Discrete-type approximations for non-Markovian optimal stopping problems:...
In this paper, we present a Longstaff-Schwartz-type algorithm for the discretization method designed in Le\~ao, Ohashi and Russo [28]. In contrast to previous works, our methodology applies to optimal...
View ArticleDiscrete-type approximations for non-Markovian optimal stopping problems:...
In this paper, we present an approximation scheme to solve optimal stopping problems based on fully non-Markovian reward continuous processes adapted to the filtration generated by the...
View ArticleUnfolding the innovation system for the development of countries:...
We show that the space in which scientific, technological and economic developments interplay with each other can be mathematically shaped using pioneering multilayer network and complexity techniques....
View ArticleDynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk)....
Expected Shortfall (ES) is the average return on a risky asset conditional on the return being below some quantile of its distribution, namely its Value-at-Risk (VaR). The Basel III Accord, which will...
View ArticleEffective risk aversion in thin risk-sharing markets. (arXiv:1707.05096v1...
We consider thin financial markets involving a finite number of tradeable securities. Traders with heterogeneous preferences and risk exposures have motive to behave strategically regarding the level...
View ArticlePricing formulae for derivatives in insurance using the Malliavin calculus....
In this paper we provide a valuation formula for different classes of actuarial and financial contracts which depend on a general loss process, by using the Malliavin calculus. In analogy with the...
View ArticleOptimal Equilibrium for Time-Inconsistent Stopping Problems -- the...
We study an infinite-horizon discrete-time optimal stopping problem under non-exponential discounting. A new method, which we call the iterative approach, is developed to find subgame perfect Nash...
View ArticleSurplus-invariant risk measures. (arXiv:1707.04949v1 [q-fin.MF])
We present a systematic study of the notion of surplus invariance, which plays a natural and important role in the theory of risk measures and capital requirements. So far, this notion has been...
View ArticleAutomatic Backward Differentiation for American Monte-Carlo Algorithms...
In this note we derive the backward (automatic) differentiation (adjoint [automatic] differentiation) for an algorithm containing a conditional expectation operator. As an example we consider the...
View ArticleEnvironmental impact assessment for climate change policy with the...
A high degree of consensus exists in the climate sciences over the role that human interference with the atmosphere is playing in changing the climate. Following the Paris Agreement, a similar...
View ArticleForecasting the U.S. Real House Price Index. (arXiv:1707.04868v1 [q-fin.CP])
The 2006 sudden and immense downturn in U.S. House Prices sparked the 2007 global financial crisis and revived the interest about forecasting such imminent threats for economic stability. In this paper...
View ArticleTransition between superstatistical regimes: validity, breakdown and...
Superstatistics is a widely employed tool of non-equilibrium statistical physics which plays an important role in analysis of hierarchical complex dynamical systems. Yet, its "canonical" formulation in...
View ArticleMachine learning application in online lending risk prediction....
Online leading has disrupted the traditional consumer banking sector with more effective loan processing. Risk prediction and monitoring is critical for the success of the business model. Traditional...
View ArticleGood signals gone bad: dynamic signalling with switching efforts....
This paper examines signalling when the sender exerts effort and receives benefits over time. Receivers only observe a noisy public signal about the effort, which has no intrinsic value. read more...
View ArticleCorrelations and Flow of Information between The New York Times and Stock...
We use Random Matrix Theory (RMT) and information theory to analyze the correlations and flow of information between 64,939 news from The New York Times and 40 world financial indices during 10 months...
View ArticleNetwork analysis of Japanese global business using quasi-exhaustive...
Network analysis techniques remain rarely used for understanding international management strategies. Our paper highlights their value as research tool in this field of social science using a large set...
View ArticleSequence Classification of the Limit Order Book using Recurrent Neural...
Recurrent neural networks (RNNs) are types of artificial neural networks (ANNs) that are well suited to forecasting and sequence classification. They have been applied extensively to forecasting...
View ArticleLinear and nonlinear correlations in order aggressiveness of Chinese stocks....
The diagonal effect of orders is well documented in different markets, which states that orders are more likely to be followed by orders of the same aggressiveness and implies the presence of...
View ArticleSurplus-Invariant, Law-Invariant, and Conic Acceptance Sets Must be the Sets...
The regulator is interested in proposing a capital adequacy test by specifying an acceptance set for firms' capital positions at the end of a given period. This set needs to be surplus-invariant, i.e.,...
View ArticleImpact and Recovery Process of Mini Flash Crashes: An Empirical Study....
In an Ultrafast Extreme Event (or Mini Flash Crash), the price of a traded stock increases or decreases strongly within milliseconds. We present a detailed study of Ultrafast Extreme Events in stock...
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