Sanjay P. Bhat

TL;DR: A trading position evaluation system for evaluating trading positions that are globally optimum in a risk-neutral measure includes an option price determination module configured to determine a current option price and a shifted option price of an underlying asset of a European Contingent Claim (ECC) at a trading time instance amongst a plurality of trading time instances obtained from a trader, based on ECC data and market data.

TL;DR: In this article, a unified approach based on Wasserstein distance is presented to derive concentration bounds for empirical estimates for a broad class of risk measures, such as conditional value at risk, spectral risk, utility-based shortfall risk, cumulative prospect theory (CPT) value, and rank dependent expected utility.

TL;DR: In this paper, a trading position evaluation system for evaluating trading positions that are globally optimum for a path-independent multi-asset European Contingent Claim (ECC) includes an option price determination module configured to determine a current option price matrix, a shifted option prices matrix, and a normalized conditional variance matrix associated with underlying assets of the ECC at a trading time instance amongst a plurality of trading time instances obtained from a trader.

TL;DR: In this article , the authors focus on stability analysis of discrete-time dynamical systems having a continuum of equilibria and develop Lyapunov-based tests for convergence using the notion of nontangency between the vector field and invariant subsets of the level and sublevel sets of the Lyapinov function.

TL;DR: In this paper, a trading position evaluation system for evaluating trading positions that are globally optimum for a pathdependent European Contingent Claims (ECC) includes an option price determination module (216) configured to determine a current option price and a shifted option price of the path-dependent ECC based on ECC data and market data.