Yield Uncertainty and Strategic Formation of Supply Chain Networks....
How does supply uncertainty affect the structure of supply chain networks? To answer this question we consider a setting where retailers and suppliers must establish a costly relationship with each...
View ArticleBilateral Gamma distributions and processes in financial mathematics....
We present a class of L\'evy processes for modelling financial market fluctuations: Bilateral Gamma processes. Our starting point is to explore the properties of bilateral Gamma distributions, and then...
View ArticleOption pricing in bilateral Gamma stock models. (arXiv:1907.09862v1 [q-fin.MF])
In the framework of bilateral Gamma stock models we seek for adequate option pricing measures, which have an economic interpretation and allow numerical calculations of option prices. Our...
View ArticleProsumage of solar electricity: tariff design, capacity investments, and...
We analyze how tariff design incentivizes households to invest in residential photovoltaic and battery systems, and explore selected power sector effects. To this end, we apply an open-source power...
View ArticleA note on Parisian ruin under a hybrid observation scheme....
In this paper, we study the concept of Parisian ruin under the hybrid observation scheme model introduced by Li et al. \cite{binetal2016}. Under this model, the process is observed at Poisson arrival...
View ArticlePoissonian occupation times of spectrally negative L\'evy processes with...
In this paper, we introduce the concept of \emph{Poissonian occupation times} below level $0$ of spectrally negative L\'evy processes. In this case, occupation time is accumulated only when the process...
View ArticleAccelerated Share Repurchase and other buyback programs: what neural networks...
When firms want to buy back their own shares, they have a choice between several alternatives. If they often carry out open market repurchase, they also increasingly rely on banks through complex...
View ArticleThe Effect of Visual Design in Image Classification. (arXiv:1907.09567v1...
Financial companies continuously analyze the state of the markets to rethink and adjust their investment strategies. While the analysis is done on the digital form of data, decisions are often made...
View ArticleA Note on Universal Bilinear Portfolios. (arXiv:1907.09704v1 [q-fin.MF])
This note provides a neat and enjoyable expansion and application of the magnificent Ordentlich-Cover theory of "universal portfolios." I generalize Cover's benchmark of the best constant-rebalanced...
View ArticleSemi-Parametric Hierarchical Bayes Estimates of New Yorkers' Willingness to...
In this paper, we contrast parametric and semi-parametric representations of unobserved heterogeneity in hierarchical Bayesian multinomial logit models and leverage these methods to infer distributions...
View ArticleOptimal investment for participating insurance contracts under...
This paper studies a Value-at-Risk (VaR)-regulated optimal portfolio problem of the equity holders of a participating life insurance contract. In a setting with unhedgeable mortality risk and complete...
View ArticleDeep Learning-Based Least Square Forward-Backward Stochastic Differential...
We propose a new forward-backward stochastic differential equation solver for high-dimensional derivatives pricing problems by combining deep learning solver with least square regression technique...
View ArticleEvaluating the Effectiveness of Common Technical Trading Models....
How effective are the most common trading models? The answer may help investors realize upsides to using each model, act as a segue for investors into more complex financial analysis and machine...
View ArticleMultivariate Modeling of Natural Gas Spot Trading Hubs Incorporating Futures...
Financial markets for Liquified Natural Gas (LNG) are an important and rapidly-growing segment of commodities markets. Like other commodities markets, there is an inherent spatial structure to LNG...
View ArticleSustainable Business Models: A Review. (arXiv:1907.10052v1 [econ.GN])
The concept of the sustainable business model describes the rationale of how an organization creates, delivers, and captures value, in economic, social, cultural, or other contexts, in a sustainable...
View ArticleTesting new property of elliptical model for stock returns distribution....
Wide class of elliptically contoured distributions is a popular model of stock returns distribution. However the important question of adequacy of the model is open. There are some results which reject...
View ArticleOn the Statistical Differences between Binary Forecasts and Real World...
What do binary (or probabilistic) forecasting abilities have to do with overall performance? We map the difference between (univariate) binary predictions, bets and "beliefs" (expressed as a specific...
View ArticleDoes the short-term boost of renewable energies guarantee their stable...
Feed in tariff (FiT) is one of the most efficient ways that many governments throughout the world use to stimulate investment in renewable energies (REs) technology. For governments, financial...
View ArticleResolution of the St. Petersburg paradox using Von Mises axiom of randomness....
In this article we will propose a completely new point of view for solving one of the most important paradoxes concerning game theory. The solution develop shifts the focus from the result to the...
View ArticleOptimal make take fees in a multi market maker environment....
Following the recent literature on make take fees policies, we consider an exchange wishing to set a suitable contract with several market makers in order to improve trading quality on its platform. To...
View Article