Mean Field Limit of a Behavioral Financial Market Model. (arXiv:1711.02573v1...
In the past decade there has been a growing interest in agent-based econophysical financial market models. The goal of these models is to gain further insights into stylized facts of financial data. We...
View ArticleAsymptotic properties of maximum likelihood estimator for the growth rate of...
We consider a stable Cox--Ingersoll--Ross process driven by a standard Wiener process and a spectrally positive strictly stable L\'evy process, and we study asymptotic properties of the maximum...
View ArticleFunctional central limit theorems for rough volatility. (arXiv:1711.03078v1...
We extend Donsker's approximation of Brownian motion to fractional Brownian motion with Hurst exponent $H \in (0,1)$ and to Volterra-like processes. Some of the most relevant consequences of our `rough...
View ArticleThe Calibration of Stochastic-Local Volatility Models - An Inverse Problem...
We tackle the calibration of the so-called Stochastic-Local Volatility (SLV) model. This is the class of financial models that combines the local and stochastic volatility features and has been subject...
View ArticleConstrained portfolio-consumption strategies with uncertain parameters and...
This paper studies the properties of the optimal portfolio-consumption strategies in a {finite horizon} robust utility maximization framework with different borrowing and lending rates. In particular,...
View ArticleImplied volatility smile dynamics in the presence of jumps....
The main purpose of this work is to examine the behavior of the implied volatility smiles around jumps, contributing to the literature with a high-frequency analysis of the smile dynamics based on...
View ArticleLess-Expensive Valuation of Long Term Annuities Linked to Mortality, Cash and...
This paper proposes a paradigm shift in the valuation of long term annuities, away from classical no-arbitrage valuation towards valuation under the real world probability measure. Furthermore, we...
View ArticleOptimal Brownian Stopping between radially symmetric marginals in general...
Given an initial (resp., terminal) probability measure $\mu$ (resp., $\nu$) on $\mathbb{R}^d$, we characterize those optimal stopping times $\tau$ that maximize or minimize the functional $\mathbb{E}...
View ArticleLong-range Auto-correlations in Limit Order Book Markets: Inter- and...
Long-range correlation in financial time series reflects the complex dynamics of the stock markets driven by algorithms and human decisions. Our analysis exploits ultra-high frequency order book data...
View ArticlePortfolio Optimization and Model Predictive Control: A Kinetic Approach....
In this paper, we introduce a large system of interacting financial agents in which each agent is faced with the decision of how to allocate his capital between a risky stock or a risk-less bond. The...
View ArticleOptimal Purchasing Policy For Mean-Reverting Items in a Finite Horizon....
In this research we study a finite horizon optimal purchasing problem for items with a mean reverting price process. Under this model a fixed amount of identical items are bought under a given...
View ArticleNonconcave Robust Optimization under Knightian Uncertainty....
We study robust stochastic optimization problems in the quasi-sure setting in discrete-time. The strategies are restricted to those taking values in a discrete set. The optimization problems under...
View ArticleEfficient Simulation for Portfolio Credit Risk in Normal Mixture Copula...
This paper considers the problem of measuring the credit risk in portfolios of loans, bonds, and other instruments subject to possible default. One such performance measure of interest is the...
View ArticleVariance optimal hedging with application to Electricity markets....
In Electricity markets, illiquidity, transaction costs and market price characteristics prevent managers to replicate exactly contracts. A residual risk is always present and the hedging strategy...
View ArticleOptimal portfolio with insider information on the stochastic interest rate....
We consider the optimal portfolio problem where the interest rate is stochastic and the agent has insider information on its value at a finite terminal time. The agent's objective is to optimize the...
View ArticleBlack was right: Price is within a factor 2 of Value. (arXiv:1711.04717v1...
We provide further evidence that markets trend on the medium term (months) and mean-revert on the long term (several years). Our results bolster Black's intuition that prices tend to be off roughly by...
View ArticleClosed-form Solutions of Relativistic Black-Scholes Equations....
Drawing insights from the triumph of relativistic over classical mechanics when velocities approach the speed of light, we explore a similar improvement to the seminal Black-Scholes (Black and Scholes...
View ArticleFinancial Time Series Prediction Using Deep Learning. (arXiv:1711.04174v1...
In this work we present a data-driven end-to-end Deep Learning approach for time series prediction, applied to financial time series. A Deep Learning scheme is derived to predict the temporal trends of...
View ArticleA simple model for forecasting conditional return distributions....
This paper presents a simple approach to forecasting conditional probability distributions of asset returns. We work with a parsimonious parametrization of ordered binary choice regression that quite...
View ArticleCustomer Selection Model with Grouping and Hierarchical Ranking Analysis....
The purpose of this study was to build a customer selection model based on 20 dimensions, including customer codes, total contribution, assets, deposit, profit, profit rate, trading volume, trading...
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