arXiv research

Develops a new filtration for asset pricing models.

The paper confirms a conjecture about optimal expected utility in markets with insider information.

The study examines how market completeness is lost when filtering down the information set.

The paper introduces new KMEs to capture stochastic process filtrations.

Study on markets with insiders receiving private signals affecting asset prices and information flow.

Corrects an earlier theorem, establishing new facts about information structures and non-anticipative aggregation.

We present a version of the fundamental theorem of asset pricing (FTAP) for continuous time large financial markets with two filtrations in an $L^p$-setting for $1 \leq p < \infty$. This extends the results of Yuri Kabanov and Christophe Stricker \cite{KS:06} to continuous time and to a large financial market setting,…

We study multiple defaults where the global market information is modelled as progressive enlargement of filtrations. We shall provide a general pricing formula by establishing a relationship between the enlarged filtration and the reference default-free filtration in the random measure framework. On each default scena…

The study computes Gromoll filtration groups and fundamental groups for specific dimensions.

In this article we consider an optimization problem of expected utility maximization of continuous-time trading in a financial market. This trading is constrained by a benchmark for a utility-based shortfall risk measure. The market consists of one asset whose price process is modeled by a Geometric Brownian motion whe…

This work characterizes topological descriptors of graph products and their expressive power.

Enlargement of filtrations is a classical topic in the general theory of stochastic processes. This theory has been applied to stochastic finance in order to analyze models with insider information. In this paper we study initial enlargement in a Markov chain market model, introduced by R. Norberg. In the enlargened fi…

Develops a binomial model in categorical probability spaces.

Paper approximates the image of the Burau representation using filtrations.

We study the strong predictable representation property in filtrations initially enlarged with a random variable L. We prove that the strong predictable representation property can always be transferred to the enlarged filtration as long as the classical density hypothesis of Jacod (1985) holds. This generalizes the ex…

Given a Markovian Brownian martingale $Z$, we build a process $X$ which is a martingale in its own filtration and satisfies $X_1 = Z_1$. We call $X$ a dynamic bridge, because its terminal value $Z_1$ is not known in advance. We compute explicitly its semimartingale decomposition under both its own filtration $\cF^X$ an…

TopoFisher learns topological summaries by maximizing Fisher information, improving parameter efficiency and inference quality.

Let $(X_t)_{t\ge0}$ be a continuous-time, time-homogeneous strong Markov process with possible jumps and let $τ$ be its first hitting time of a Borel subset of the state space. Suppose $X$ is sampled at random times and suppose also that $X$ has not hit the Borel set by time $t$. What is the intensity process of $τ$ ba…

Investigates optimal insurance and reinsurance strategies with incomplete market information.

This paper addresses the risk-minimization problem, with and without mortality securitization, à la Föllmer-Sondermann for a large class of equity-linked mortality contracts when no model for the death time is specified. This framework includes the situation where the correlation between the market model and the time o…

We define new bordism and spin bordism invariants of certain subgroups of the mapping class group of a surface. In particular, they are invariants of the Johnson filtration of the mapping class group. The second and third terms of this filtration are the well-known Torelli group and Johnson subgroup, respectively. We i…

New pricing model uses variance-gamma process for financial assets.

The background for the general mathematical link between utility and information theory investigated in this paper is a simple financial market model with two kinds of small traders: less informed traders and insiders, whose extra information is represented by an enlargement of the other agents' filtration. The expecte…

In financial markets, the information that traders have about an asset is reflected in its price. The arrival of new information then leads to price changes. The `information-based framework' of Brody, Hughston and Macrina (BHM) isolates the emergence of information, and examines its role as a driver of price dynamics.…

Identifies filtration in Lagrangian fibrations to monodromy weight filtration in degenerations.

We study the pricing of credit derivatives with asymmetric information. The managers have complete information on the value process of the firm and on the default threshold, while the investors on the market have only partial observations, especially about the default threshold. Different information structures are dis…

A new algorithm PD improves stock-correlation network clustering and robustness.

Study weightings from singular Lie filtrations.

