arXiv research

New method recalibrates VaR for option books, reducing forecast errors.

In an incomplete financial market, the axiomatic of Time Consistent Pricing Procedure (TCPP), recently introduced, is used to assign to any financial asset a dynamic limit order book, taking into account both the dynamics of basic assets and the limit order books for options. Kreps-Yan fundamental theorem is extended t…

The study finds flaws in methods used to estimate foreign exchange option prices.

The paper develops Hawkes-based models for LOB and applies them to European, spread, and basket option pricing.

Develops a nonparametric model for arbitrage-free pricing of illiquid derivatives.

Optimal hedging strategies for exotic options using vanilla options.

Neural-SDE model accurately simulates option risks.

Study compares RL and DT-based control for hedging European call options.

In this paper we present a novel approach to the determination of fat tails in financial data by studying the information contained in the limit order book. In an order-driven market buyers and sellers may submit limit orders, which are executed when the price touches a pre-specified lower, respectively higher, limit-p…

Paper offers a simpler solution for managing complex financial options.

We consider a dynamic market model of liquidity where unmatched buy and sell limit orders are stored in order books. The resulting net demand surface constitutes the sole input to the model. We prove that generically there is no arbitrage in the model when the driving noise is a stochastic string. Under the equivalent …

In this article, we tackle the problem of a market maker in charge of a book of options on a single liquid underlying asset. By using an approximation of the portfolio in terms of its vega, we show that the seemingly high-dimensional stochastic optimal control problem of an option market maker is in fact tractable. Mor…

Suppliers (including companies and individual prosumers) may wish to protect their private information when selling items they have in stock. A market is envisaged where private information can be protected through the use of differential privacy and option contracts, while privacy-aware suppliers deliver their stock a…

Neural-SDE models improve option hedging with lower errors and robustness.

Proposes a new framework for invariant quadratic P&L predictions in option books.

Optimal portfolios for fat-tailed risks using a new tail risk measure.

In this paper, we employ the Heston stochastic volatility model to describe the stock's volatility and apply the model to derive and analyze the optimal trading strategies for dealers in a security market. We also extend our study to option market making for options written on stocks in the presence of stochastic volat…

High Frequency Trading (HFT) represents an ever growing proportion of all financial transactions as most markets have now switched to electronic order book systems. The main goal of the paper is to propose continuous time equations which generalize the self-financing relationships of frictionless markets to electronic …

Deriving option prices from operational-time Markov lattices

Solves super-hedging for financial models with uncertain prices.

When firms want to buy back their own shares, they have a choice between several alternatives. If they often carry out open market repurchase, they also increasingly rely on banks through complex buyback contracts involving option components, e.g. accelerated share repurchase contracts, VWAP-minus profit-sharing contra…

Multiscale stochastic volatility models have been developed as an efficient way to capture the principle effects on derivative pricing and portfolio optimization of randomly varying volatility. The recent book Fouque, Papanicolaou, Sircar and Sølna (2011, CUP) analyzes models in which the volatility of the underlying i…

In a discrete-time market, we study model-independent superhedging, while the semi-static superhedging portfolio consists of {\it three} parts: static positions in liquidly traded vanilla calls, static positions in other tradable, yet possibly less liquid, exotic options, and a dynamic trading strategy in risky assets …

We develop a model to price inflation and interest rates derivatives using continuous-time dynamics that have some links with macroeconomic monetary DSGE models equipped with a Taylor rule: in particular, the reaction function of the central bank, the bond market liquidity, inflation and growth expectations play an imp…

Unified RMOT framework for non-modelable risk factors reduces audit bounds.

In this paper I empirically investigate prediction markets for binary options. Advocates of prediction markets have suggested that asset prices are consistent estimators of the "true" probability of a state of the world being realized. I test whether the market reaches a "consensus." I find little evidence for converge…

We introduce the notion of a nested open book, a submanifold equipped with an open book structure compatible with an ambient open book, and describe in detail the special case of a push-off of the binding of an open book. This enables us to explicitly describe a natural open book decomposition of a fibre connected sum …

Handles decompositions reveal new open book structures.

The abstract discusses embedding manifolds in open books and contact structures.

We study a coverings of open books and virtually overtwisted contact manifolds using open book foliations. We show that open book coverings produces interesting examples such as transverse knots with depth grater than 1. We also demonstrate explicit examples of virtually overtwisted open books.

An open book decomposition of a 3-manifold $M$ induces a Heegaard splitting for $M$, and the minimal genus among all Heegaard splittings induced by open book decompositions is called the \emph{open book genus} of $M$. It is conjectured by Ozbagci \cite{O} that the open book genus is additive under the connected sum of …

New 'book links' generalize braids and plats, proving Markov's theorem.

In the present paper we describe compatible open books for the fibre connected sum along binding components of open books, as well as for the fibre connected sum along multi-sections of open books. As an application the first description provides simple ways of constructing open books supporting all tight contact struc…

We empirically study the trading activity in the electronic on-book segment and in the dealership off-book segment of the London Stock Exchange, investigating separately the trading of active market members and of other market participants which are non-members. We find that (i) the volume distribution of off-book tran…

New method shows links can be braided open book bindings.

New examples show high twisting doesn't guarantee open book maximality.

We describe explicit open books on arbitrary plumbings of oriented circle bundles over closed oriented surfaces. We show that, for a non-positive plumbing, the open book we construct is horizontal and the corresponding compatible contact structure is also horizontal and Stein fillable. In particular, we describe horizo…

Study examines new financial metrics and their implications for trading and risk management.

Algorithm constructs Kirby diagrams for 4D open books.

This paper introduces a new type of open book decomposition for a contact three-manifold with a specified characteristic foliation $\mathcal{F}_ξ$ on its boundary. These \textit{foliated open books} offer a finer tool for studying contact manifolds with convex boundary than existing models, as the boundary foliation ca…

In this note, we discuss embeddings of $3$--manifolds via open books. First we show that every open book of every closed orientable $3$--manifold admits an open book embedding in any open book decompistion of $S^2 \times S^3$ and $S^2 \widetilde{\times} S^3$ with the page a disk bundle over $S^2$ and monodromy the iden…

Simplicial volume vanishes for 4-manifolds with open book decompositions.

Study homotopy groups of open books and their pages, pages, and bindings.

Common positive stabilisation found for isotopic contact structures.

New proof of Giroux Correspondence for tight contact 3-manifolds.

The authors introduce Morse foliated open books for studying contact manifolds.

As an application of the construction of open books on plumbed 3-manifolds, we construct elliptic open books on torus bundles over the circle. In certain cases these open books are compatible with Stein fillable contact structures and have minimal genus.

Proves codimension 2 spun embedding for specific manifolds.