Sur la d\'ecomposabilit\'e empirique des indicateurs de pauvret\'e....
We study the empirical decomposition of poverty indicators. This property is very important and convenient in the context of the fight against poverty. Indeed, it makes it possible to put in place...
View ArticleThe Influence of Collaboration in Procurement Relationships....
Supply Chain Management often requires independent organizations to work together to achieve shared objectives. This collaboration is necessary when coordinated actions benefit the group more than the...
View ArticleEconomic information from Smart Meter: Nexus Between Demand Profile and...
In this paper, we demonstrate that a consumer's marginal system impact is only determined by their demand profile rather than their demand level. Demand profile clustering is identical to cluster...
View ArticleTrading strategies for stock pairs regarding to the cross-impact cost....
We extend the framework of trading strategy for single stocks from Gatheral [2010] to a pair of stocks. Our trading strategy with the executions of two round-trip trades can be described by the trading...
View ArticleRobust Portfolio Optimisation with Specified Competitors. (arXiv:1701.02958v1...
We extend Relative Robust Portfolio Optimisation models to allow portfolios to optimise their distance to a set of benchmarks. Portfolio managers are also given the option of computing regret in a way...
View ArticleModeling stochastic skew of FX options using SLV models with stochastic...
It is known that the implied volatility skew of FX options demonstrates a stochastic behavior which is called stochastic skew. In this paper we create stochastic skew by assuming the spot/instantaneous...
View ArticlePhase-type Approximation of the Gerber-Shiu Function. (arXiv:1701.02798v1...
The Gerber-Shiu function provides a way of measuring the risk of an insurance company. It is given by the expected value of a function that depends on the ruin time, the deficit at ruin, and the...
View ArticleThe structural constraints of income inequality in Latin America....
Recent work has shown that a country's productive structure constrains its level of economic growth and income inequality. In this paper, we compare the productive structure of countries in Latin...
View ArticleParallelizing Computation of Expected Values in Recombinant Binomial Trees....
Recombinant binomial trees are binary trees where each non-leaf node has two child nodes, but adjacent parents share a common child node. Such trees arise in finance when pricing an option. For...
View ArticleOn VIX Futures in the rough Bergomi model. (arXiv:1701.04260v1 [q-fin.PR])
The rough Bergomi model introduced by Bayer, Friz and Gatheral has been outperforming conventional Markovian stochastic volatility models by reproducing implied volatility smiles in a very realistic...
View ArticleWorst-Case Expected Shortfall with Univariate and Bivariate Marginals....
Worst-case bounds on the expected shortfall risk given only limited information on the distribution of the random variables has been studied extensively in the literature. In this paper, we develop a...
View ArticleA Spatial Interpolation Framework for Efficient Valuation of Large Portfolios...
Variable Annuity (VA) products expose insurance companies to considerable risk because of the guarantees they provide to buyers of these products. Managing and hedging these risks requires insurers to...
View ArticleOptimal Trading with a Trailing Stop. (arXiv:1701.03960v1 [q-fin.MF])
Trailing stop is a popular stop-loss trading strategy by which the investor will sell the asset once its price experiences a pre-specified percentage drawdown. In this paper, we study the problem of...
View ArticleA Black--Scholes inequality: applications and generalisation....
The space of call price functions has a natural noncommutative semigroup structure with an involution. A basic example is the Black--Scholes call price surface, from which an interesting inequality for...
View ArticleCorporate Security Prices in Structural Credit Risk Models with Incomplete...
The paper studies derivative asset analysis in structural credit risk models where the asset value of the firm is not fully observable. It is shown that in order to compute the price dynamics of traded...
View ArticleAn application of time reversal to credit risk management....
This paper develops a risk management framework for companies, based on the leverage process (a ratio of company asset value over its debt) by analyzing the characteristics of general linear diffusions...
View ArticleA geometric approach to the transfer problem for a finite number of traders....
We present a complete characterization of the classical transfer problem for an exchange economy with an arbitrary finite number of traders. Our method is geometric, using an equilibrium manifold...
View ArticleInterpolating between matching and hedonic pricing models....
We consider the theoretical properties of a model which encompasses bi-partite matching under transferable utility on the one hand, and hedonic pricing on the other. This framework is intimately...
View ArticleDynamic Prize Linked Savings: Maximizing Savings and Managing Risk....
Prize linked savings accounts provide a return in the form of randomly chosen accounts receiving large cash prizes, in lieu of a guaranteed and uniform interest rate. This model became legal for...
View ArticleSome correspondences between Index Number Theory in economy and the General...
GDP of China is about 11 trillion dollars and GDP of the United States is about 18 trillion dollars. Suppose that we know for the coming years, economy of the US will experience a real growth rate...
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