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Mathias Beiglböck

Publications and source records attributed to Mathias Beiglböck.

At least 55 records · Page 3Linked to original sources
arXiv2016

Pathwise super-replication via Vovk's outer measure

Since Hobson's seminal paper [D. Hobson: Robust hedging of the lookback option. In: Finance Stoch. (1998)] the connection between model-independent pricing and the Skorokhod embedding problem has been a driving force in robust finance. We establish a general pricing-hedging duality for financial derivatives which are susceptible to the Skorokhod approach. Using Vovk's approach to mathematical finance we derive a model-independent super-replication theorem in continuous time, given information on finitely many marginals. Our result covers a broad range of exotic derivatives, including lookback options, discretely monitored Asian options, and options on realized variance.

q-fin.MF↗
arXiv2016

Complete Duality for Martingale Optimal Transport on the Line

We study the optimal transport between two probability measures on the real line, where the transport plans are laws of one-step martingales. A quasi-sure formulation of the dual problem is introduced and shown to yield a complete duality theory for general marginals and measurable reward (cost) functions: absence of a duality gap and existence of dual optimizers. Both properties are shown to fail in the classical formulation. As a consequence of the duality result, we obtain a general principle of cyclical monotonicity describing the geometry of optimal transports.

math.PR↗
arXiv2016

On a problem of optimal transport under marginal martingale constraints

The basic problem of optimal transportation consists in minimizing the expected costs $\mathbb {E}[c(X_1,X_2)]$ by varying the joint distribution $(X_1,X_2)$ where the marginal distributions of the random variables $X_1$ and $X_2$ are fixed. Inspired by recent applications in mathematical finance and connections with the peacock problem, we study this problem under the additional condition that $(X_i)_{i=1,2}$ is a martingale, that is, $\mathbb {E}[X_2|X_1]=X_1$. We establish a variational principle for this problem which enables us to determine optimal martingale transport plans for specific cost functions. In particular, we identify a martingale coupling that resembles the classic monotone quantile coupling in several respects. In analogy with the celebrated theorem of Brenier, the following behavior can be observed: If the initial distribution is continuous, then this "monotone martingale" is supported by the graphs of two functions $T_1,T_2:\mathbb {R}\to \mathbb {R}$.

math.PR↗
arXiv2015

Root to Kellerer

We revisit Kellerer's Theorem, that is, we show that for a family of real probability distributions $(μ_t)_{t\in [0,1]}$ which increases in convex order there exists a Markov martingale $(S_t)_{t\in[0,1]}$ s.t.\ $S_t\sim μ_t$. To establish the result, we observe that the set of martingale measures with given marginals carries a natural compact Polish topology. Based on a particular property of the martingale coupling associated to Root's embedding this allows for a relatively concise proof of Kellerer's theorem. We emphasize that many of our arguments are borrowed from Kellerer \cite{Ke72}, Lowther \cite{Lo07}, and Hirsch-Roynette-Profeta-Yor \cite{HiPr11,HiRo12}.

math.PR↗
arXiv2015

Pathwise versions of the Burkholder-Davis-Gundy inequality

We present a new proof of the Burkholder-Davis-Gundy inequalities for $1\leq p<\infty$. The novelty of our method is that these martingale inequalities are obtained as consequences of elementary deterministic counterparts. The latter have a natural interpretation in terms of robust hedging.

math.PR↗
arXiv2014

Martingale Inequalities and Deterministic Counterparts

We study martingale inequalities from an analytic point of view and show that a general martingale inequality can be reduced to a pair of deterministic inequalities in a small number of variables. More precisely, the optimal bound in the martingale inequality is determined by a fixed point of a simple nonlinear operator involving a concave envelope. Our results yield an explanation for certain inequalities that arise in mathematical finance in the context of robust hedging.

math.PR↗
arXiv2013

A model-free version of the fundamental theorem of asset pricing and the super-replication theorem

We propose a Fundamental Theorem of Asset Pricing and a Super-Replication Theorem in a model-independent framework. We prove these theorems in the setting of finite, discrete time and a market consisting of a risky asset S as well as options written on this risky asset. As a technical condition, we assume the existence of a traded option with a super-linearly growing payoff-function, e.g., a power option. This condition is not needed when sufficiently many vanilla options maturing at the horizon T are traded in the market.

math.PR↗
arXiv2013

Model-independent Bounds for Option Prices: A Mass Transport Approach

In this paper we investigate model-independent bounds for exotic options written on a risky asset. Based on arguments from the theory of Monge-Kantorovich mass-transport we establish a dual version of the problem that has a natural financial interpretation in terms of semi-static hedging. In particular we prove that there is no duality gap.

q-fin.PR↗
arXiv2011

Transfinite Approximation of Hindman's Theorem

Hindman's Theorem states that in any finite coloring of the integers, there is an infinite set all of whose finite sums belong to the same color. This is much stronger than the corresponding finite form, stating that in any finite coloring of the integers there are arbitrarily long finite sets with the same property. We extend the finite form of Hindman's Theorem to a "transfinite" version for each countable ordinal, and show that Hindman's Theorem is equivalent to the appropriate transfinite approximation holding for every countable ordinal. We then give a proof of Hindman's Theorem by directly proving these transfinite approximations.

