This work provides an axiomatic framework to the concept of conditional preference orders based on conditional sets. Conditional numerical representations of such preference orders are introduced and a conditional version of the theorems of Debreu about the existence of such numerical...

This work provides an axiomatic framework to the concept of conditional preference orders based on conditional sets. Conditional numerical representations of such preference orders are introduced and a conditional version of the theorems of Debreu about the existence of such numerical...

In this paper, we study the prices of the options on Hong Kong's linked exchange rate. The study was motivated by the apparent contradiction that options with strike prices outside the narrow trading band have positive prices. We developed a simple regime-switching model of the exchange rate and...

In this paper we derive a numerical representation for general complete preferences respecting the following two principles: a) more is better than less, b) averages are better than extremes. To be able to distinguish between risk and ambiguity we work in an Anscombe-Aumann framework. Our main...

We test the robustness of the regime switching model for pegged markets introduced in S. Drapeau, T. Wang, T. Wang (2021). In particular, two disputable underlying assumptions: 1) A Black and Scholes model with low volatility for the pre-depegging regime. 2) A thin tail distribution - Poisson...

In the paradigm of von Neumann-Morgenstern, a representation of affine preferences in terms of an expected utility can be obtained under the assumption of weak continuity. Since the weak topology is coarse, this requirement is a priori far from being negligible. In this work, we replace the...