An Investigation of the Structural Characteristics of the Indian IT Sector...
Time series analysis and forecasting of stock market prices has been a very active area of research over the last two decades. Availability of extremely fast and parallel architecture of computing and...
View ArticleCorrigendum for "Second-order reflected backward stochastic differential...
The aim of this short note is to fill in a gap in our earlier paper [7] on 2BSDEs with reflections, and to explain how to correct the subsequent results in the second paper [6]. We also provide more...
View ArticleBilateral multifactor CES general equilibrium with state-replicating...
We measure elasticity of substitution between foreign and domestic commodities by way of two-point calibration, in order that the Armington aggregator can replicate the two temporally distant...
View ArticleLocal fluctuations of the signed traded volumes and the dependencies of...
We investigate how the local fluctuations of the signed traded volumes affect the dependence of demands between stocks. We analyze the empirical dependence of demands using copulas and show that they...
View ArticleAn optimal execution problem with S-shaped market impact functions....
In this study, we extend the optimal execution problem with convex market impact function studied in Kato (2014) to the case where the market impact function is S-shaped, that is, concave on $[0, \bar...
View ArticleRisk Model Based on General Compound Hawkes Process. (arXiv:1706.09038v1...
In this paper, we introduce a new model for the risk process based on general compound Hawkes process (GCHP) for the arrival of claims. We call it risk model based on general compound Hawkes process...
View ArticleExtreme portfolio loss correlations in credit risk. (arXiv:1706.09809v1...
The stability of the financial system is associated with systemic risk factors such as the concurrent default of numerous small obligors. Hence it is of utmost importance to study the mutual dependence...
View ArticleDynamical selection of Nash equilibria using Experience Weighted Attraction...
We study the distribution of strategies in a large game that models how agents choose among different double auction markets. We classify the possible mean field Nash equilibria, which include...
View ArticleParameter estimation for stable distributions with application to commodity...
This paper explores the theory behind the rich and robust family of {\alpha}-stable distributions to estimate parameters from financial asset log-returns data. We discuss four-parameter estimation...
View ArticleHilbert transform, spectral filtering and option pricing. (arXiv:1706.09755v1...
We show how spectral filtering techniques can improve the convergence of numerical schemes which use discrete Hilbert transforms based on a sinc function expansion, and thus ultimately on the fast...
View ArticleAsymptotics for the Discrete-Time Average of the Geometric Brownian Motion...
The time average of geometric Brownian motion plays a crucial role in the pricing of Asian options in mathematical finance. In this paper we consider the asymptotics of the discrete-time average of a...
View ArticleComputational aspects of robust optimized certainty equivalents....
Accounting for model uncertainty in risk management leads to infinite dimensional optimization problems which are both analytically and numerically untractable. In this article we study when this fact...
View ArticleRegret-based Selection for Sparse Dynamic Portfolios. (arXiv:1706.10180v1...
This paper considers portfolio construction in a dynamic setting. We specify a loss function comprised of utility and complexity components with an unknown tradeoff parameter. We develop a novel...
View ArticleOscillations in the Tsallis income distribution. (arXiv:1706.10141v1...
Oscillations in the cumulative individual income distribution have been found in the data of various countries studied by different authors at different time periods, but the dynamical origins of this...
View ArticleA Deep Reinforcement Learning Framework for the Financial Portfolio...
Financial portfolio management is the process of constant redistribution of a fund into different financial products. This paper presents a financial-model-free Reinforcement Learning framework to...
View ArticleOption pricing under fast-varying and rough stochastic volatility....
Recent empirical studies suggest that the volatilities associated with financial time series exhibit short range correlations. This entails that the volatility process is very rough and its...
View ArticleAn Investigation into Laboucheres Betting System to Improve Odds of Favorable...
The Labouchere gambling system is hypothesized to increase the probability of winning a predetermined arbitrary profit in a gambling system such as a coin flip or a roulette game in which both payouts...
View ArticlePricing American Call Options by the Black-Scholes Equation with a Nonlinear...
In this paper we analyze a nonlinear generalization of the Black-Scholes equation for pricing American style call option in which the volatility may depend on the underlying asset price and the Gamma...
View ArticleAnalytical and numerical results for American style of perpetual put options...
We analyze and calculate the early exercise boundary for a class of stationary generalized Black-Scholes equations in which the volatility function depends on the second derivative of the option price...
View ArticleFragmentation, integration and macroprudential surveillance of the US...
Drawing on recent contributions inferring financial interconnectedness from market data, our paper provides new insights on the evolution of the US financial industry over a long period of time by...
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