Arbitrage-Free Conditions and Hedging Strategies for Markets with Penalty Costs on Short Positions

We consider a discrete-time financial model in a general sample space with penalty costs on short positions. We consider a friction market closely related to the standard one except that withdrawals from the portfolio value proportional to short positions are made. We provide necessary and sufficient conditions for the nonexistence of arbitrages in this situation and for a self-financing strategy to replicate a contingent claim. For the finite-sample space case, this result leads to an explicit and constructive procedure for obtaining perfect hedging strategies.

Signal Transceiver Transit Times and Propagation Delay Corrections for Ranging and Georeferencing Applications

The accuracy of ranging measurements depends critically on the knowledge of time delays undergone by signals when retransmitted by a remote transponder and due to propagation effects. A new method determines these delays for every single pulsed signal transmission. It utilizes four ground-based reference stations, synchronized in time and installed at well-known geodesic coordinates and a repeater in space, carried by a satellite, balloon, aircraft, and so forth. Signal transmitted by one of the reference bases is retransmitted by the transponder, received back by the four bases, producing four ranging measurements which are processed to determine uniquely the time delays undergone in every retransmission process. A minimization function is derived comparing repeater's positions referred to at least two groups of three reference bases, providing the signal transit time at the repeater and propagation delays, providing the correct repeater position. The method is applicable to the transponder platform positioning and navigation, time synchronization of remote clocks, and location of targets. The algorithm has been demonstrated by simulations adopting a practical example with the transponder carried by an aircraft moving over bases on the ground.