In this paper we analyse financial implications of exchangeability and similar properties of finite dimensional random vectors. We show how these properties are reflected in prices of some basket options in view of the well-known put-call symmetry property and the duality principle in option...

In this paper we show how to relate European call and put options on multiple assets to certain convex bodies called lift zonoids. Based on this, geometric properties can be translated into economic statements and vice versa. For instance, the European call-put parity corresponds to the central...

The important application of semi-static hedging in financial markets naturally leads to the notion of quasi self-dual processes. The focus of our study is to give new characterizations of quasi self-duality for exponential L\'evy processes such that the resulting market does not admit arbitrage...

The important application of semi-static hedging in financial markets naturally leads to the notion of quasi self-dual processes which is, for continuous semimartingales, related to symmetry properties of both their ordinary as well as their stochastic logarithms. We provide a structure result...

It turns out that in the bivariate Black-Scholes economy Margrabe type options exhibit symmetry properties leading to semi-static hedges of rather general barrier options. Some of the results are extended to variants obtained by means of Brownian subordination. In order to increase the liquidity...

<section xml:id="fut21621-sec-0001"> It is well known that sufficiently regular, one‐dimensional payoff functions have an explicit static hedge by bonds, forward contracts, and options in a continuum of strikes. An easy and natural extension of the corresponding representation leads to static hedges based on the same instruments...</section>

Two integrable random vectors and in IRd are said to be zonoid equivalent if, for each uÎ IRd, the scalar products ,u and *,u have the same first absolute moments. The paper analyses stochastic processes whose finite-dimensional distributions are zonoid equivalent with respect to time shift...

We combine forward investment performance processes and ambiguity averse portfolio selection. We introduce the notion of robust forward criteria which addresses the issues of ambiguity in model specification and in preferences and investment horizon specification. It describes the evolution of...

In quantitative finance, we often model asset prices as a noisy Ito semimartingale. As this model is not identifiable, approximating by a time-changed Levy process can be useful for generative modelling. We give a new estimate of the normalised volatility or time change in this model, which...

This paper presents the first empirical assessment of the causal relationship between social capital and health in Italy. The analysis draws on the 2000 wave of the Multipurpose Survey on Household conducted by the Italian Institute of Statistics on a representative sample of the population (n =...