Research on ruin probability of risk model based on AR(1) series....
In this text, we establish the risk model based on AR(1) series and propose the basic model which has a dependent structure under intensity of claim number. Considering some properties of the risk...
View ArticleDual control Monte Carlo method for tight bounds of value function under...
The aim of this paper is to study the fast computation of the lower and upper bounds on the value function for utility maximization under the Heston stochastic volatility model with general utility...
View ArticleQuantum attacks on Bitcoin, and how to protect against them....
The key cryptographic protocols used to secure the internet and financial transactions of today are all susceptible to attack by the development of a sufficiently large quantum computer. One particular...
View ArticlePolynomial processes for power prices. (arXiv:1710.10293v1 [q-fin.CP])
Polynomial processes have the property that expectations of polynomial functions (of degree $n$, say) of the future state of the process conditional on the current state are given by polynomials (of...
View ArticleNetwork models of financial systemic risk: A review. (arXiv:1710.11512v1...
The global financial system can be represented as a large complex network in which banks, hedge funds and other financial institutions are interconnected to each other through visible and invisible...
View ArticleQuantization goes Polynomial. (arXiv:1710.11435v1 [q-fin.PR])
Quantization algorithms have been recently successfully adopted in option pricing problems to speed up Monte Carlo simulations thanks to the high convergence rate of the numerical approximation. In...
View ArticleStochastic Maximum Principle under Probability Distortion....
Within the framework of Kahneman and Tversky's cumulative prospective theory, this paper considers a continuous-time behavioral portfolio selection model, which includes both running and terminal terms...
View ArticleThe implied volatility of Forward-Start options: ATM short-time level, skew...
Using Malliavin Calculus techniques, we derive closed-form expressions for the at-the-money behaviour of the forward implied volatility, its skew and its curvature, in general Markovian stochastic...
View ArticleCorrelations and Clustering in Wholesale Electricity Markets....
We study the structure of locational marginal prices in day-ahead and real-time wholesale electricity markets. In particular, we consider the case of two North American markets and show that the price...
View ArticleOptimizing S-shaped utility and implications for risk management....
We consider market players with tail-risk-seeking behaviour as exemplified by the S-shaped utility introduced by Kahneman and Tversky. We argue that risk measures such as value at risk (VaR) and...
View ArticleFractional Brownian motion with zero Hurst parameter: a rough volatility...
It has been recently established that the volatility of financial assets is rough. This means that the behavior of the log-volatility process is similar to that of a fractional Brownian motion with...
View ArticleA continuous selection for optimal portfolios under convex risk measures does...
One of the crucial problems in mathematical finance is to mitigate the risk of a financial position by setting up hedging positions of eligible financial securities. This leads to focusing on...
View ArticlePricing of commodity derivatives on processes with memory....
Spot option prices, forwards and options on forwards relevant for the commodity markets are computed when the underlying process S is modelled as an exponential of a process {\xi} with memory as e.g. a...
View ArticleCorrection to `Yield curve shapes and the asymptotic short rate distribution...
This paper corrects an error in [Keller-Ressel, M. and Steiner T. "Yield curve shapes and the asymptotic short rate distribution in affine one-factor models." Finance and Stochastics 12.2 (2008):...
View ArticleOn Game-Theoretic Risk Management (Part Three) - Modeling and Applications....
The game-theoretic risk management framework put forth in the precursor reports "Towards a Theory of Games with Payoffs that are Probability-Distributions" (arXiv:1506.07368 [q-fin.EC]) and "Algorithms...
View ArticleA Numerical Scheme for A Singular control problem: Investment-Consumption...
This paper concerns the numerical solution of a fully nonlinear parabolic double obstacle problem arising from a finite portfolio selection with proportional transaction costs. We consider the optimal...
View ArticleOptimal investment-consumption and life insurance selection problem under...
We discuss an optimal investment, consumption and insurance problem of a wage earner under inflation. Assume a wage earner investing in a real money account and three asset prices, namely: a real zero...
View ArticleCash Accumulation Strategy based on Optimal Replication of Random Claims with...
This paper presents a numerical model to solve the problem of cash accumulation strategies for products with an unknown future price, like assets. Stock prices are modeled by a discretized Wiener...
View ArticleDis-embedded Openness: Inequalities in European Economic Integration at the...
The process of European integration resulted in a marked increase in transnational economic flows, yet regional inequalities along many developmental indicators remain. We analyze the unevenness of...
View ArticleThe perverse incentive for insurance instruments that are derivatives:...
When an insurance note is also a derivative a serious problem arises because a derivative must be fulfilled immediately. This feature of derivatives prevents claims processing procedures that screen...
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