scholarly journals Super-replication price: it can be ok

2018 ◽  
Vol 64 ◽  
pp. 54-64 ◽  
Author(s):  
Laurence Carassus ◽  
Tiziano Vargiolu
Keyword(s):  
Discrete Time ◽  
Recent Literature ◽  
Risky Asset ◽  
Financial Model ◽  
Multiple Priors ◽  
The Law

We consider a discrete time financial model where the support of the conditional law of the risky asset is bounded. For convex options we show that the super-replication problem reduces to the replication one in a Cox-Ross-Rubinstein model whose parameters are the law support boundaries. Thus the super-replication price can be of practical use if this support is not to large. We also make the link with the recent literature on multiple-priors models.

scholarly journals The Phoenix of Colonial War: Race, the Laws of War, and the ‘Horror on the Rhine’

2017 ◽  
Vol 30 (4) ◽  
pp. 847-875 ◽  
Author(s):  
ROTEM GILADI
Keyword(s):  
International Law ◽  
Recent Literature ◽  
League Of Nations ◽  
Laws Of War ◽  
Black Soldiers ◽  
French Colonial ◽  
The Law ◽  
The Moment ◽  
Imperial Governance ◽  
The Phoenix

AbstractThe article explores the demise of the ‘colonial war’ category through the employment of French colonial troops, under the 1918 armistice, to occupy the German Rhineland.It traces the prevalence of – and the anxieties underpinning –antebellumdoctrine on using ‘Barbarous Forces’ in ‘European’ war. It then records the silence ofpostbellumscholars on the ‘horror on the Rhine’ – orchestrated allegations of rape framed in racialized terms of humanity and the requirements of the law of civilized warfare. Among possible explanations for this silence, the article follows recent literature that considers this scandal as the embodiment of crises in masculinity, white domination, and European civilization.These crises, like the scandal itself, expressedantebellumjurisprudential anxieties about the capacity – and implications – of black soldiers being ‘drilled white’. They also deprivedpostbellumlawyers of the vocabulary necessary to address what they signified: breakdown of the laws of war; evident, self-inflicted European barbarity; and the collapse of international law itself, embodied by the VersaillesDiktattreating Germany – as Smuts warned, ‘as we would not treat akaffirnation’ – as a colonial ‘object’, as Schmitt lamented.Last, the article traces the resurgence of ‘colonial war’. It reveals how, at the moment of collapse, in the very instrument embodying it, the category found a new life. Article 22(5) of the League of Nations Covenant (the Covenant) reasserted control over the colonial object, furnishing international lawyers with a new vocabulary to address the employment of colonial troops – yet, now, as part of the ‘law of peace’. Reclassified, both rule and category re-emerged, were codified, and institutionalized imperial governance.

scholarly journals No-arbitrage with multiple-priors in discrete time

2020 ◽  
Vol 130 (11) ◽  
pp. 6657-6688 ◽  
Author(s):  
Romain Blanchard ◽  
Laurence Carassus
Keyword(s):  
Discrete Time ◽  
Multiple Priors ◽  
No Arbitrage

Search for Counterparties

Dark Markets ◽  
2012 ◽  
Author(s):  
Darrell Duffie
Keyword(s):  
Discrete Time ◽  
Continuous Time ◽  
Law Of Large Numbers ◽  
Random Matching ◽  
Cross Sectional ◽  
Equilibrium Search ◽  
Search Intensity ◽  
Large Numbers ◽  
The Law ◽  
The Cross

This chapter introduces the modeling of search and random matching in large economies. The objective is to build intuition and techniques for later chapters. After some mathematical prerequisites, it defines the notion of random matching. It then invokes the law of large numbers to calculate the cross-sectional distribution of types of matches. This is extended to multiperiod search, first in discrete-time settings and then in continuous time. The optimal search intensity of a given agent, given the cross-sectional distribution of types in the population, is characterized with Bellman's principle. The chapter then briefly takes up the issue of equilibrium search efforts.

Hedging in discrete time under transaction costs and continuous-time limit

1999 ◽  
Vol 36 (1) ◽  
pp. 163-178 ◽  
Author(s):  
Pierre-F. Koehl ◽  
Huyên Pham ◽  
Nizar Touzi
Keyword(s):  
Transaction Costs ◽  
Discrete Time ◽  
Continuous Time ◽  
Sufficient Conditions ◽  
Risky Asset ◽  
Market Model ◽  
Upper And Lower Bounds ◽  
Time Step ◽  
Proportional Transaction Costs ◽  
Call Options

We consider a discrete-time financial market model with L1 risky asset price process subject to proportional transaction costs. In this general setting, using a dual martingale representation we provide sufficient conditions for the super-replication cost to coincide with the replication cost. Next, we study the convergence problem in a stationary binomial model as the time step tends to zero, keeping the proportional transaction costs fixed. We derive lower and upper bounds for the limit of the super-replication cost. In the case of European call options and for a unit initial holding in the risky asset, the upper and lower bounds are equal. This result also holds for the replication cost of European call options. This is evidence (but not a proof) against the common opinion that the replication cost is infinite in a continuous-time model.

GENETIC ALGORITHM LEARNING TO CHOOSE AND USE INFORMATION

2001 ◽  
Vol 5 (02) ◽  
pp. 303-325 ◽  
Author(s):  
Bryan R. Routledge
Keyword(s):  
Genetic Algorithm ◽  
Rational Expectations ◽  
Risky Asset ◽  
Rational Expectations Equilibrium ◽  
Model Learning ◽  
Financial Model ◽  
Market Clearing ◽  
Supply Noise ◽  
Market Clearing Price

A genetic algorithm (GA) is used to model learning in a financial model similar to the Grossman–Stiglitz model. Individuals need to learn how to use a signal, how to make an inference about a signal from a market-clearing price, and whether or not a signal is worth acquiring. We provide examples in which the GA does and does not converge to the rational expectations equilibrium. Similar to earlier results, the behavior depends heavily on the rate of experimentation or mutation in the GA and the size of the risky-asset supply noise in the economy.

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