3 papers
q-fin.MF2026
On the hedging problem in general 1D diffusion markets
Alexis Anagnostakis, David Criens, Mikhail Urusov
We develop a PDE-based methodology for pricing and hedging European contingent claims in general one-dimensional diffusion markets characterized solely by their scale function and…
q-fin.MF2025
On the structure of increasing profits in a 1D general diffusion market with interest rates
Alexis Anagnostakis, David Criens, Mikhail Urusov
In this paper, we investigate a financial market model consisting of a risky asset, modeled as a general diffusion parameterized by a scale function and a speed measure, and a bank…
q-fin.MF2025
On weak notions of no-arbitrage in a 1D general diffusion market with interest rates
Alexis Anagnostakis, David Criens, Mikhail Urusov
We establish deterministic necessary and sufficient conditions for the no-arbitrage notions "no increasing profit" (NIP), "no strong arbitrage" (NSA) and "no unbounded profit with…