no code implementations • 21 Jan 2022 • George Bouzianis, Lane P. Hughston, Leandro Sánchez-Betancourt
We consider a pair of traders in a market where the information available to the second trader is a strict subset of the information available to the first trader.
no code implementations • 23 Nov 2020 • Dorje C. Brody, Lane P. Hughston
The phase space of a relativistic system can be identified with the future tube of complexified Minkowski space.
Quantum Physics General Relativity and Quantum Cosmology High Energy Physics - Theory
no code implementations • 23 Jun 2020 • George Bouzianis, Lane P. Hughston
We consider the problem of optimal hedging in an incomplete market with an established pricing kernel.
no code implementations • 17 Mar 2020 • Lane P. Hughston, Leandro Sánchez-Betancourt
A cash flow $H_T$ is taken to depend on the market factor $X_T$, and one considers the valuation of a financial asset that delivers $H_T$ at $T$.
no code implementations • 19 Jul 2019 • George Bouzianis, Lane P. Hughston, Sebastian Jaimungal, Leandro Sánchez-Betancourt
We present an overview of the broad class of financial models in which the prices of assets are L\'evy-Ito processes driven by an $n$-dimensional Brownian motion and an independent Poisson random measure.
no code implementations • 21 Jul 2013 • Dorje C. Brody, Lane P. Hughston, Xun Yang
The price of a commodity is the expectation under a suitable pricing measure of the totality of the discounted risk-adjusted future convenience dividend, conditional on the information provided by the market filtration.