The coordination of centralised and distributed generation....
This paper analyses the interaction between centralised carbon emissive technologies and distributed intermittent non-emissive technologies. In our model, there is a representative consumer who can...
View ArticleOptimal consumption of multiple goods in incomplete markets....
We consider the problem of optimal consumption of multiple goods in incomplete semimartingale markets. We formulate the dual problem and identify conditions that allow for existence and uniqueness of...
View ArticleThe Indirect Effects of FDI on Trade: A Network Perspective....
The relationship between international trade and foreign direct investment (FDI) is one of the main features of globalization. In this paper we investigate the effects of FDI on trade from a network...
View ArticleLeontief Meets Shannon - Measuring the Complexity of the Economic System....
We develop a complexity measure for large-scale economic systems based on Shannon's concept of entropy. By adopting Leontief's perspective of the production process as a circular flow, we formulate the...
View ArticleA fundamental theorem of asset pricing for continuous time large financial...
We present a version of the fundamental theorem of asset pricing (FTAP) for continuous time large financial markets with two filtrations in an $L^p$-setting for $ 1 \leq p < \infty$. This extends...
View ArticleDuality for pathwise superhedging in continuous time. (arXiv:1705.02933v1...
We provide a model-free pricing-hedging duality in continuous time. For a frictionless market consisting of $d$ risky assets with continuous price trajectories, we show that the purely analytic problem...
View ArticleUnspanned Stochastic Volatility in the Multi-factor CIR Model....
We provide necessary and sufficient conditions for a multi-factor Cox-Ingersoll-Ross (CIR) model to exhibit unspanned stochastic volatility (USV). We then construct a class of three-factor CIR models...
View ArticleAn equation for a time-dependent profit rate. (arXiv:1705.02559v1 [q-fin.EC])
Taking as a hypothesis a form of the labour theory of value, and $without$ $assuming$ $equilibrium$, we derive an equation that yields the profit-rate $\pi$ as a function of time. For a mature economy,...
View ArticleComputation of second order price sensitivities in depressed markets....
Risk management in financial derivative markets requires inevitably the calculation of the different price sensitivities. The literature contains an abundant amount of research works that have studied...
View ArticleAnticipated Backward SDEs with Jumps and quadratic-exponential growth...
In this paper, we study a class of Anticipated Backward Stochastic Differential Equations (ABSDE) with jumps. The solution of the ABSDE is a triple $(Y,Z,\psi)$ where $Y$ is a semimartingale, and...
View ArticleNoisy independent component analysis of auto-correlated components....
We present a new method for the separation of superimposed, independent, auto-correlated com- ponents from noisy multi-channel measurement. The presented method simultaneously reconstructs and...
View ArticleWright meets Markowitz: How standard portfolio theory changes when assets are...
This paper considers how to optimally allocate investments in a portfolio of competing technologies. We introduce a simple model representing the underlying trade-off - between investing enough effort...
View ArticleMachine Learning Techniques for Mortality Modeling. (arXiv:1705.03396v1...
Various stochastic models have been proposed to estimate mortality rates. In this paper we illustrate how machine learning techniques allow us to analyze the quality of such mortality models. In...
View ArticleBenchmark Dataset for Mid-Price Prediction of Limit Order Book data....
Presently, managing prediction of metrics in high frequency financial markets is a challenging task. An efficient way to do it is by monitoring the dynamics of a limit order book and try to identify...
View ArticlePropensity to spending of an average consumer over a brief period....
Understanding consumption dynamics and its impact on the whole economy and welfare within the present economic crisis is not an easy task. Indeed the level of consumer demand for different goods varies...
View ArticleA note on the impact of management fees on the pricing of variable annuity...
Variable annuities, as a class of retirement income products, allow equity market exposure for a policyholder's retirement fund with electable additional guarantees to limit the downside risk of the...
View ArticleOptimal stopping and a non-zero-sum Dynkin game in discrete time with risk...
We first study an optimal stopping problem in which a player (an agent) uses a discrete stopping time in order to stop optimally a payoff process whose risk is evaluated by a (non-linear)...
View ArticleHybrid PDE solver for data-driven problems and modern branching....
The numerical solution of large-scale PDEs, such as those occurring in data-driven applications, unavoidably require powerful parallel computers and tailored parallel algorithms to make the best...
View ArticlePolynomial processes in stochastic portfolio theory. (arXiv:1705.03647v1...
We introduce polynomial processes in the sense of [8] in the context of stochastic portfolio theory to model simultaneously companies' market capitalizations and the corresponding market weights. These...
View ArticleMaximum Entropy Principle underlying the dynamics of automobile sales....
We analyze an exhaustive data-set of new-cars monthly sales. The set refers to 10 years of Spanish sales of more than 6500 different car model configurations and a total of 10M sold cars, from January...
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