Financial entities commonly go bankrupt with disastrous consequences for individuals and society These consequences arise since bankrupt limited liability company is not responsible for losses exceeding its financial resources. Such losses are carried by unsecured creditors or, in the case of...

The theory of two price markets of Cherny and Madan (2010) yields closed forms for bid and ask prices. Defining profits as the difference between the mid quote and the risk neutral expectation and capital as difference between the ask and the bid price one obtains precise expressions for these...

Financial returns at unit time are modeled as non-Gaussian limit laws. They may reflect random walks or additive processes reflecting some predictability. Mixtures of these two constructions are formulated and estimated on one minute data. It is observed that the random walk fraction is...

Learning the pre limited liability value process of equity claims and its relationship to the stock price is an answer to the financial jeorpardy question when observed option prices are the answer being given by the market. Constant dollar equity holder values, prior to the imposition of...

Markets passively accept a convex cone of cash flows that contains the the nonnegative cash flows. Different markets are defined by different cones and conditions are established to exclude the possibility of arbitrage between markets. Operationally these cones are defined by positive...

Economic enterprises are represented by their return processes modeled in efficient markets by pure jump limit laws. In particular four parameters of a bilateral gamma process are used to synthesize the up and down moves with differing mean and variance rates for the two motions. Prudential...