Pricing and hedging in incomplete markets with coherent risk

We propose a pricing technique based on coherent risk measures, which enables one to get finer price intervals than in the No Good Deals pricing. The main idea consists in splitting a liability into several parts and selling these parts to different agents. The technique is closely connected with the convolution of coherent risk measures and equilibrium considerations. Furthermore, we propose a way to apply the above technique to the coherent estimation of the Greeks

Coherent measurement of factor risks

We propose a new procedure for the risk measurement of large portfolios. It employs the following objects as the building blocks: - coherent risk measures introduced by Artzner, Delbaen, Eber, and Heath; - factor risk measures introduced in this paper, which assess the risks driven by particular factors like the price of oil, S&P500 index, or the credit spread; - risk contributions and factor risk contributions, which provide a coherent alternative to the sensitivity coefficients. We also propose two particular classes of coherent risk measures called Alpha V@R and Beta V@R, for which all the objects described above admit an extremely simple empirical estimation procedure. This procedure uses no model assumptions on the structure of the price evolution. Moreover, we consider the problem of the risk management on a firm's level. It is shown that if the risk limits are imposed on the risk contributions of the desks to the overall risk of the firm (rather than on their outstanding risks) and the desks are allowed to trade these limits within a firm, then the desks automatically find the globally optimal portfolio

CAPM, rewards, and empirical asset pricing with coherent risk

The paper has 2 main goals: 1. We propose a variant of the CAPM based on coherent risk. 2. In addition to the real-world measure and the risk-neutral measure, we propose the third one: the extreme measure. The introduction of this measure provides a powerful tool for investigating the relation between the first two measures. In particular, this gives us - a new way of measuring reward; - a new approach to the empirical asset pricing

Dark Energy and Dark Matter Interaction: Kernels of Volterra Type and Coincidence Problem

We study a new exactly solvable model of coupling of the Dark Energy and Dark Matter, in the framework of which the kernel of non-gravitational interaction is presented by the integral Volterra-type operator well-known in the classical theory of fading memory. Exact solutions of this isotropic homogeneous cosmological model were classified with respect to the sign of the discriminant of the cubic characteristic polynomial associated with the key equation of the model. Energy-density scalars of the Dark Energy and Dark Matter, the Hubble function and acceleration parameter are presented explicitly; the scale factor is found in quadratures. Asymptotic analysis of the exact solutions has shown that the Big Rip, Little Rip, Pseudo Rip regimes can be realized with the specific choice of guiding parameters of the model. We show that the Coincidence problem can be solved if we consider the memory effect associated with the interactions in the Dark Sector of the Universe.Comment: 15 pages, 0 figures, Invited paper for the Special Issue "Cosmological Inflation, Dark Matter and Dark Energy" of the Journal Symmetry (MDPI), Special Issue Editor: Kazuharu Bamb

Rapid rotation of a Bose-Einstein condensate in a harmonic plus quartic trap

A two-dimensional rapidly rotating Bose-Einstein condensate in an anharmonic trap with quadratic and quartic radial confinement is studied analytically with the Thomas-Fermi approximation and numerically with the full time-independent Gross-Pitaevskii equation. The quartic trap potential allows the rotation speed $\Omega$ to exceed the radial harmonic frequency $\omega_\perp$. In the regime $\Omega \gtrsim \omega_\perp$, the condensate contains a dense vortex array (approximated as solid-body rotation for the analytical studies). At a critical angular velocity $\Omega_h$, a central hole appears in the condensate. Numerical studies confirm the predicted value of $\Omega_h$, even for interaction parameters that are not in the Thomas-Fermi limit. The behavior is also investigated at larger angular velocities, where the system is expected to undergo a transition to a giant vortex (with pure irrotational flow).Comment: 14 pages, 5 figure

Orbital moment of a single Co atom on a Pt(111) surface - a view from correlated band theory

The orbital magnetic moment of a Co adatom on a Pt(111) surface is calculated in good agreement with experimental data making use of the LSDA+U method. It is shown that both electron correlation induced orbital polarization and structural relaxation play essential roles in orbital moment formation. The microscopic origins of the orbital moment enhancement are discussed