3 papers
q-fin.MF2023
Optimal contract design via relaxation: application to the problem of brokerage fee for a client with private signal
Guillermo Alonso Alvarez, Sergey Nadtochiy
In this paper we show how the relaxation techniques can be used to establish the existence of an optimal contract in presence of information asymmetry. The method we illustrate was…
math.AP2023
Stefan problem with surface tension: uniqueness of physical solutions under radial symmetry
Yucheng Guo, Sergey Nadtochiy, Mykhaylo Shkolnikov
We study the Stefan problem with surface tension and radially symmetric initial data. In this context, the notion of a so-called physical solution, which exists globally despite th…
q-fin.PR2016
Robust Trading of Implied Skew
Sergey Nadtochiy, Jan Obloj
In this paper, we present a method for constructing a (static) portfolio of co-maturing European options whose price sign is determined by the skewness level of the associated impl…