Quantitative finance is a combination of economics, accounting, statistics, econometrics,
mathematics, stochastic process, and computer science and technology. Increasingly, the …

This study applies the Caginalp and Balenovic (1999) model for asset flow dynamics to fully
collateralized stablecoins. The analysis provides novel insights on how trend-reversion and …

The problem of determining the European-style option price in incomplete markets is
examined within the framework of stochastic optimization. An analytic method based on the …

This paper is concerned with option pricing in an incomplete market driven by a jump-
diffusion process. We price options according to the principle of utility indifference. Our main …

This book covers fundamental concepts in financial markets and asset pricing such as
hedging, arbitrage, speculation in different markets, classical models for pricing of simple …

This is a personal assessment of the intellectual contribution of the Black–Scholes model of
option pricing. I argue that the real contribution of the paper is to show that European options …

The paper develops general, non-probabilistic market models based on trajectory sets and
minmax price bounds leading to price intervals for European options. The approach …

The paper studies sub and super-replication price bounds for contingent claims defined on
general trajectory based market models. No prior probabilistic or topological assumptions …

The paper studies the existence of arbitrage strategies in models without a semi-martingale
structure. This is achieved by starting with a trajectory space that is treated as a topological …

The paper addresses the problem of providing a framework and an algorithm to evaluate
super and sub replicating prices, for European options, having interesting risk-reward …