Market Delay and G--expectations. (arXiv:1709.09442v1 [q-fin.MF])
We study super-replication of contingent claims in markets with delay. This can be viewed as a stochastic target problem with delayed filtration. First, we establish a duality result for this setup....
View ArticleA default system with overspilling contagion. (arXiv:1709.09255v1 [q-fin.MF])
In classical contagion models, default systems are Markovian conditionally on the observation of their stochastic environment, with interacting intensities. This necessitates that the environment...
View ArticleSome No-Arbitrage Rules For Converging Asset Prices under Short-Sales...
Under short sales prohibitions, no free lunch with vanishing risk (NFLVR-S) is known to be equivalent to the existence of an equivalent supermartingale measure for the price processes (Pulido [22])....
View ArticleMulti-period investment strategies under Cumulative Prospect Theory....
In this article, inspired by Shi, et al. we investigate the optimal portfolio selection with one risk-free asset and one risky asset in a multiple period set- ting under cumulative prospect theory...
View ArticleEquilibrium distributions and discrete Schur-constant models....
This paper introduces Schur-constant equilibrium distribution models of dimension n for arithmetic non-negative random variables. Such a model is defined through the (several orders) equilibrium...
View ArticleWealth distribution in presence of debts. A Fokker--Planck description....
We consider here a Fokker--Planck equation with variable coefficient of diffusion which appears in the modeling of the wealth distribution in a multi-agent society. At difference with previous studies,...
View ArticleA Deep Efficient Frontier Method for Optimal Investments. (arXiv:1709.09822v1...
The purpose of this paper is to present a new approach to construct optimal portfolios and investment strategies based on stock return predictions. Recurrent Neural Networks (RNNs) are applied to stock...
View ArticleThe Strength of Absent Ties: Social Integration via Online Dating....
We used to marry people to which we were somehow connected to: friends of friends, schoolmates, neighbours. Since we were more connected to people similar to us, we were likely to marry someone from...
View ArticleDistributions of Centrality on Networks. (arXiv:1709.10402v1 [cs.SI])
In many social and economic networks, agents' outcomes depend substantially on the centrality of their network position. Our current understanding of network centrality is largely restricted to...
View ArticleObstacle problems for nonlocal operators. (arXiv:1709.10384v1 [math.AP])
We prove existence, uniqueness, and regularity of viscosity solutions to the stationary and evolution obstacle problems defined by a class of nonlocal operators that are not stable-like and may have...
View ArticleClassification of the Bounds on the Probability of Ruin for L{\'e}vy...
In this note, we study the ultimate ruin probabilities of a real-valued L{\'e}vy process X with light-tailed negative jumps. It is well-known that, for such L{\'e}vy processes, the probability of ruin...
View ArticleA Structural Model for Fluctuations in Financial Markets. (arXiv:1709.10277v1...
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting...
View ArticleExecutive stock option exercise with full and partial information on a drift...
We analyse the valuation and exercise of an American executive call option written on a stock whose drift parameter falls to a lower value at a change point given by an exponential random time,...
View ArticleKelly's Criterion in Portfolio Optimization: A Decoupled Problem....
Kelly's Criterion is well known among gamblers and investors as a method for maximizing the returns one would expect to observe over long periods of betting or investing. These ideas are conspicuously...
View ArticleSystemic risk in a mean-field model of interbank lending with self-exciting...
In this paper we consider a mean-field model of interacting diffusions for the monetary reserves in which the reserves are subjected to a self- and cross-exciting shock. This is motivated by the...
View ArticleKeep It Real: Tail Probabilities of Compound Heavy-Tailed Distributions....
We propose an analytical approach to the computation of tail probabilities of compound distributions whose individual components have heavy tails. Our approach is based on the contour integration...
View ArticleA series representation for the Black-Scholes formula. (arXiv:1710.01141v1...
We prove and test an efficient series representation for the European Black-Scholes call, which generalizes and refines previously known approximations, and works in every market configuration.
View ArticleValuation of Employee Stock Options (ESOs) by means of Mean-Variance Hedging....
We consider the problem of ESO valuation in continuous time. In particular, we consider models that assume that an appropriate random time serves as a proxy for anything that causes the ESO's holder to...
View ArticleManaging Volatility Risk: An Application of Karhunen-Lo\`eve Decomposition...
Implied volatilities form a well-known structure of smile or surface which accommodates the Bachelier model and observed market prices of interest rate options. For the swaptions that we study, three...
View ArticleThe Computational Complexity of Clearing Financial Networks with Credit...
We consider the problem of clearing a system of interconnected banks. Prior work has shown that when banks can only enter into simple debt contracts with each other, then a clearing vector of payments...
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