Optimal Shrinkage Estimator for High-Dimensional Mean Vector....
In this paper we derive the optimal linear shrinkage estimator for the large-dimensional mean vector using random matrix theory. The results are obtained under the assumption that both the dimension...
View ArticleSuper-Replication with Fixed Transaction Costs. (arXiv:1610.09234v1 [q-fin.MF])
We study super-replication of contingent claims in markets with fixed transaction costs. The first result in this paper reveals that in reasonable continuous time financial market the...
View ArticleRobust Utility Maximization in Discrete-Time Markets with Friction....
We study a robust stochastic optimization problem in the quasi-sure setting in discrete-time. We show that under a lineality-type condition the problem admits a maximizer. This condition is implied by...
View ArticleModel-independent pricing with insider information: a Skorokhod embedding...
In this paper, we consider the pricing and hedging of a financial derivative for an insider trader, in a model-independent setting. In particular, we suppose that the insider wants to act in a way...
View ArticleOn the difference between locally risk-minimizing and delta hedging...
We discuss the difference between locally risk-minimizing and delta hedging strategies for exponential L\'evy models, where delta hedging strategies in this paper are defined under the minimal...
View ArticleOptimal retirement income tontines. (arXiv:1610.10078v1 [q-fin.MF])
Tontines were once a popular type of mortality-linked investment pool. They promised enormous rewards to the last survivors at the expense of those died early. And, while this design appealed to the...
View ArticleMeta-CTA Trading Strategies based on the Kelly Criterion. (arXiv:1610.10029v1...
The influence of Commodity Trading Advisors (CTA) on the price process is explored with the help of a simple model. CTA managers are taken to be Kelly optimisers, which invest a fixed proportion of...
View ArticleMean Field Game of Controls and An Application To Trade Crowding....
In this paper we formulate the now classical problem of optimal liquidation (or optimal trading) inside a Mean Field Game (MFG). This is a noticeable change since usually mathematical frameworks focus...
View ArticleLoading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type...
Catastrophe risk is a major threat faced by individuals, companies, and entire economies. Catastrophe (CAT) bonds have emerged as a method to offset this risk and a corresponding literature has...
View ArticleLong-range Correlation and Market Segmentation in Bond Market....
This paper looks into the analysis of the long-range auto-correlations and cross-correlations in bond market. Based on Detrended Moving Average (DMA) method, empirical results present a clear evidence...
View ArticleModel-free bounds on Value-at-Risk using partial dependence information....
We derive bounds on the distribution function, therefore also on the Value-at-Risk, of $\varphi(\mathbf X)$ where $\varphi$ is an aggregation function and $\mathbf X = (X_1,...,X_d)$ is a random vector...
View ArticlePricing variance swaps with stochastic volatility and stochastic interest...
This paper considers the pricing of discretely-sampled variance swaps under the class of equity-interest rate hybridization. Our modeling framework consists of the equity which follows the dynamics of...
View ArticleNumerical study of splitting methods for American option valuation....
This paper deals with the numerical approximation of American-style option values governed by partial differential complementarity problems. For a variety of one- and two-asset American options we...
View ArticleManaging Systemic Risk in Financial Networks. (arXiv:1610.09542v1 [q-fin.RM])
To quantify and manage systemic risk in the interbank market, we propose a weighted, directed random network model. The vertices in the network are financial institutions and the weighted edges...
View ArticleMultifractal cross wavelet analysis. (arXiv:1610.09519v1 [q-fin.ST])
Complex systems are composed of mutually interacting components and the output values of these components are usually long-range cross-correlated. We propose a method to characterize the joint...
View ArticleUnderstanding the Tracking Errors of Commodity Leveraged ETFs....
Commodity exchange-traded funds (ETFs) are a significant part of the rapidly growing ETF market. They have become popular in recent years as they provide investors access to a great variety of...
View ArticleUnderstanding the Non-Convergence of Agricultural Futures via Stochastic...
This paper studies the market phenomenon of non-convergence between futures and spot prices in the grains market. We postulate that the positive basis observed at maturity stems from the futures...
View ArticleEquitable retirement income tontines: Mixing cohorts without discriminating....
There is growing interest in the design of pension annuities that insure against idiosyncratic longevity risk while pooling and sharing systematic risk. This is partially motivated by the desire to...
View ArticleEssentially high-order compact schemes with application to stochastic...
We present high-order compact schemes for a linear second-order parabolic partial differential equation (PDE) with mixed second-order derivative terms in two spatial dimensions. The schemes are applied...
View ArticleGlobalization Process in Emerging Capital Markets -- Lessons and Implications...
Since 2002 when China first introduced QFII (Qualified Foreign Institutional Investors) system, QFII has been developing in China for 14 years, during when RQFII, Shanghai-Hongkong Stock Connect...
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