The main result of the paper is a version of the fundamental theorem of asset pricing (FTAP) for large financial markets based on an asymptotic concept of no market free lunch for monotone concave preferences. The proof uses methods from the theory of Orlicz spaces. Moreover, various notions of no asymptotic arbitrage …
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Study finds optimal retirement timing in uncertain wage scenarios.
problem Optimal retirement timing in presence of uncertain wages.
method Formulated as a free boundary problem in an incomplete market.
result Developed a method to determine optimal retirement timing.
Estimates exotic option prices without a model using market data.
problem Pricing exotic derivatives without a model.
method Uses rough path signatures and implied expected signatures from market prices.
result Prices exotic derivatives using market data and implied expected signatures.
Locational Marginal Pricing aims to free UK power markets.
problem Unfree and regulated power markets.
method Implementing Locational Marginal Pricing.
result Increased economic freedom, reduced prices, decreased losses, incentivized investment.
This paper examines how currency monopoly leads to economic instability and proposes a new currency system based on voluntary exchange.
problem Economic instability caused by currency monopoly.
method Examines the current economic system and proposes a new currency system based on voluntary exchange of goods and services.
result A new currency system emerges naturally from the free market, providing a way for public goods and services without direct taxation.
In this paper, we introduce a numeraire-free and original probability based framework for financial markets. We reformulate or characterize fair markets, the optional decomposition theorem, superhedging, attainable claims and complete markets in terms of martingale deflators, present a recent result of Kramkov and Scha…
The excessive compensation packages of CEOs of U.S. corporations in recent years have brought to the foreground the issue of fairness in economics. The conventional wisdom is that the free market for labor, which determines the pay packages, cares only about efficiency and not fairness. We present an alternative theory…
Model-free Superhedging Dualityq-fin.MF
Model-free financial market proves superhedging duality with dynamic strategies.
problem Proves superhedging duality in a model-free financial market.
method Dynamic and semi-static trading strategies, no-arbitrage prices analysis.
result Initial cost of cheapest portfolio can exceed no-arbitrage upper bound.
Panoptic trades options without oracles on Ethereum.
problem Trading options without relying on oracles.
method Perpetual, trustless, instant-settlement protocol on Ethereum.
result Trustless, permissionless trading of options on Uniswap v3.
The paper shows real market exists free lunches with vanishing risks.
problem The hypothesis of no free lunches with vanishing risk in real markets.
method Accurately hedged extreme-maturity zero-coupon bond.
result FLVRs naturally exist in the real market.
A model-free hedging method using stock crowding scores.
problem Designing costless portfolio strategies to hedge market risk.
method Network analysis of fund holdings to compute crowding scores, constructing long-short portfolios without numerical optimization.
result Long-short portfolios provide protection against both small and large market price fluctuations.
Determines conditions for arbitrage in complex financial markets.
problem Identifying markets without arbitrage opportunities.
method Derives deterministic criteria for equivalent martingale measures.
result Constructs financial markets with specific risk conditions.
Paper constructs call surfaces using l1-recovery for market consistency and arbitrage freedom.
problem Creating an arbitrage-free call-option surface from market data.
method Nonparametric approach using l1-minimization in compressed sensing.
result Arbitrage-free call-price surface matches market quotes without static arbitrage.
Regularization approach for arbitrage-free HJM-type model selection in financial markets.
problem Learning the closest arbitrage-free HJM-type model to a prespecified factor-model.
method Asymptotic solution through a 1-parameter family of optimizers, with penalties to detect local martingale measures.
result A deep-learning approach to arbitrage-free affine term-structure modeling is formulated.
All DeFi markets are essentially CFMMs with increasing invariants.
problem Ensuring DeFi markets are free of arbitrage opportunities.
method Formalizing DeFi markets as CFMMs and proving the existence of increasing invariants.
result A DeFi market is arbitrage-free if and only if it has an increasing invariant.
Financial markets display scale-free behavior in many different aspects. The power-law behavior of part of the distribution of individual wealth has been recognized by Pareto as early as the nineteenth century. Heavy-tailed and scale-free behavior of the distribution of returns of different financial assets have been c…
Defines financial models without probability theory.
problem Establishing martingale theory without probability.
method Introducing supermartingales, martingales, and semimartingales in continuous price paths.
result Probability-free versions of martingale results established.
