Every maturity-dependent derivative contract entails a term structure. For example, when the value of the portfolio consisting of a long position in a stock and a short position in a vanilla option is expressed in units of its instantaneous exercise value, the resulting quantity defines a...

In this paper we examine inefficiencies and information disparity in the Japanese stock market. By carefully analysing information publicly available on the internet, an `outsider' to conventional statistical arbitrage strategies--which are based on market microstructure, company releases, or...

In this paper, we study the Kelly criterion in the continuous time framework building on the work of E.O. Thorp and others. The existence of an optimal strategy is proven in a general setting and the corresponding optimal wealth process is found. A simple formula is provided for calculating the...

In this paper, we study the Kelly criterion in the continuous time framework building on the work of E.O. Thorp and others. The existence of an optimal strategy is proven in a general setting and the corresponding optimal wealth process is found. A simple formula is provided for calculating the...

The well-known theorem of Dybvig, Ingersoll and Ross shows that the long zero-coupon rate can never fall. This result, which, although undoubtedly correct, has been regarded by many as surprising, stems from the implicit assumption that the long-term discount function has an exponential tail. We...

The space of probability distributions on a given sample space possesses natural geometric properties. For example, in the case of a smooth parametric family of probability distributions on the real line, the parameter space has a Riemannian structure induced by the embedding of the family into...

The geometric L\'evy model (GLM) is a natural generalisation of the geometric Brownian motion model (GBM) used in the derivation of the Black-Scholes formula. The theory of such models simplifies considerably if one takes a pricing kernel approach. In one dimension, once the underlying L\'evy...

The Wiener chaos approach to interest rate modelling arises from the observation that the pricing kernel admits a representation in terms of the conditional variance of a square-integrable random variable, which in turn admits a chaos expansion. When the expansion coefficients factorise into...