17 citations · 17 across the 5 of their papers we have counts for
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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…
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…
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…