CVA and vulnerable options in stochastic volatility models....
In this work we want to provide a general principle to evaluate the CVA (Credit Value Adjustment) for a vulnerable option, that is an option subject to some default event, concerning the solvability of...
View ArticleA Simple Factoring Pricing Model. (arXiv:1907.12806v1 [q-fin.PR])
In a simplified setting, we show how to price invoice non-recourse factoring taking into account not only the credit worthiness of the debtor but also the assignor's one, together with the default...
View ArticleA procedure for loss-optimising default definitions across simulated credit...
A new procedure is presented for the objective comparison and evaluation of default definitions. This allows the lender to find a default threshold at which the financial loss of a loan portfolio is...
View ArticleMultiple Subordinated Modeling of Asset Returns. (arXiv:1907.12600v1 [q-fin.MF])
Subordination is an often used stochastic process in modeling asset prices. Subordinated Levy price processes and local volatility price processes are now the main tools in modern dynamic asset pricing...
View ArticleCertainty Equivalent and Utility Indifference Pricing for Incomplete...
For incomplete preference relations that are represented by multiple priors and/or multiple -- possibly multivariate -- utility functions, we define a certainty equivalent as well as the utility buy...
View ArticleDynamic tail inference with log-Laplace volatility. (arXiv:1901.02419v5...
We propose a family of models that enable predictive estimation of time-varying extreme event probabilities in heavy-tailed and nonlinearly dependent time series. The models are a white noise process...
View ArticleCareer Choice as an Extended Spatial Evolutionary Public Goods Game....
We propose an extended spatial evolutionary public goods game (SEPGG) model to study the dynamics of individual career choice and the corresponding social output. Based on the social value orientation...
View ArticleQuantifying horizon dependence of asset prices: a cluster entropy approach....
Market dynamic is studied by quantifying the dependence of the entropy $S(\tau,n)$ of the clusters formed by the series of the prices $p_t$ and its moving average $\widetilde{p}_{t,n}$ on temporal...
View ArticleProjection pursuit based generalized betas accounting for higher order...
Betas are possibly the most frequently applied tool to analyze how securities relate to the market. While in very widespread use, betas only express dynamics derived from second moment statistics....
View ArticleHedging Non-Tradable Risks with Transaction Costs and Price Impact....
A risk-averse agent hedges her exposure to a non-tradable risk factor $U$ using a correlated traded asset $S$ and accounts for the impact of her trades on both factors. The effect of the agent's trades...
View ArticleHiring in the substance use disorder treatment related sector during the...
Effective treatment strategies exist for substance use disorder (SUD), however severe hurdles remain in ensuring adequacy of the SUD treatment (SUDT) workforce as well as improving SUDT affordability,...
View ArticleAgglomerative Fast Super-Paramagnetic Clustering. (arXiv:1908.00951v1...
We consider the problem of fast time-series data clustering. Building on previous work modeling the correlation-based Hamiltonian of spin variables we present a fast non-expensive agglomerative...
View ArticleDetection of Accounting Anomalies in the Latent Space using Adversarial...
The detection of fraud in accounting data is a long-standing challenge in financial statement audits. Nowadays, the majority of applied techniques refer to handcrafted rules derived from known fraud...
View ArticleA full and synthetic model for Asset-Liability Management in life insurance,...
The aim of this paper is to introduce a synthetic ALM model that catches the main specificity of life insurance contracts. First, it keeps track of both market and book values to apply the regulatory...
View ArticleICT Capital-Skill Complementarity and Wage Inequality: Evidence from OECD...
Although it is well known that wage inequality has evolved over recent decades, it is not known the extent to which the evolution of wage inequality is attributed to observed factors such as capital...
View ArticleA memory-based method to select the number of relevant components in...
We propose a new data-driven method to select the optimal number of relevant components in Principal Component Analysis (PCA). This new method applies to correlation matrices whose time autocorrelation...
View ArticleThe Time Importance for Prospect Theory. (arXiv:1908.01709v1 [econ.GN])
A theory usually comprises assumptions and deduced predictions from them. In this paper, empirical evidences corroborate with assumptions about time for a decision making facing known probabilities and...
View ArticleLinkages and systemic risk in the European insurance sector: Some new...
This paper is part of the research on the interlinkages between insurers and their contribution to systemic risk on the insurance market. Its main purpose is to present the results of the analysis of...
View ArticleRisk Management via Anomaly Circumvent: Mnemonic Deep Learning for Midterm...
Midterm stock price prediction is crucial for value investments in the stock market. However, most deep learning models are essentially short-term and applying them to midterm predictions encounters...
View ArticleStrategic Payments in Financial Networks. (arXiv:1908.01714v1 [cs.GT])
In their seminal work on systemic risk in financial markets, Eisenberg and Noe proposed and studied a model with $n$ firms embedded into a network of debt relations. We analyze this model from a...
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