The contract is described and market examples given. Essential theoretical developments are introduced and cited chronologically. The principles and techniques of hedging and unique pricing are illustrated for the two simplest nontrivial examples: the classical Black-Scholes/Merton/Margrabe...

We find strong evidence that momentum across asset classes is driven by macroeconomic state variables. By reacting to changes in the macroeconomic environment, the strategy performs particularly well in times of economic distress. This result is interesting for practitioners and academics alike...

In this paper we apply a new approach of string theory to the real financial market. The models are constructed with an idea of prediction models based on the string invariants (PMBSI). The performance of PMBSI is compared to support vector machines (SVM) and artificial neural networks (ANN) on...