Socio-economic inequality and prospects of institutional Econophysics....
Socio-economic inequality is quantitatively measured from data using various indices. The Gini ($g$) index, giving the overall inequality is the most common, while the recently introduced Kolkata ($k$)...
View ArticlePricing Bounds for VIX Derivatives via Least Squares Monte Carlo....
Derivatives on the Chicago Board Options Exchange volatility index (VIX) have gained significant popularity over the last decade. The pricing of VIX derivatives involves evaluating the square root of...
View ArticleOption pricing in exponential L\'evy models with transaction costs....
We present an approach for pricing a European call option in presence of proportional transaction costs, when the stock price follows a general exponential L\'evy process. The model is a generalization...
View ArticleLQG for portfolio optimization. (arXiv:1611.00997v1 [q-fin.PM])
We present a generic solver for dynamical portfolio allocation problem when the market exhibits return predictability and price impact as well as partial observability. We assume that the prices...
View ArticleWorking Paper on Organizational Dynamics within Corporate Venture Capital...
Corporate venture capital is in the midst of a renaissance. The end of 2015 marked all-time highs both in the number of corporate firms participating in VC deals and in the amount of capital being...
View ArticleJoint multifractal analysis based on wavelet leaders. (arXiv:1611.00897v1...
Mutually interacting components form complex systems and the outputs of these components are usually long-range cross-correlated. Using wavelet leaders, we propose a method of characterizing the joint...
View ArticlePricing Perpetual Put Options by the Black-Scholes Equation with a Nonlinear...
We investigate qualitative and quantitative behavior of a solution to the problem of pricing American style of perpetual put options. We assume the option priceWe investigate qualitative and...
View ArticleA fair monetization model to reconcile authors and consumers of intellectual...
In this small article one compromise monetization strategy is proposed, which hopefully may lead to a more satisfactory coexistence of IP manufacturers and consumers. The motto is "fair exchange": you...
View ArticleInternational Portfolio Optimisation with Integrated Currency Overlay Costs...
Portfolio optimisation typically aims to provide an optimal allocation that minimises risk, at a given return target, by diversifying over different investments. However, the potential scope of such...
View ArticleLiquidity induced asset bubbles via flows of ELMMs. (arXiv:1611.01440v1...
We consider a constructive model for asset price bubbles, where the market price $W$ is endogenously determined by the trading activity on the market and the fundamental price $W^F$ is exogenously...
View ArticleRevealing the Anatomy of Vote Trading. (arXiv:1611.01381v1 [physics.soc-ph])
Cooperation in the form of vote trading, also known as logrolling, is central for law-making processes, shaping the development of democratic societies. Empirical evidence of logrolling is scarce and...
View ArticleSparse grid high-order ADI scheme for option pricing in stochastic volatility...
We present a sparse grid high-order alternating direction implicit (ADI) scheme for option pricing in stochastic volatility models. The scheme is second-order in time and fourth-order in space....
View ArticleAn Axiomatization of Naive Diversification. (arXiv:1611.01285v1 [q-fin.EC])
A widely applied diversification paradigm is the naive diversification choice heuristic. It stipulates that an economic agent allocates equal decision weights to given choice alternatives independent...
View ArticleOptimal portfolio selection under vanishing fixed transaction costs....
In this paper, asymptotic results in a long-term growth rate portfolio optimization model under both fixed and proportional transaction costs are obtained. More precisely, the convergence of the model...
View ArticleThe Average-Marginal Relationship and Tractable Equilibrium Forms....
Economic variables with familiar tractable functional forms (constant-elasticity or linear) are only reweighted in the change from their average to marginal versions. They are also simple, featuring...
View ArticlePricing Derivatives in a Regime Switching Market with Time Inhomogeneous...
This paper studies pricing derivatives in an age-dependent semi-Markov modulated market. We consider a financial market where the asset price dynamics follow a regime switching geometric Brownian...
View ArticleOptimal shrinkage-based portfolio selection in high dimensions....
In this paper we estimate the mean-variance (MV) portfolio in the high-dimensional case using the recent results from the theory of random matrices. We construct a linear shrinkage estimator which is...
View ArticleAn Equilibrium Model with Computationally Constrained Agents....
We study a large economy in which firms cannot compute exact solutions to the non-linear equations that characterize the equilibrium price at which they can sell future output. Instead, firms use...
View ArticleEM Algorithm and Stochastic Control in Economics. (arXiv:1611.01767v1...
Generalising the idea of the classical EM algorithm that is widely used for computing maximum likelihood estimates, we propose an EM-Control (EM-C) algorithm for solving multi-period finite time...
View ArticleEffects of income redistribution on the evolution of cooperation in spatial...
Income redistribution is the transfer of income from some individuals to others directly or indirectly by means of social mechanisms, such as taxation, public services and so on. Employing a spatial...
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