Bayesian approach for option pricing in markets with unknown dynamics.
problem Arbitrage-free valuation of European options in markets with unknown stochastic dynamics.
method Bayesian approach using historic market observations to set up posterior distributions for future market dynamics.
result Bayesian option prices converge to standard BS-Option prices in the high frequency limit, but not in the Merton market with normally distributed jumps.
Neural networks can find financial arbitrage opportunities without needing market models.
problem Finding arbitrage opportunities in financial markets without using market models.
method Used neural networks to solve convex semi-infinite programs and detect arbitrage opportunities.
result Neural networks can detect model-free static arbitrage strategies in financial markets.
Study on stock trading model with uncertain market status, proving free boundaries and optimal strategies.
problem Optimal trading strategies in a stock market with uncertain market status.
method Free boundary problem, variational inequality system, degenerate operator, C^∞-smoothness.
result All four switching free boundaries are no-overlapping, monotonic, and C^∞-smooth, and their relative localities are completely determined.
This study shows how monetary uncertainty affects stock market reactions to macroeconomic news.
problem Understanding stock market reactions to macroeconomic news under varying levels of monetary uncertainty.
method Decomposes stock market response into cash flow and risk-free rate channels, analyzing time-varying effects.
result High monetary uncertainty weakens the positive stock market response to macroeconomic news.
The paper simplifies hedging and portfolio allocation in markets without a risk-free asset.
problem Optimal hedging and portfolio allocation in markets without a risk-free asset.
method Establishes equivalence between hedging with and without numeraire change, uses oblique projections.
result Explicit expressions for optimal strategies and efficient frontier computation.
Geometric Mean Market Makers super-hedge impermanent loss without models.
problem Super-hedging impermanent loss in Geometric Mean Market Makers.
method Model-free rebalancing strategy.
result Loss-versus-rebalancing vanishes due to finite variation exchange rate.
The paper approximates forward curve models in commodity markets using finite dimensional models.
problem Approximating forward curve models in commodity markets with finite dimensional arbitrage-free models.
method Construction of a convenient Riesz basis on the state space of the term structure dynamics.
result Recovery of a closed form representation of the forward price dynamics in the approximation models and uniform convergence to the true dynamics.
Diversity and no arbitrageq-fin.PM
A stock market is called diverse if no stock can dominate the market in terms of relative capitalization. On one hand, this natural property leads to arbitrage in diffusion models under mild assumptions. On the other hand, it is also easy to construct diffusion models which are both diverse and free of arbitrage. Can o…
Study game options pricing in nonlinear markets, extending previous work.
problem Pricing game options in nonlinear markets without arbitrage.
method Detailed study of unilateral pricing, hedging, and exercising problems using BSDE approach.
result Explicit results obtained under suitable assumptions about solutions to BSDEs.
Simulates multi-asset spot and option markets using normalizing flows.
problem High-dimensionality of market call prices and dynamic preservation across simulators.
method Normalizing flows for efficient low-dimensional representations, conditional invertibility for joint distribution calibration.
result Calibrated simulators maintain dynamics of each underlying and accurately represent market call prices.
Investors only hold risk-free assets if certain conditions are met.
problem Investment behavior under multiprior minimax utility maximization.
method Continuous-time financial market analysis with semimartingales.
result Portfolio consists only of risk-free asset if specific conditions on priors are met.
Develops a stochastic approach to financial market delays.
problem Modeling delays in financial markets with multiple assets.
method Introduces a general stochastic framework for information and order execution delays.
result Delayed markets maintain fundamental asset pricing theorems and no asymptotic free lunch condition.
Paper proves minimax theorem for American options in incomplete markets.
problem Characterizing arbitrage-free prices of American options in incomplete markets.
method Sufficient conditions guaranteeing minimax theorem validity for lower Snell envelope.
result Minimax results reveal unexpected connection to density process path properties.
The paper uses option theory to estimate corporate bond liquidity spreads.
problem Estimating liquidity spreads for corporate bonds.
method Option-theoretic approach considering risk-free rate volatility and credit risk.
result The model provides a robust tool for pricing illiquid bonds.
Extends hedging strategies without relying on specific market models.
problem Deriving hedging strategies for markets without traded claims.
method Relates model-independent replication strategies to local martingales with closed-form solutions via PDEs.
result Provides a general framework and applies it to various market scenarios.
