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Finance Without Probabilistic Prior Assumptions
Probability–Free Finance Fundamental Theorem of Asset Pricing Full–Support Martingale Measure Superhedging Infinite–Dimensional Linear Programming
2011/7/19
We develop the fundamental theorem of asset pricing in a probability–free infinite–dimensional setup. We replace the usual assumption of a prior probability by a certain continuity property in the sta...
Is a probabilistic modeling really useful in financial engineering? - A-t-on vraiment besoin d'un modèle probabiliste en ingénierie financière ?
Quantitative finance dynamic portfolio management strategy time series trends volatility,
2011/7/22
A new standpoint on financial time series, without the use of any mathematical model and of probabilistic tools, yields not only a rigorous approach of trends and volatility, but also efficient calcul...
Arbitrage and Hedging in a non probabilistic framework
hedging and arbitrage topological structure of the trajectory space non probabilistic arbitrage
2011/3/30
The paper studies the concepts of hedging and arbitrage in a non probabilistic framework. It provides conditions for non probabilistic arbitrage based on the topological structure of the trajectory sp...
A note on evolutionary stochastic portfolio optimization and probabilistic constraints
note evolutionary stochastic portfolio optimization probabilistic constraints
2010/10/18
In this note, we extend an evolutionary stochastic portfolio optimization framework to include probabilistic constraints. Both the stochastic programming-based modeling environment as well as the evol...
A note on evolutionary stochastic portfolio optimization and probabilistic constraints
evolutionary stochastic portfolio optimization probabilistic constraints
2010/10/18
In this note, we extend an evolutionary stochastic portfolio optimization framework to include probabilistic constraints. Both the stochastic programming-based modeling environment as well as the evol...
A Subjective and Probabilistic Approach to Derivatives
Subjective Probabilistic Approach Derivatives
2010/10/18
We propose a probabilistic framework for pricing derivatives, which acknowledges that information and beliefs are subjective. Market prices can be translated into implied probabilities. In particular,...
The continuous behavior of the numeraire portfolio under small changes in information structure, probabilistic views and investment constraints
continuous behavior numeraire portfolio small changes information structure probabilistic views investment constraints
2010/12/17
The numeraire portfolio in a financial market is the unique positive wealth process that makes all other nonnegative wealth processes, when deflated by it, supermartingales. The numeraire portfolio de...
Probabilistic representations of the density function of the asset price and of vanilla options in linear stochastic volatility models
Probabilistic representations asset price linear stochastic volatility models
2010/11/2
Probabilistic representations of the density function of the asset price and of vanilla options in linear stochastic volatility models。