This paper introduces an information-based model for the pricing of storable commodities such as crude oil and natural gas. The model uses the concept of market information about future supply and demand as a basis for valuation. Physical ownership of a commodity is taken to provide a stream of convenience dividends eq…

Closed-form solutions derived for perpetual options under insider models.

A new method for optimal filtration learning in time-series data analysis.

These are the lecture notes for the summer course given for 2018 Mathematical Finance Summer School at Shandong Unversity. It contains a brief introduction to the Kyle model and the related topics in filtering, enlargement of filtrations and Markov bridges.

We propose a model for the credit markets in which the random default times of bonds are assumed to be given as functions of one or more independent "market factors". Market participants are assumed to have partial information about each of the market factors, represented by the values of a set of market factor informa…

We establish certain "non-triviality" results for several filtrations of the smooth and topological knot concordance groups. First, as regards the n-solvable filtration of the topological knot concordance group defined by K. Orr, P. Teichner and the first author, we refine the recent non-triviality results of Cochran a…

In sequential anytime-valid inference, any admissible procedure must be based on e-processes: generalizations of test martingales that quantify the accumulated evidence against a composite null hypothesis at any stopping time. This paper proposes a method for combining e-processes constructed in different filtrations b…

A new framework for asset price dynamics is introduced in which the concept of noisy information about future cash flows is used to derive the price processes. In this framework an asset is defined by its cash-flow structure. Each cash flow is modelled by a random variable that can be expressed as a function of a colle…

We study an optimal investment problem under default risk where related information such as loss or recovery at default is considered as an exogenous random mark added at default time. Two types of agents who have different levels of information are considered. We first make precise the insider's information flow by us…

In a recent paper we defined a new filtration of the mapping class group--the "Lagrangian" filtration. We here determine the successive quotients of this filtration, up to finite index. As an application we show that, for any additive invariant of finite-type (e.g. the Casson invariant), and any level of the Lagrangian…

We introduce several families of filtrations on the space of vector bundles over a smooth projective variety. These filtrations are defined using the large k asymptotics of the kernel of the Dolbeault Dirac operator on a bundle twisted by the kth power of an ample line bundle. The filtrations measure the failure of the…

The classical reduced-form and filtration expansion framework in credit risk is extended to the case of multiple, non-ordered defaults, assuming that conditional densities of the default times exist. Intensities and pricing formulas are derived, revealing how information driven default contagion arises in these models.…

The information-based asset-pricing framework of Brody, Hughston and Macrina (BHM) is extended to include a wider class of models for market information. In the BHM framework, each asset is associated with a collection of random cash flows. The price of the asset is the sum of the discounted conditional expectations of…

Toeplitz operators linked to submultiplicative filtrations and weighted Bergman kernels.

This paper completes the two studies undertaken in \cite{aksamit/choulli/deng/jeanblanc2} and \cite{aksamit/choulli/deng/jeanblanc3}, where the authors quantify the impact of a random time on the No-Unbounded-Risk-with-Bounded-Profit concept (called NUPBR hereafter) when the stock price processes are quasi-left-continu…

It is known that the automorphism group of a K-polystable Fano manifold is reductive. Codogni and Dervan construct a canonical filtration of the section ring, called Loewy filtration, and conjecture that the Loewy filtration destabilizes any Fano variety with non-reductive automorphism group. In this note, we give a co…

Let $Σ$ be a compact connected oriented surface with one boundary component and let $\mathcal{M}$ denote the mapping class group of $Σ$. By considering the action of $\mathcal{M}$ on the fundamental group of $Σ$ it is possible to define different filtrations of $\mathcal{M}$ together with some homomorphisms on each ter…

Let X be a closed m-dimensional spin manifold which admits a metric of positive scalar curvature and let Pos(X) be the space of all such metrics. For any g in Pos(X), Hitchin used the KO-valued alpha-invariant to define a homomorphism A_{n-1} from π_{n-1}(Pos(X) to KO_{m+n}. He then showed that A_0 is not 0 if m = 8k o…

Develops a new framework for large-scale geometry.

We consider the Grope filtration of the classical knot concordance group that was introduced in a paper of Cochran, Orr and Teichner. Our main result is that successive quotients at each stage in this filtration have infinite rank. We also establish the analogous result for the Grope filtration of the concordance group…