Paper explores rough path theory for frictionless markets, linking NCFL to unbiased rough integrators.
problem Tackles the limits of rough path theory in frictionless markets.
method Investigates the capacity of rough path theory to support No Free Lunch markets.
result Establishes a 'Rough Kreps-Yan' theorem linking NCFL to unbiased rough integrators.
The paper simplifies electricity market curves with less parameters.
problem Modeling electricity prices and demands efficiently.
method Mesh-free interpolation using radial basis functions.
result The method reduces parameters needed to represent curves.
It is assumed that under suitable economic and information-theoretic conditions, market exchange rates are free from arbitrage. Commodity markets in which trades occur over a complete graph are shown to be trivial. We therefore examine the vector space of no-arbitrage exchange rate ensembles over an arbitrary connected…
Generative diffusion models forecast implied vol surfaces without arbitrage issues.
problem Forecasting arbitrage-free implied volatility surfaces using historical data with path-dependent dynamics.
method Generative diffusion model (DDPM) with conditional training on market variables, including EWMAs and returns. Dynamic penalty scheme based on SNR to enforce arbitrage-free surfaces.
result Superior performance in volatility forecasting compared to existing methods.
Axient handles debt-free finality for leveraged binary event markets.
problem Managing debt and finality in leveraged event positions with uncertain outcomes.
method Axient separates leverage maturity from claim maturity, using a protocol to select smallest sale covering debt.
result Proves robust ex-ante debt clearing and debt-free-finality invariants, maximal residual spot exposure, and payout-vector invariance.
Extends pricing of American options in nonlinear markets.
problem Pricing American options in nonlinear markets.
method Detailed study of unilateral valuation problems, BSDE approach.
result Explicit pricing, hedging, and exercising results.
Study arbitrage-free models in financial markets under uncertainty.
problem Arbitrage-free modeling in financial markets with Knightian Uncertainty.
method Functional analytic approach, no specific assumptions on priors or state space.
result Absence of arbitrage equivalent to approximate martingale measures sharing the same polar set of priors.
A deep learning approach to data-driven model-free pricing and to martingale optimal transportq-fin.CP
Deep learning for financial derivatives pricing and hedging.
problem Model-free pricing and optimal hedging of financial derivatives.
method Neural networks for offline training and online application.
result Accurate model-free price bounds and optimal hedging strategies.
Model shows incentives in shared order book can lead to free-rider problem.
problem Incentives in shared order books can lead to free-rider problem.
method Developed a Principal-Agent model with CARA utility functions.
result Equilibrium analysis shows incentives can lead to reduced competition.
The paper calibrates a model to market quotes efficiently and arbitrage-free.
problem Calibrating a model to market option quotes efficiently and without arbitrage.
method Piecewise-linear local variance function for efficient calibration.
result Arbitrage-free interpolation of class achieved under one millisecond.
The study examines markets with multiple numéraires and finds equivalent martingale measures.
problem Analyzing markets with diverse assets and numéraires.
method Theoretical foundations and results on superreplication prices.
result Existence of equivalent martingale measures in markets with multiple numéraires.
Study examines NFT market dynamics using correlation and noise analysis.
problem Understanding correlations and noise in NFT market.
method Used detrended correlation coefficient and correlation matrix analysis.
result Correlation strength in NFT market is lower than in cryptocurrency markets.
The article presents a description of geometry of Banach structures forming mathematical base of markets arbitrage absence type phenomena. In this connection the role of reflexive subspaces (replacing classically considered finite-dimensional subspaces) and plasterable cones is uncovered.
We explain a persistent cost-of-carry spread in EUA market and suggest ECB policy change.
problem Persistent cost-of-carry spread in EUA market.
method Cointegration analysis of EUA spread with credit spread and risk-free rate.
result Cointegration found between EUA spread, credit spread, and risk-free rate.
Researchers analyze betting odds and free coupons to find exploitable gains.
problem Determining if customers can exploit free coupons for guaranteed gains.
method Using desirability theory and the Choquet integral, they evaluate odds and free coupons.
result Customers can exploit free coupons for guaranteed gains under certain conditions.
No universal trading strategy exists due to mathematical impossibilities.
problem The impossibility of universally winning trading strategies in competitive markets.
method Three mathematical paradigms: measure-theoretic, No-Free-Lunch theorem, and adversarial Cantor diagonalization.
result No-arbitrage and free-lunch principles are mathematically precluded in competitive markets.