3 papers
q-fin.MF2025
The Relative Entropy of Expectation and Price
Paul McCloud
As operators acting on the undetermined final settlement of a derivative security, expectation is linear but price is non-linear. When the market of underlying securities is incomp…
q-fin.MF2020
Expectation and Price in Incomplete Markets
Paul McCloud
Risk-neutral pricing dictates that the discounted derivative price is a martingale in a measure equivalent to the economic measure. The residual ambiguity for incomplete markets is…
q-fin.PR2019
Repo convexity
Paul McCloud
There is an observed basis between repo discounting, implied from market repo rates, and bond discounting, stripped from the market prices of the underlying bonds. Here, this basis…