A systemic shock model for too big to fail financial institutions....
In this paper we study the distributional properties of a vector of lifetimes in which each lifetime is modeled as the first arrival time between an idiosyncratic shock and a common systemic shock....
View ArticleOn a pricing problem for a multi-asset option with general transaction costs....
We consider a Black-Scholes type equation arising on a pricing model for a multi-asset option with general transaction costs. The pioneering work of Leland is thus extended in two different ways: on...
View ArticleA fractional reaction-diffusion description of supply and demand....
We suggest that the broad distribution of time scales in financial markets could be a crucial ingredient to reproduce realistic price dynamics in stylised Agent-Based Models. We propose a fractional...
View ArticleGood Deal Hedging and Valuation under Combined Uncertainty about Drift and...
We study robust notions of good-deal hedging and valuation under combined uncertainty about the drifts and volatilities of asset prices. Good-deal bounds are determined by a subset of risk-neutral...
View ArticleOn absence of steady state in the Bouchaud-M\'ezard network model....
In the limit of infinite number of nodes (agents), the It\^o-reduced Bouchaud-M\'ezard network model of economic exchange has a time-independent mean and a steady-state inverse gamma distribution. We...
View ArticleEstimating the Counterparty Risk Exposure by using the Brownian Motion Local...
In recent years, the counterparty credit risk measure, namely the default risk in \emph{Over The Counter} (OTC) derivatives contracts, has received great attention by banking regulators, specifically...
View ArticleOn Feature Reduction using Deep Learning for Trend Prediction in Finance....
One of the major advantages in using Deep Learning for Finance is to embed a large collection of information into investment decisions. A way to do that is by means of compression, that lead us to...
View ArticleBartlett's delta in the SABR model. (arXiv:1704.03110v1 [q-fin.CP])
We refine the analysis of hedging strategies for options under the SABR model carried out in [2]. In particular, we provide a theoretical justification of the empirical observation made in [2] that the...
View ArticleExploring the relationship between technological improvement and innovation...
It is now clear that different technological domains have significantly different rates of performance improvement. Theoretically, such differing rates should influence the relative rate of diffusion...
View ArticleSimplifying credit scoring rules using LVQ+PSO. (arXiv:1704.04450v1 [q-fin.RM])
One of the key elements in the banking industry rely on the appropriate selection of customers. In order to manage credit risk, banks dedicate special efforts in order to classify customers according...
View ArticleCrude oil market and geopolitical events: an analysis based on...
This paper analyzes the informational efficiency of oil market during the last three decades, and examines changes in informational efficiency with major geopolitical events, such as terrorist attacks,...
View ArticleAn empirical behavioural order-driven model with price limit rules....
We develop an empirical behavioural order-driven (EBOD) model, which consists of an order placement process and an order cancellation process. Price limit rules are introduced in the definition of...
View ArticleMeasurement of Economic Growth, Development and Under Development: New Model...
This paper presents a simple model to measure the relative economic growth of economic systems. The model considers S-Shaped patterns of economic growth that, represented with a linear model, measure...
View ArticleUrban Data Streams and Machine Learning: A Case of Swiss Real Estate Market....
In this paper, we show how using publicly available data streams and machine learning algorithms one can develop practical data driven services with no input from domain experts as a form of prior...
View ArticleModel Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging....
We study option pricing and hedging with uncertainty about a Black-Scholes reference model which is dynamically recalibrated to the market price of a liquidly traded vanilla option. For dynamic trading...
View ArticleThe case of 'Less is more': Modelling risk-preference with Expected Downside...
This paper discusses an alternative explanation for the empirical findings contradicting the positive relationship between risk (variance) and reward (expected return). We show that these contradicting...
View ArticleHigh-order compact finite difference scheme for option pricing in stochastic...
We derive a new high-order compact finite difference scheme for option pricing in stochastic volatility jump models, e.g. in Bates model. In such models the option price is determined as the solution...
View ArticleBest reply structure and equilibrium convergence in generic games....
Game theory often assumes rational players that play equilibrium strategies. But when the players have to learn their strategies by playing the game repeatedly, how often do the strategies converge? We...
View ArticleAnomalous Scaling of Stochastic Processes and the Moses Effect....
The state of a stochastic process evolving over a time $t$ is typically assumed to lie on a normal distribution whose width scales like $t^{1/2}$. However, processes where the probability distribution...
View ArticleA generalized Bayesian framework for the analysis of subscription based...
We have created a framework for analyzing subscription based businesses in terms of a unified metric which we call SCV (single customer value). The major advance in this paper is to model customer...
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