For a given element f ∈ L and a convex cone C ⊂ L, C∩ L + = {0} we give necessary and sufficient conditions for the existence of an element g ≥ f lying in the polar of C. This polar is taken in (L) and in L. In the context of mathematical finance the main result concerns the existence of martingale measures, whose densities are bounded from below by prescribed random variable.

We consider trading in a financial market with proportional transaction costs. In the frictionless case, claims are maximal if and only if they are priced by a consistent price process—the equivalent of an equivalent martingale measure. This result fails in the presence of transaction costs. A properly maximal claim is one which does have this property. We show that the properly maximal claims ...

People living with long-term functional limitations are very familiar with the influence of the environment, physical and economic structure, as well as cultural and social attitudes, on their lives. These factors can either restrict or support the individual’s full participation in society or have a neutral impact. Our understanding of disability is difficult because of the influence of these ...

Several applications for example, study of biological tissue movement and organ growth require shape correspondence with a physical basis, especially for shapes or regions lacking distinctive features. For this purpose, we propose the adaptation of mechanical strain, a well-established physical measure for deformation, to the problem of constructing shape correspondence and measuring similarity...

The option-adjusted spread (OAS) is a standard measure in evaluation of mortgage-backed securities. In calculating the OAS, a prepayment model is incorporated to generate prepayment cashflows, however, no attention has been paid to a prepayment process and its associated probability measure. To illustrate the situation we examine two categories of prepayment models, the proportional hazards and...

The inclusive cross section for neutral pion production in the range 1 < p T < 13 GeV/c in |η| < 0.35 has been measured by the PHENIX experiment in proton-proton collisions at √ s = 200 GeV. An NLO pQCD calculation is, within the experimental and theoretical uncertainties, consistent with the measurement.

Two classes of imprecise previsions, which we termed convex and centered convex previsions, are studied in this paper in a framework close to Walley’s and Williams’ theory of imprecise previsions. We show that convex previsions are related with a concept of convex natural estension, which is useful in correcting a large class of inconsistent imprecise probability assessments, characterised by a...

We show that, for the purpose of pricing Swaptions, the Swap rate and the corresponding Forward rates can be considered lognormal under a single martingale measure. Swaptions can then be priced as options on a basket of lognormal assets and an approximation formula is derived for such options. This formula is centered around a Black-Scholes price with an appropriate volatility, plus a correctio...

The well known quantum eraser concepts are applied to entangled kaons. Due to different measurement procedures, a specific feature of neutral kaons not shared by other quantum systems, we show that novel options for the quantum eraser phenomena open. Moreover, the proposed kaonic erasers may in future be experimentally demonstrated with the upgraded KLOE detector at the φ –factory.

Let X be a continuous adapted process for which there exists an equivalent local martingale measure (ELMM). The minimal martingale measure P̂ is the unique ELMM for X with the property that local P -martingales strongly orthogonal to the P -martingale part of X are also local P̂ -martingales. We prove that if P̂ exists, it minimizes the reverse relative entropy H(P |Q) over all ELMMs Q for X. A co...