Abstract
On the theoretical side: we introduced the differential geometric framework to translate any market model into a principal fibre bundle allowing to interpret arbitrage as curvature, parameterizing arbitrage opportunities with the Lie Algebra of the holonomy group. The no arbitrage condition is equivalent to a continuity equation. On the practical side: we propose a methodology to simulate the future evolution of asset values such that: - the dimension of risk factors can be reduced. - the no arbitrage condition is satisfied. - the simulated moments of asset returns match the empirical ones.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
