Higher order approximation of call option prices under stochastic volatility...
In the present paper, a decomposition formula for the call price due to Al\`{o}s is transformed into a Taylor type formula containing an infinite series with stochastic terms. The new decomposition may...
View ArticleComputational Socioeconomics. (arXiv:1905.06166v1 [physics.soc-ph])
Uncovering the structure of socioeconomic systems and timely estimation of socioeconomic status are significant for economic development. The understanding of socioeconomic processes provides...
View ArticleReal-Time Carbon Accounting Method for the European Electricity Markets....
Electricity accounts for 25% of global greenhouse gas emissions. Reducing emissions related to electricity consumption requires accurate measurements readily available to consumers, regulators and...
View ArticleInverting the Markovian projection, with an application to local stochastic...
We study two-dimensional stochastic differential equations (SDEs) of McKean--Vlasov type in which the conditional distribution of the second component of the solution given the first enters the...
View ArticleWhat is the Minimal Systemic Risk in Financial Exposure Networks?....
Management of systemic risk in financial markets is traditionally associated with setting (higher) capital requirements for market participants. There are indications that while equity ratios have been...
View ArticleThe connection between multiple prices of an Option at a given time with...
We introduce a new tool for predicting the evolution of an option for the cases where at some specific time, there is a high-degree of uncertainty for identifying its price. We work over the special...
View ArticleEfficient computation of mean reverting portfolios using cyclical coordinate...
The econometric challenge of finding sparse mean reverting portfolios based on a subset of a large number of assets is well known. Many current state-of-the-art approaches fall into the field of...
View ArticleUnconventional Exchange: Methods for Statistical Analysis of Virtual Goods....
Hyperinflation and price volatility in virtual economies has the potential to reduce player satisfaction and decrease developer revenue. This paper describes intuitive analytical methods for monitoring...
View ArticleDynamic model of firms competitive interaction on the market with taxation....
In this article three models of firms interaction on the market are described. One of these models is described by using a differential equation and by Lotka-Volterra model, where the equation has a...
View ArticlePlaying with ghosts in a Dynkin game. (arXiv:1905.06564v1 [math.PR])
We study a class of optimal stopping games (Dynkin games) of preemption type, with uncertainty about the existence of competitors. The set-up is well-suited to model, for example, real options in the...
View ArticleOptions to Receive Employment Gratuity. (arXiv:1905.06733v1 [q-fin.GN])
Employment gratuity is the money companies typically give to their employees at the end of their contracts as a legal requirement. Like pension, it is a form of retirement plan and is often given as an...
View ArticleInterdependence of sectors of economic activities for world countries from...
We apply the recently developed reduced Google matrix algorithm for the analysis of the OECD-WTO world network of economic activities. This approach allows to determine interdependences and...
View ArticleThe professional trader's paradox. (arXiv:1905.06722v1 [q-fin.GN])
In this article, I will present a paradox whose purpose is to draw your attention to an important topic in finance, concerning the non-independence of the financial returns (non-ergodic hypothesis). In...
View ArticleImproving Regression-based Event Study Analysis Using a Topological...
This paper introduces a new correction scheme to a conventional regression-based event study method: a topological machine-learning approach with a self-organizing map (SOM).We use this new scheme to...
View ArticleAsset Pricing with Heterogeneous Beliefs and Illiquidity. (arXiv:1905.05730v1...
This paper studies the equilibrium price of an asset that is traded in continuous time between N agents who have heterogeneous beliefs about the state process underlying the asset's payoff. We propose...
View ArticleA Nonlocal Approach to The Quantum Kolmogorov Backward Equation and Links to...
The Accardi-Boukas quantum Black-Scholes equation can be used as an alternative to the classical approach to finance, and has been found to have a number of useful benefits. The quantum Kolmogorov...
View ArticleA Comment on "Estimating Dynamic Discrete Choice Models with Hyperbolic...
The recent literature often cites Fang and Wang (2015) for analyzing the identification of time preferences in dynamic discrete choice under exclusion restrictions (e.g. Yao et al., 2012; Lee, 2013;...
View ArticleCointegration in high frequency data. (arXiv:1905.07081v1 [q-fin.ST])
In this paper, we consider a framework adapting the notion of cointegration when two asset prices are generated by a driftless It\^{o}-semimartingale featuring jumps with infinite activity, observed...
View ArticleAsset Pricing with Heterogeneous Beliefs and Illiquidity. (arXiv:1905.05730v1...
This paper studies the equilibrium price of an asset that is traded in continuous time between N agents who have heterogeneous beliefs about the state process underlying the asset's payoff. We propose...
View ArticleTesting Sharpe ratio: luck or skill?. (arXiv:1905.08042v1 [q-fin.RM])
Sharpe ratio (sometimes also referred to as information ratio) is widely used in asset management to compare and benchmark funds and asset managers. It computes the ratio of the (excess) net return...
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