A simple and efficient numerical method for pricing discretely monitored...
We present a simple, fast, and accurate method for pricing a variety of discretely monitored options in the Black-Scholes framework, including autocallable structured products, single and double...
View ArticleLabor Market Outcomes and Early Schooling: Evidence from School Entry...
We use a rich, census-like Brazilian dataset containing information on spatial mobility, schooling, and income in which we can link children to parents to assess the impact of early education on...
View ArticleThe fractional and mixed-fractional CEV model. (arXiv:1903.05747v2 [q-fin.MF]...
The continuous observation of the financial markets has identified some stylized facts which challenge the conventional assumptions, promoting the born of new approaches. On the one hand, the...
View ArticleA dynamic dual representation of the buyer's price of American options in a...
In this paper we study the problem of nonlinear pricing of an American option with a right-continuous left-limited (RCLL) payoff process in an incomplete market with default, from the buyer's point of...
View ArticleConditional inference on the asset with maximum Sharpe ratio....
We apply the procedure of Lee et al. to the problem of performing inference on the signal noise ratio of the asset which displays maximum sample Sharpe ratio over a set of possibly correlated assets....
View ArticleArtificial Intelligence and Big Data in Entrepreneurship: A New Era Has...
While the disruptive potential of artificial intelligence (AI) and Big Data has been receiving growing attention and concern in a variety of research and application fields over the last few years, it...
View ArticleSentiment-Driven Stochastic Volatility Model: A High-Frequency Textual Tool...
We propose how to quantify high-frequency market sentiment using high-frequency news from NASDAQ news platform and support vector machine classifiers. News arrive at markets randomly and the resulting...
View ArticlePortfolio diversification based on ratios of risk measures....
A new framework for portfolio diversification is introduced which goes beyond the classical mean-variance theory and other known portfolio allocation strategies such as risk parity. It is based on a...
View ArticleAveraging plus Learning in financial markets. (arXiv:1904.08131v2 [q-fin.MF]...
This paper develops original models to study interacting agents in financial markets. The key feature of these models is how interactions are formulated and analysed. Agents learn from their...
View ArticleCommunity Matters: Heterogeneous Impacts of a Sanitation Intervention....
We study the effectiveness of a community-level information intervention aimed at reducing open defecation (OD) and increasing sanitation investments in Nigeria. The results of a cluster-randomized...
View ArticleHierarchical adaptive sparse grids and quasi Monte Carlo for option pricing...
The rough Bergomi (rBergomi) model, introduced recently in [4], is a promising rough volatility model in quantitative finance. This new model exhibits consistent results with the empirical fact of...
View ArticleTrading in Complex Networks. (arXiv:1906.01531v1 [q-fin.GN])
Global supply networks in agriculture, manufacturing, and services are a defining feature of the modern world. The efficiency and the distribution of surpluses across different parts of these networks...
View ArticleMarket Making and Latency. (arXiv:1806.05849v2 [q-fin.TR] UPDATED)
This paper studies optimal market making for large--tick assets in the presence of latency. We formulate the problem using Markov Decision Processes. We provide explicit characterizations of the order...
View ArticleGeneralized Expected Discounted Penalty Function at General Drawdown for...
This paper considers an insurance surplus process modeled by a spectrally negative L\'{e}vy process. Instead of the time of ruin in the traditional setting, we apply the time of drawdown as the risk...
View ArticleKinetic Market Model: An Evolutionary Algorithm. (arXiv:1906.01241v1 [cs.NE])
This research proposes the econophysics kinetic market model as an evolutionary algorithm's instance. The immediate results from this proposal is a new replacement rule for family competition genetic...
View ArticleContagion in Bitcoin networks. (arXiv:1906.01293v1 [q-fin.TR])
We construct the Google matrices of bitcoin transactions for all year quarters during the period of January 11, 2009 till April 10, 2013. During the last quarters the network size contains about 6...
View ArticleOptimal Stopping under Model Ambiguity: a Time-Consistent Equilibrium...
An unconventional approach for optimal stopping under model ambiguity is introduced. Besides ambiguity itself, we take into account how ambiguity-averse an agent is. This inclusion of ambiguity...
View ArticleOptimal Dynamic Strategies on Gaussian Returns. (arXiv:1906.01427v1 [q-fin.PM])
Dynamic trading strategies, in the spirit of trend-following or mean-reversion, represent an only partly understood but lucrative and pervasive area of modern finance. Assuming Gaussian returns and...
View ArticleFair Pricing of Variable Annuities with Guarantees under the Benchmark...
In this paper we consider the pricing of variable annuities (VAs) with guaranteed minimum withdrawal benefits. We consider two pricing approaches, the classical risk-neutral approach and the benchmark...
View ArticleTwo Resolutions of the Margin Loan Pricing Puzzle. (arXiv:1906.01025v1...
This paper supplies two possible resolutions of Fortune's (2000) margin-loan pricing puzzle. Fortune (2000) noted that the margin loan interest rates charged by stock brokers are very high in relation...
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