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.
Modeling financial markets with sandpile model to understand price volatility and arbitrage constraints.
New method for non-arbitrage pricing in risky assets.
Quantum probability theory constructs Martingales for non-Brownian financial models.
The paper revisits and applies FTAP to life insurance and annuities pricing.
Study normal tempered stable processes for energy derivative pricing.
We consider a generic market model with a single stock and with random volatility. We assume that there is a number of tradable options for that stock with different strike prices. The paper states the problem of finding a pricing rule that gives Black-Scholes price for at-money options and such that the market is arbi…
This paper focuses on the stability of the non-arbitrage condition in discrete time market models when some unknown information is partially/fully incorporated into the market. Our main conclusions are twofold. On the one hand, for a fixed market , we prove that the non-arbitrage condition is preserved under a m…
We model bond's price curves corresponding to the sovereign uruguayan debt nominated in USD, as an alternative to the official bond prices publication released by the Central Bank of Uruguay (CBU). Four different gaussian models are fitted, based on historical data issued by the CBU, corresponding to some of the more f…
We introduce a generic solver for dynamic portfolio allocation problems when the market exhibits return predictability, price impact and partial observability. We assume that the price modeling can be encoded into a linear state-space and we demonstrate how the problem then falls into the LQG framework. We derive the o…
Model accurately calibrates FX market skew for exotic options.
This paper does not suppose a priori that the evolution of the price of a financial asset is a semimartingale. Since possible strategies of investors are self-financing, previous prices are forced to be finite quadratic variation processes. The non-arbitrage property is not excluded if the class of admiss…
Caratheodory's axiom limits arbitrage in resource-limited systems.
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…
Study prices energy derivatives using specific stochastic processes.
Study bounds for European basket call options in a discrete-time market model with price jumps.
Based on the concept of self-decomposable random variables we discuss the application of a model for a pair of dependent Poisson processes to energy facilities. Due to the resulting structure of the jump events we can see the self-decomposability as a form of cointegration among jumps. In the context of energy faciliti…
Study loan contracts in DLPs using derivatives pricing and neural networks.
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…
Implied volatilities form a well-known structure of smile or surface which accommodates the Bachelier model and observed market prices of interest rate options. For the swaptions that we study, three parameters are taken into account for indexing the implied volatilities and form a "volatility cube": strike (or moneyne…
This paper quantifies the interplay between the non-arbitrage notion of No-Unbounded-Profit-with-Bounded-Risk (NUPBR hereafter) and additional information generated by a random time. This study complements the one of Aksamit/Choulli/Deng/Jeanblanc [1] in which the authors studied similar topics for the case of stopping…
The new framework for finance is proposed. This framework based on three known approaches in econophysics. Assumptions of the framework are the following: 1. For the majority of situations market follows non-arbitrage condition. 2. For the small number of situations market influenced by the actions of big firms. 3. If …
This paper completes the analysis of Choulli et al. Non-Arbitrage up to Random Horizons and after Honest Times for Semimartingale Models and contains two principal contributions. The first contribution consists in providing and analysing many practical examples of market models that admit classical arbitrages while the…
G3M impermanent losses are a key issue in decentralized finance, affecting diversification benefits.
This paper proposes two approaches that quantify the exact relationship among the viability, the absence of arbitrage, and/or the existence of the numéraire portfolio under minimal assumptions and for general continuous-time market models. Precisely, our first and principal contribution proves the equivalence among the…
The paper uncovers the impact of price and payoff autocorrelations in multi-period asset pricing models.
Paper introduces benchmark-neutral pricing for long-term contracts.
We explore nature of price formation in financial markets and develop a theory of bid and ask price dynamics in which the two prices form due to quantum-chaotic interaction between buy and sell orders. In this model bid and ask prices are represented by eigenvalues of a 2x2 price operator corresponding to 'bid' and 'as…
New pricing algorithm learns demand curves and optimizes prices in dynamic markets.
In this paper we study dynamic pricing mechanisms of financial derivatives. A typical model of such pricing mechanism is the so-called g--expectation defined by solutions of a backward stochastic differential equation with g as its generating function. Black-Scholes pricing model is a special linear case of this pricin…
At the ultra high frequency level, the notion of price of an asset is very ambiguous. Indeed, many different prices can be defined (last traded price, best bid price, mid price,...). Thus, in practice, market participants face the problem of choosing a price when implementing their strategies. In this work, we propose …
Study utility indifference pricing in a Bachelier model with small linear price impact.
A pricing principle is introduced for non-attainable claims in incomplete markets.
Price without transaction makes no sense. Trading volume authenticates its corresponding price, so there exist mutual information and correlation between price and trading volume. We are curious about fractal features of this correlation and need to know how structures in different scales translate information. To expl…
Revisits behavioral finance option pricing model to align with rational asset pricing theory.
The paper extends option pricing theory for markets with informed traders.
How does dynamic price information flow among Northern European electricity spot prices and prices of major electricity generation fuel sources? We use time series models combined with new advances in causal inference to answer these questions. Applying our methods to weekly Nordic and German electricity prices, and oi…
Research predicts XRP price anomalies using graph topologies.
Path integral method calculates barrier option prices.
In this paper we apply active learning algorithms for dynamic pricing in a prominent e-commerce website. Dynamic pricing involves changing the price of items on a regular basis, and uses the feedback from the pricing decisions to update prices of the items. Most popular approaches to dynamic pricing use a passive learn…
A statistical decision problem is hidden in the core of option pricing. A simple form for the price C of a European call option is obtained via the minimum Bayes risk, R_B, of a 2-parameter estimation problem, thus justifying calling C Bayes (B-)price. The result provides new insight in option pricing, among others obt…
The paper addresses pricing interest rate derivatives in markets with volatility uncertainty.
The paper modifies asset pricing models using Taylor series expansions and market-based averages.
The paper reviews historical and modern approaches to asset pricing probability measures.
Introduces an unobservable intrinsic electricity price to link storage theory with risk premium.
It is well known how to determine the price of perpetual American options if the underlying stock price is a time-homogeneous diffusion. In the present paper we consider the inverse problem, that is, given prices of perpetual American options for different strikes, we show how to construct a time-homogeneous stock pric…
In our paper we analyze the relationship between the day-ahead electricity price of the Energy Exchange Austria (EXAA) and other day-ahead electricity prices in Europe. We focus on markets, which settle their prices after the EXAA, which enables traders to include the EXAA price into their calculations. For each market…
Data-driven method for option pricing using historical asset prices.
We derive behavioral finance option pricing formulas consistent with the rational dynamic asset pricing theory. In the existing behavioral finance option pricing formulas, the price process of the representative agent is not a semimartingale, which leads to arbitrage opportunities for the option seller. In the literatu…