We present a multi-period mean-variance optimization program which allows for a joint optimization of the balance and off-balance sheet. Our first finding is the proof of a conjecture of Li and Ng (2000), Leippold, Trojani and Vanini (2004, 2003) about the equivalence of the original...

A quantization procedure for the Yang-Mills equations for the Minkowski space R 1,3 is carried out in such a way that fi eld maps satisfying Wightman axioms of Constructive Quantum Field Theory can be obtained. Moreover, by removing the infrared and ultraviolet cutoff s, the spectrum of the...

Geometric Arbitrage Theory, where a generic market is modelled with a principal fibre bundle and arbitrage corresponds to its curvature, is applied to credit markets to model default risk and recovery, leading to closed form no arbitrage characterizations for corporate bonds.

In this work, we identify the most general measure of arbitrage for any market model governed by It\^o processes. We show that our arbitrage measure is invariant under changes of num\'{e}raire and equivalent probability. Moreover, such measure has a geometrical interpretation as a gauge...

We have embedded the classical theory of stochastic finance into a differential geometric framework called Geometric Arbitrage Theory and show that it is possible to: --Write arbitrage as curvature of a principal fibre bundle. --Parameterize arbitrage strategies by its holonomy. --Give the...

We propose two structural models for stochastic losses given default which allow to model the credit losses of a portfolio of defaultable financial instruments. The credit losses are integrated into a structural model of default events accounting for correlations between the default events and...

As we leave behind the assumption of normality in return distributions, the classical risk-reward Sharpe Ratio becomes a questionable tool for ranking risky projects. In the spirit of Sharpe thinking, a more general risk-reward ratio Phi suitable to compare skewed return distributions with...

We apply Geometric Arbitrage Theory to obtain results in Mathematical Finance, which do not need stochastic differential geometry in their formulation.First, for a generic market dynamics given by a multidimensional Itô's process we specify and prove the equivalence between (NFLVR) and expected...

Geometric Arbitrage Theory reformulates a generic asset model possibly allowing for arbitrage by packaging all assets and their forwards dynamics into a stochastic principal fibre bundle, with a connection whose parallel transport encodes discounting and portfolio rebalancing, and whose...

We apply Geometric Arbitrage Theory to obtain results in mathematical finance for credit markets, which do not need stochastic differential geometry in their formulation. We obtain closed form equations involving default intensities and loss given defaults characterizing the...