Search Results for author:
Found 5 papers, 0 papers with code
Exploiting arbitrage requires short selling
We show that in a financial market given by semimartingales an arbitrage opportunity, provided it exists, can only be exploited through short selling.
Robust Product Markovian Quantization
Recursive marginal quantization (RMQ) allows the construction of optimal discrete grids for approximating solutions to stochastic differential equations in d-dimensions.
No arbitrage and multiplicative special semimartingales
Consider a financial market with nonnegative semimartingales which does not need to have a num\'{e}raire.
Fair Pricing of Variable Annuities with Guarantees under the Benchmark Approach
We consider two pricing approaches, the classical risk-neutral approach and the benchmark approach, and we examine the associated static and optimal behaviors of both the investor and insurer.
On the existence of sure profits via flash strategies
We introduce and study the notion of sure profit via flash strategy, consisting of a high-frequency limit of buy-and-hold trading strategies.
