We study the problem of convergence of discrete-time option values to continuous-time option values. While previous papers typically concentrate on the approximation of geometric Brownian motion by a binomial tree, we consider here the case where the model is incomplete in both continuos and...

Using virtual stock markets with artificial interacting software in- vestors, aka agent-based models (ABMs), we present a method to reverse engineer real-world financial time series. We model financial markets as made of a large number of interacting boundedly rational agents. By op- timizing...

We propose a new set of stylized facts quantifying the structure of financial markets. The key idea is to study the combined structure of both investment strategies and prices in order to open a qualitatively new level of understanding of financial and economic markets. We study the detailed...

We propose a new set of stylized facts quantifying the structure of financial markets. The key idea is to study the combined structure of both investment strategies and prices in order to open a qualitatively new level of understanding of financial and economic markets. We study the detailed...

We consider financial market using mathematical models which incorporate an excess demand function that depends not only upon the price but on the price derivative. The classical (value-based) motivation for purchasing the equity is augmented with a trend-based strategy of buying due to rising...

From first principles, using general no-arbitrage arguments across international markets, differential swaps and a variety of quanto options and futures are evaluated and replicated in closed form by explicit construction of their hedge portfolios, under the assumption of deterministic...