My daughter with a Sturgeon of nine pounds
There are some papers about Non-Commutative Probability below and a few
preprints written to record work with Reseach Students. Any errors are
mine. The first of these was a paper that arose from the PhD thesis of
Andronicus Voliotis
Stochastic and Belated Integrals for the Full
Fock Space.
The next paper introduces the idea of a `Market Condition' as a map on trading
strategies which restricts the available trading strategies to the range of
the map. It was part of Wai Ping Liu's PhD thesis.
A minimum variance result under Market
Conditions
This next paper continues the theme of Market Conditions. It looks at what
happens when there is a halt in trading. The results are interesting for the
Binomial model but simply don't work for a Log-Normal model.
Hedging when there is a halt in
Trading
Transaction Costs are another Market Condition. There have been various papers
looking at this. The default assumption seems to be that one must look at the cost-minimal case. But if you are a day-trader and you like to sleep at
night you may choose to close out your positions at the end of each day,
incurring costs but enjoying certainty. The paper below looked at something
akin to this.
A Simplistic Approach to Transaction costs
The following paper looks at a swop-like arrangement which can knock out during
its lifetime. It was work with T Tanpradist.
Tenor Varying Exchange
Arrangements
Pages from the Hidden Lantern.
Shells
Big Story
Old Soldier
Sunlight
Problems (and
solutions) for Stochastic Processes I Resources for Students of Mathematical Finance
Mathematical Option Pricing. Supplementary Material 1
Mathematical Option Pricing. Supplementary Material 2
Research Interests
Lebesgue Integration
Ireland 2002
Sunday Ride