Discrete time models for bid-ask pricing under Dempster-Shafer uncertainty

As is well-known, real financial markets depart from simplifying hypotheses of classical no-arbitrage pricing theory. In particular, they show the presence of frictions in the form of bid-ask spread. For this reason, the aim of the thesis is to provide a model able to manage these situations, relying on a non-linear pricing rule defined as (discounted) Choquet integral with respect to a belief function. Under the partially resolving uncertainty principle, we generalize the first fundamental theorem of asset pricing in the context of belief functions. Furthermore, we show that a generalized arbitrage-free lower pricing rule can be characterized as a (discounted) Choquet expectation with respect to an equivalent inner approximating (one-step) Choquet martingale belief function. Then, we generalize the Choquet pricing rule dinamically: we characterize a reference belief function such that a multiplicative binomial process satisfies a suitable version of time-homogeneity and Markov properties and we derive the induced conditional Choquet expectation operator. In a multi-period market with a risky asset admitting bid-ask spread, we assume that its lower price process is modeled by the proposed time-homogeneous Markov multiplicative binomial process. Here, we generalize the theorem of change of measure, proving the existence of an equivalent one-step Choquet martingale belief function. Then, we prove that the (discounted) lower price process of a European derivative is a one-step Choquet martingale and a k-step Choquet super-martingale, for k ≥ 2

Optimal transportation and stationary measures for Iterated Function Systems

In this article we show how ideas, methods and results from optimal transportation can be used to study various aspects of the stationary measuresof Iterated Function Systems equipped with a probability distribution. We recover a classical existence and uniqueness result under a contraction-on-average assumption, prove generalized moment bounds from which tail estimates can be deduced, consider the convergence of the empirical measure of an associated Markov chain, and prove in many cases the Lipschitz continuity of the stationary measure when the system is perturbed, with as a consequence a "linear response formula" at almost every parameter of the perturbation.Comment: v3- small typos corrected. v2- many small modifications throughout, added a bibliographical section, improved the exponential moment estimate for the hyperbolic-parabolic example. Mathematical Proceedings, Cambridge University Press (CUP), In pres

Optimal transportation and stationary measures for Randomly Iterated Function Systems

In this article, we show how ideas, methods and results from optimal transportation can be used to study various aspects of the stationary measures of Iterated Function Systems equipped with a probability distribution. We recover a classical existence and uniqueness result under a contraction-on-average assumption, prove moment bounds and generalized moment bounds, consider the convergence of the empirical measure of an associated Markov chain, prove in many cases the Lipschitz continuity of the stationary measure when the system is perturbed, with as a consequence a "linear response formula" at almost every parameter of the perturbation, and prove singularity of the stationary measure in some cases where the classical dimension bound coincides with the dimension of the ambient space

Perfect and imperfect simulations in stochastic geometry

This thesis presents new developments and applications of simulation methods in stochastic geometry. Simulation is a useful tool for the statistical analysis of spatial point patterns. We use simulation to investigate the power of tests based on the J-function, a new measure of spatial interaction in point patterns. The power of tests based on J is compared to the power of tests based on alternative measures of spatial interaction. Many models in stochastic geometry can only be sampled using Markov chain Monte Carlo methods. We present and extend a new generation of Markov chain Monte Carlo methods, the perfect simulation algorithms. In contrast to conventional Markov chain Monte Carlo methods perfect simulation methods are able to check whether the sampled Markov chain has reached equilibrium yet, thus ensuring that the exact equilibrium distribution is sampled. There are two types of perfect simulation algorithms. Coupling from the Past and Fill’s interruptible algorithm. We present Coupling from the Past in the most general form available and provide a classification of Coupling from the Past algorithms. Coupling from the Past is then extended to produce exact samples of a Boolean model which is conditioned to cover a set of locations with grains. Finally we discuss Fill’s interruptible algorithm and show how to extend the original algorithm to continuous distributions by applying it to a point process example