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Non-average price impact in order-driven markets
We present a measurement of price impact in order-driven markets that does not require averages across executions or scenarios.
Interpretability in deep learning for finance: a case study for the Heston model
Deep learning is a powerful tool whose applications in quantitative finance are growing every day.
Price Impact on Term Structure
We introduce a first theory of price impact in presence of an interest-rates term structure.
The importance of dynamic risk constraints for limited liability operators
Previous literature shows that prevalent risk measures such as Value at Risk or Expected Shortfall are ineffective to curb excessive risk-taking by a tail-risk-seeking trader with S-shaped utility function in the context of portfolio optimisation.
Mechanics of good trade execution in the framework of linear temporary market impact
We define the concept of good trade execution and we construct explicit adapted good trade execution strategies in the framework of linear temporary market impact.
Probability-free models in option pricing: statistically indistinguishable dynamics and historical vs implied volatility
Using semimartingale theory, Bender et al. showed that one could obtain option prices based only on the semimartingale quadratic variation of the model, a pathwise property, and highlighted the difference between historical and implied volatility.
The ineffectiveness of coherent risk measures
We show that coherent risk measures are ineffective in curbing the behaviour of investors with limited liability or excessive tail-risk seeking behaviour if the market admits statistical arbitrage opportunities which we term $\rho$-arbitrage for a risk measure $\rho$.
