426 citations · 1.1k across the 18 of their papers we have counts for
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q-fin.GN2016
Global Gauge Symmetries, Risk-Free Portfolios, and the Risk-Free Rate
Martin Gremm
We define risk-free portfolios using three gauge invariant differential operators that require such portfolios to be insensitive to price changes, to be self-financing, and to prod…
q-fin.GN2013★ 1 cited
The Origin of Fat Tails
Martin Gremm
We propose a random walk model of asset returns where the parameters depend on market stress. Stress is measured by, e.g., the value of an implied volatility index. We show that mo…
q-fin.GN2012
Mathematical Constraints on Financially Viable Public Policy
Martin Gremm, Mark B. Wise
Social Security and other public policies can be viewed as a series of cash in and outflows that depend on parameters such as the age distribution of the population and the retirem…