math.CO↗
arXiv2010

A generalized dual maximizer for the Monge--Kantorovich transport problem

The dual attainment of the Monge--Kantorovich transport problem is analyzed in a general setting. The spaces $X, Y$ are assumed to be polish and equipped with Borel probability measures $μ$ and $ν$. The transport cost function $c:\XY \to [0,\infty]$ is assumed to be Borel measurable. We show that a dual optimizer always exists, provided we interpret it as a projective limit of certain finitely additive measures. Our methods are functional analytic and rely on Fenchel's perturbation technique.

math.OC↗
arXiv2010

A Direct Proof of the Bichteler--Dellacherie Theorem and Connections to Arbitrage

We give an elementary proof of the celebrated Bichteler-Dellacherie Theorem which states that the class of stochastic processes $S$ allowing for a useful integration theory consists precisely of those processes which can be written in the form $S=M+A$, where $M$ is a local martingale and $A$ is a finite variation process. In other words, $S$ is a good integrator if and only if it is a semi-martingale. We obtain this decomposition rather directly from an elementary discrete-time Doob-Meyer decomposition. By passing to convex combinations we obtain a direct construction of the continuous time decomposition, which then yields the desired decomposition. As a by-product of our proof we obtain a characterization of semi-martingales in terms of a variant of \emph{no free lunch}, thus extending a result from [DeSc94].

math.PR↗
arXiv2009

Optimal and better transport plans

We consider the Monge-Kantorovich transport problem in a purely measure theoretic setting, i.e. without imposing continuity assumptions on the cost function. It is known that transport plans which are concentrated on c-monotone sets are optimal, provided the cost function c is either lower semi-continuous and finite, or continuous and may possibly attain the value infty. We show that this is true in a more general setting, in particular for merely Borel measurable cost functions provided that {c=infty} is the union of a closed set and a negligible set. In a previous paper Schachermayer and Teichmann considered strongly c-monotone transport plans and proved that every strongly c-monotone transport plan is optimal. We establish that transport plans are strongly c-monotone if and only if they satisfy a "better" notion of optimality called robust optimality.

math.OC↗
arXiv2008

Solvability of Rado systems in D-sets

Rado's Theorem characterizes the systems of homogenous linear equations having the property that for any finite partition of the positive integers one cell contains a solution to these equations. Furstenberg and Weiss proved that solutions to those systems can in fact be found in every central set. (Since one cell of any finite partition is central, this generalizes Rado's Theorem.) We show that the same holds true for the larger class of $D$-sets. Moreover we will see that the conclusion of Furstenberg's Central Sets Theorem is true for all sets in this class.

math.DS↗
arXiv2008

A Multidimensional Central Sets Theorem

The Theorems of Hindman and van der Waerden belong to the classical theorems of partition Ramsey Theory. The Central Sets Theorem is a strong simultaneous extension of both theorems that applies to general commutative semigroups. We give a common extension of the Central Sets Theorem and Ramsey's Theorem.

math.CO↗
arXiv2008

Strong characterizing sequences of countable groups

András Biró and Vera Sós prove that for any subgroup $G$ of $\T$ generated freely by finitely many generators there is a sequence $A\subset \N$ such that for all $β\in \T$ we have ($\|.\|$ denotes the distance to the nearest integer) $$β\in G \Rightarrow \sum_{n\in A} \| n β\| < \infty,\quad \quad \quad β\notin G \Rightarrow \limsup_{n\in A, n \to \infty} \|n β\| > 0. $$ We extend this result to arbitrary countable subgroups of $\T$. We also show that not only the sum of norms but the sum of arbitrary small powers of these norms can be kept small. Our proof combines ideas from the above article with new methods, involving a filter characterization of subgroups of $\T$.

math.NT↗
arXiv2008

Duality for Borel measurable cost functions

We consider the Monge-Kantorovich transport problem in an abstract measure theoretic setting. Our main result states that duality holds if $c:X\times Y\to [0,\infty)$ is an arbitrary Borel measurable cost function on the product of Polish spaces $X,Y$. In the course of the proof we show how to relate a non - optimal transport plan to the optimal transport costs via a ``subsidy'' function and how to identify the dual optimizer. We also provide some examples showing the limitations of the duality relations.

math.OC↗
arXiv2008

A variant of the Hales-Jewett Theorem

It was shown by V. Bergelson that any set B with positive upper multiplicative density contains nicely intertwined arithmetic and geometric progressions: For each positive integer k there exist integers a,b,d such that $ {b(a+id)^j:i,j \in\nhat k}\subset B. $ In particular one cell of each finite partition of the positive integers contains such configurations. We prove a Hales-Jewett type extension of this partition theorem.

math.CO↗