An analytical perturbative solution to the Merton Garman model using...
In this paper, we introduce an analytical perturbative solution to the Merton Garman model. It is obtained by doing perturbation theory around the exact analytical solution of a model which possesses a...
View ArticleNash Equilibria in Optimal Reinsurance Bargaining. (arXiv:1909.01739v1...
We introduce a strategic behavior in reinsurance bilateral transactions, where agents choose the risk preferences they will appear to have in the transaction. Within a wide class of risk measures, we...
View ArticleMachine Learning in Least-Squares Monte Carlo Proxy Modeling of Life...
Under the Solvency II regime, life insurance companies are asked to derive their solvency capital requirements from the full loss distributions over the coming year. Since the industry is currently far...
View ArticleAn arbitrage-free conic martingale model with application to credit risk....
Conic martingales refer to Brownian martingales evolving between bounds. Among other potential applications, they have been suggested for the sake of modeling conditional survival probabilities under...
View ArticleAn Experiment on Network Density and Sequential Learning. (arXiv:1909.02220v1...
We conduct a sequential social learning experiment where subjects guess a hidden state after observing private signals and the guesses of a subset of their predecessors. A network determines the...
View ArticleBest Portfolio Management Strategies For Synthetic and Real Assets....
Managing investment portfolios is an old and well know problem in multiple fields including financial mathematics and financial engineering as well as econometrics and econophysics. Multiple different...
View ArticlePortfolio optimisation under rough Heston models. (arXiv:1909.02972v1...
This thesis investigates Merton's portfolio problem under two different rough Heston models, which have a non-Markovian structure. The motivation behind this choice of problem is due to the recent...
View ArticleAn extended Speculation Game for the recovery of Hurst exponent of financial...
The speculation game is an agent-based toy model to investigate the dynamics of the financial market. Our model has achieved the reproduction of 10 of the well-known stylized facts for financial time...
View ArticleMultivariate risk measures in the non-convex setting. (arXiv:1902.00766v2...
The family of admissible positions in a transaction costs model is a random closed set, which is convex in case of proportional transaction costs. However, the convexity fails, e.g. in case of fixed...
View ArticleA fixed-point policy-iteration-type algorithm for symmetric nonzero-sum...
Nonzero-sum stochastic differential games with impulse controls offer a realistic and far-reaching modelling framework for applications within finance, energy markets and other areas, but the...
View ArticleClimate Policy under Spatial Heat Transport: Cooperative and Noncooperative...
We build a novel stochastic dynamic regional integrated assessment model (IAM) of the climate and economic system including a number of important climate science elements that are missing in most IAMs....
View ArticleSystemic Risk Clustering of China Internet Financial Based on t-SNE Machine...
With the rapid development of Internet finance, a large number of studies have shown that Internet financial platforms have different financial systemic risk characteristics when they are subject to...
View ArticleRobust pricing and hedging of options on multiple assets and its numerics....
We consider robust pricing and hedging for options written on multiple assets given market option prices for the individual assets. The resulting problem is called the multi-marginal martingale optimal...
View ArticleTehran Stock Exchange Prediction Using Sentiment Analysis of Online Textual...
In this paper, we investigate the impact of the social media data in predicting the Tehran Stock Exchange (TSE) variables for the first time. We consider the closing price and daily return of three...
View ArticleUniversity-to-School Environmental Projects for Sustainable Development: A...
Sustainable development is a worldwide recognized social and political goal, discussed in both academic and political discourse and with much research on the topic related to sustainable development in...
View ArticleModular structure in labour networks reveals skill basins....
Labour networks, where industries are connected based on worker transitions, have been previously deployed to study the evolution of industrial structure ('related diversification') across cities and...
View ArticleHeterogeneous wealth distribution, round-trip trading and the emergence of...
This study is a detailed analysis of Speculation Game, a minimal agent-based model of financial markets, in which the round-trip trading and the dynamic wealth evolution with variable trading volumes...
View ArticleInsider information and its relation with the arbitrage condition and the...
Within the well-known framework of financial portfolio optimization, we analyze the existing relationships between the condition of arbitrage and the utility maximization in presence of insider...
View ArticleArbitrage-free modeling under Knightian Uncertainty. (arXiv:1909.04602v1...
We study the Fundamental Theorem of Asset Pricing for a general financial market under Knightian Uncertainty. We adopt a functional analytic approach which require neither specific assumptions on the...
View ArticleIs culture a contributing factor of strong science?. (arXiv:1909.04521v1...
Many factors such as economy size, capital resources, and size of national publication market seem to be related to the scientific performance of nations. In this paper we link the national culture...
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