shown that stickiness implies absense of arbitrage in a market with proportional transaction costs. In this paper, we investigate the notion of stickiness further. In particular, we give examples of processes that are not semimartingal…
The study tackles rough noise in high-frequency financial data using fractional Brownian motion.
Paper explores rough path theory for frictionless markets, linking NCFL to unbiased rough integrators.
A drawdown constraint forces the current wealth to remain above a given function of its maximum to date. We consider the portfolio optimisation problem of maximising the long-term growth rate of the expected utility of wealth subject to a drawdown constraint, as in the original setup of Grossman and Zhou (1993). We wor…
The paper studies horizontal semimartingales on Riemannian manifolds and their connections to Euclidean spaces.
This paper deals with the notion of a large financial market and the concepts of asymptotic arbitrage and strong asymptotic arbitrage (both of the first kind), introduced by Yu.M. Kabanov and D.O. Kramkov. We show that the arbitrage properties of a large market are completely determined by the asymptotic behavior of th…
In the framework of an incomplete financial market where the stock price dynamics are modeled by a continuous semimartingale (not necessarily Markovian) an explicit second-order expansion formula for the power investor's value function - seen as a function of the underlying market price of risk process - is provided. T…
In a financial market model, we consider variations of the problem of minimizing the expected time to upcross a certain wealth level. For exponential Levy markets, we show the asymptotic optimality of the growth-optimal portfolio for the above problem and obtain tight bounds for the value function for any wealth level.…
Simplified calculus for semimartingales makes complex transformations easier.
We consider a problem of optimal investment with intermediate consumption in the framework of an incomplete semimartingale model of a financial market. We show that a necessary and sufficient condition for the validity of key assertions of the theory is that the value functions of the primal and dual problems are finit…