Stochastic control on the half-line and applications to the optimal...
We consider a stochastic control problem with the assumption that the system is controlled until the state process breaks the fixed barrier. Assuming some general conditions, it is proved that the...
View ArticleOptimal Portfolio under Fractional Stochastic Environment....
Rough stochastic volatility models have attracted a lot of attentions recently, in particular for the linear option pricing problem. In this paper, starting with power utilities, we propose to use a...
View ArticleMean field and n-agent games for optimal investment under relative...
We analyze a family of portfolio management problems under relative performance criteria, for fund managers having CARA or CRRA utilities and trading in a common time horizon in log-normal markets. We...
View ArticleAn Agent-based Model of Contagion in Financial Networks. (arXiv:1703.07513v1...
This work develops an agent-based model for the study of how the leverage through the use of repurchase agreements can function as a mechanism for the propagation and amplification of financial shocks...
View ArticleA Dynamic Programming Principle for Distribution-Constrained Optimal...
We consider an optimal stopping problem where a constraint is placed on the distribution of the stopping time. Reformulating the problem in terms of so-called measure-valued martingales allows us to...
View ArticleCohort effects in mortality modelling: a Bayesian state-space approach....
Cohort effects are important factors in determining the evolution of human mortality for certain countries. Extensions of dynamic mortality models with cohort features have been proposed in the...
View ArticleA Numerical Method for Pricing Discrete Double Barrier Option by Legendre...
In this Article, a fast numerical numerical algorithm for pricing discrete double barrier option is presented. According to Black-Scholes model, the price of option in each monitoring date can be...
View ArticleMicrostructure under the Microscope: Tools to Survive and Thrive in The Age...
Market Microstructure is the investigation of the process and protocols that govern the exchange of assets with the objective of reducing frictions that can impede the transfer. In financial markets,...
View ArticleEx-post core, fine core and rational expectations equilibrium allocations....
This paper investigates the ex-post core and its relationships to the fine core and the set of rational expectations equilibrium allocations in an oligopolistic economy with asymmetric information, in...
View ArticleEmergence of world-stock-market network. (arXiv:1703.08781v1 [q-fin.ST])
In the age of globalization, it is natural that the stock market of each country is not independent form the other markets. In this case, collective behavior could be emerged form their dependency...
View ArticleGame-Theoretic Protection Against Networked SIS Epidemics by Human...
We study decentralized protection strategies by human decision-makers against Susceptible-Infected-Susceptible (SIS) epidemics on networks. Specifically, we examine the impact of behavioral...
View ArticleTowards a probability-free theory of continuous martingales....
Without probability theory, we define classes of supermartingales, martingales, and semimartingales in idealized financial markets with continuous price paths. This allows us to establish...
View ArticleNaive Risk Parity Portfolio with Fractal Estimation of Volatility....
A fractal approach to long-only portfolio optimization is proposed. The quantitative system is based on naive risk parity approach. The core of the optimization scheme is a fractal distribution of...
View ArticleNon-parametric and semi-parametric asset pricing. (arXiv:1703.09500v1...
We find that the CAPM fails to explain the small firm effect even if its non-parametric form is used which allows time-varying risk and non-linearity in the pricing function. Furthermore, the linearity...
View ArticleAnalysis of Realized Volatility for Nikkei Stock Average on the Tokyo Stock...
We calculate realized volatility of the Nikkei Stock Average (Nikkei225) Index on the Tokyo Stock Exchange and investigate the return dynamics. To avoid the bias on the realized volatility from the...
View ArticleFIEMS: Fast Italian Energy Market Simulator. (arXiv:1703.09782v1 [q-fin.CP])
The article describes the algorithm used to define the electricity price in day-ahead and itraday energy markets in Italy. Details of Matlab implementation of one of its simplified versions, capable of...
View ArticleSmallest order closed sublattices and option spanning. (arXiv:1703.09748v1...
Let $Y$ be a sublattice of a vector lattice $X$. We consider the problem of identifying the smallest order closed sublattice of $X$ containing $Y$. It is known that the analogy with topological closure...
View ArticleMultiperiod Martingale Transport. (arXiv:1703.10588v1 [math.PR])
Consider a multiperiod optimal transport problem where distributions $\mu_{0},\dots,\mu_{n}$ are prescribed and a transport corresponds to a scalar martingale $X$ with marginals $X_{t}\sim\mu_{t}$. We...
View ArticleHarry Potter and the Goblin Bank of Gringotts. (arXiv:1703.10469v1 [q-fin.GN])
Gringotts Wizarding Bank is well known as the only financial institution in all of the Wizarding UK as documented in the works recounting the heroics of Harry Potter. The concentration of power and...
View ArticleOn coherency and other properties of MAXVAR. (arXiv:1703.10981v1 [q-fin.MF])
Consider the MAXVAR risk measure on L^2 space. We present a simple and direct proof of its coherency and aversity. Based on the observation that the MAXVAR measure is a continuous convex combination of...
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