Symmetries of probability distributions, their geometric meaning and financial applications The talk starts with the known put-call symmetry property and its application to semi-static hedging of barrier options. Then it is explained how to interpret this property geometrically and extend it in various ways, most importantly for the multivariate (multiasset) case that would correspond to…

A Bayesian analysis of reversible time series with an uncertain length of memory We propose a Bayesian analysis of reversible time series using a Probabilistic Suffix Automaton (PSA) model. We show that PSAs have a representation as higher-order Markov chains, and that the class of reversible PSAs generalize reversible variable-order Markov chains. The analysis uses…

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