Computational Finance

Fundamental Theorem of Asset Pricing, the Hedging Problem and Maximal Claims in Financial Markets with Short Sales Prohibitions

January, 2014


This paper consists of two parts. In the first part we prove the fundamental theorem of asset pricing under short sales prohibitions in continuous-time financial models where asset prices are driven by nonnegative, locally bounded semimartingales. A key step in this proof is an extension of a well-known result of Ansel and Stricker. In the second part we study the hedging problem in these models and connect it to a properly defined property of "maximality" of contingent claims.

Agent-based Computational Finance: DSA ADS Course - 2023

DSA ADS Course - 2023

This DSA ADS course is part of a series of courses that demonstrate how to use applied data science with high performance compute and high quality data to optimize decision making in real world investing / trading scenarios.

Discuss evolutionary finance, financial time series, asset pricing, efficient markets, behavioral finance, market microstructure, genetic algorithms, neural networks, artificial financial markets, and evolutionary computation.