5 papers
Path-Space Model Risk via Signature-Induced Optimal Transport
Tomoyuki Ichiba, Qijin Shi
We propose a signature-induced, optimal transport framework for path-space model risk, in which ambiguity between stochastic path laws is factorized through optimal transport costs…
Unbiased Rough Integrators and No Free Lunch in Rough-Path-Based Market Models
Tomoyuki Ichiba, Qijin Shi
Built to generalise classical stochastic calculus, rough path theory provides a natural and pathwise framework to model continuous non-semimartingale assets. This paper investigate…
Relative Arbitrage Opportunities with Interactions among Investors
Tomoyuki Ichiba, Nicole Tianjiao Yang
The relative arbitrage portfolio outperforms a benchmark portfolio over a given time-horizon with probability one. With market price of risk processes depending on the market portf…
Feynman Formula for Discrete-time Quantum Walks
Jean-Pierre Fouque, Tomoyuki Ichiba, Ka Lok Lam
We explicitly connect (discrete-time) quantum walks on Z with a four-state Markov additive process via a Feynman-type formula (2.5). Using this representation, we derive a relation…
Optimal investment with insider information using Skorokhod & Russo-Vallois integration
Mauricio Elizalde, Carlos Escudero, Tomoyuki Ichiba
We study the maximization of the logarithmic utility for an insider with different anticipating techniques. Our aim is to compare the utilization of Russo-Vallois forward and Skoro…