2 papers
q-fin.MF2020
Generalized Filtrations and Its Application to Binomial Asset Pricing Models
Takanori Adachi, Katsushi Nakajima, Yoshihiro Ryu
We introduce generalized filtration with which we can represent situations such as some agents forget information at some specific time. The filtration is defined as a functor to a…
q-fin.MF2019
A Binomial Asset Pricing Model in a Categorical Setting
Takanori Adachi, Katsushi Nakajima, Yoshihiro Ryu
Adachi and Ryu introduced a category Prob of probability spaces whose objects are all probability spaces and whose arrows correspond to measurable functions satisfying an absolutel…