The Wealth of Nations: Complexity Science for an Interdisciplinary Approach...
Classic economic science is reaching the limits of its explanatory powers. Complexity science uses an increasingly larger set of different methods to analyze physical, biological, cultural, social, and...
View ArticleResidual Value Forecasting Using Asymmetric Cost Functions....
Leasing is a popular channel to market new cars. Pricing a leasing contract is complicated because the leasing rate embodies an expectation of the residual value of the car after contract expiration....
View ArticleDynamic Quantile Function Models. (arXiv:1707.02587v1 [stat.ME])
We offer a novel way of thinking about the modelling of the time-varying distributions of financial asset returns. Borrowing ideas from symbolic data analysis, we consider data representations beyond...
View ArticleConsistency of extended Nelson-Siegel curve families with the Ho-Lee and Hull...
Nelson and Siegel curves are widely used to fit the observed term structure of interest rates in a particular date. By the other hand, several interest rate models have been developed such their...
View ArticleViability and Arbitrage under Knightian Uncertainty. (arXiv:1707.03335v1...
We reconsider the microeconomic foundations of financial economics under Knightian Uncertainty. In a general framework, we discuss the absence of arbitrage, its relation to economic viability, and the...
View ArticleModeling the price of Bitcoin with fractional Brownian motion: a Monte Carlo...
The long-term dependence of Bitcoin (BTC), manifesting itself through a Hurst exponent $H>0.5$, is exploited in order to predict future BTC/USD price. A Monte Carlo simulation with $10^5$ fractional...
View ArticleBayesian Realized-GARCH Models for Financial Tail Risk Forecasting...
The realized GARCH framework is extended to incorporate the two-sided Weibull distribution, for the purpose of volatility and tail risk forecasting in a financial time series. Further, the realized...
View ArticleA Model of Interbank Flows, Borrowing, and Investing. (arXiv:1707.03542v1...
We consider a model when private banks with interbank cash flows as in (Carmona, Fouque, Sun, 2013) borrow from the outside economy at a certain interest rate, controlled by the central bank, and...
View ArticlePortfolio Risk Assessment using Copula Models. (arXiv:1707.03516v1 [q-fin.RM])
In the paper, we use and investigate copulas models to represent multivariate dependence in financial time series. We propose the algorithm of risk measure computation using copula models. Using the...
View ArticleBanking risk as an epidemiological model: an optimal control approach....
The process of contagiousness spread modelling is well-known in epidemiology. However, the application of spread modelling to banking market is quite recent. In this work, we present a system of...
View ArticleMean Reversion Trading with Sequential Deadlines andTransaction Costs....
We study the optimal timing strategies for trading a mean-reverting price process with afinite deadline to enter and a separate finite deadline to exit the market. The price process is modeled by a...
View ArticleThe partial damage loss cover ratemaking of the automobile insurance using...
It is illustrated a methodology to compute the pure premium for the automobile insurance (claim frequency and severity) using generalized linear models. It is obtained the pure premium for the partial...
View ArticleMarkowitz Geometry I. (arXiv:1707.03588v1 [math.OC] CROSS LISTED)
By Markowitz geometry we mean the intersection theory of ellipsoids and affine subspaces in a real finite-dimensional linear space. In the paper we give a meticulous and self-contained treatment of...
View ArticleLeverage efficiency. (arXiv:1101.4548v2 [q-fin.GN] UPDATED)
Peters (2011a) defined an optimal leverage which maximizes the time-average growth rate of an investment held at constant leverage. We test the hypothesis that this optimal leverage is attracted to 1,...
View ArticleAsymptotics for Greeks under the constant elasticity of variance model....
This paper is concerned with the asymptotics for Greeks of European-style options and the risk-neutral density function calculated under the constant elasticity of variance model. Formulae obtained...
View ArticleHow do fishery policies affect Hawaii's longline fishing industry?...
We present a vessel and target-specific positive mathematical programming model (PMP) for Hawaii's longline fishing fleet. Although common in agricultural economics, PMP modeling is rarely attempted in...
View ArticleReduced-form framework and superhedging for payment streams under model...
In this paper we extend the classic reduced-form setting for credit and insurance markets to the case under model uncertainty, when we consider a family of priors possibly mutually singular to each...
View ArticleA short introduction to quasi-Monte Carlo option pricing. (arXiv:1707.04293v1...
One of the main practical applications of quasi-Monte Carlo (QMC) methods is the valuation of financial derivatives. We aim to give a short introduction into option pricing and show how it is...
View ArticleThe Universality of Zipf's Law for Time-Dependent Rank-Based Random Systems....
We characterize the conditions under which rank-based systems of continuous semimartingales generate an asymptotic size distribution that satisfies Zipf's law. For a system that follows the strong form...
View ArticleModeling Technical Analysis. (arXiv:1707.05253v1 [q-fin.MF])
We model the behaviour of a stock price process under the assumption of the existence of a support/resistance level, which is one of the most popular approaches in the field of technical analysis. We...
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