Information Geometry provides a correspondence between differential geometry and statistics through the Fisher Information matrix. In particular, given two models from the same parametric family of distributions, one can define the distance between these models as the length of the shortest...

In this paper, we propose a theoretical and computational framework for the detection and identification of (triangular) arbitrage opportunities among spot currency exchange rates in a foreign exchange market. We obtain sufficient conditions for excluding the triangular arbitrage opportunities...

We develop techniques to estimate the present day value of the future social security benefits of a retiree based upon their chosen date of retirement, the term structure of interest rates, and life expectancy forecasts. These valuation methods are then used to determine the optimal retirement...

This paper presents a novel approach to portfolio optimization based on perceived mean reversion in certain driftless markets, such as the foreign exchange spot market. This approach relies upon the likelihood ratio between the perceived and realized price distribution densities of the asset...