17 citations · 17 across the 5 of their papers we have counts for
8 papers
Model Risk Analysis for Entropic Hedging Strategies
Paul McCloud
Entropic risk optimisation is a general framework for pricing and hedging financial derivatives in incomplete markets that can be used to decompose P&L into market and model risk c…
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…
The Category of Linear Optical Quantum Computing
Paul McCloud
This note reviews the model of computation generated by photonic circuits, comprising edges that are traversed by photons in a single time-bin and vertices given by idealised lossl…
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…
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…
Quantum Bounds for Option Prices
Paul McCloud
Option pricing is the most elemental challenge of mathematical finance. Knowledge of the prices of options at every strike is equivalent to knowing the entire pricing distribution…
Information and Arbitrage: Applications of Quantum Groups in Mathematical Finance
Paul McCloud
The relationship between expectation and price is commonly established with two principles: no-arbitrage, which asserts that both maps are positive; and equivalence, which asserts…
Jet Bundles in Quantum Field Theory: The BRST-BV method
Paul McCloud
The geometric interpretation of the Batalin-Vilkovisky antibracket as the Schouten bracket of functional multivectors is examined in detail. The identification is achieved by the p…