Bank Panics and Fire Sales, Insolvency and Illiquidity. (arXiv:1711.05289v1...
Banking system crises are complex events that in a short span of time can inflict extensive damage to banks themselves and to the external economy. The crisis literature has so far identified a number...
View ArticleNonlinear dependencies on Brazilian equity network from mutual information...
Mutual information minimum spanning trees are used to explore nonlinear dependencies on Brazilian equity network in the periods from June 2015 to January 2016 and from January 2016 to September 2016,...
View ArticleRich or poor: Who should pay higher tax rates?. (arXiv:1711.06164v1 [q-fin.GN])
A dynamic agent model is introduced with an annual random wealth multiplicative process followed by taxes paid according to a linear wealth-dependent tax rate. If poor agents pay higher tax rates than...
View ArticleIdentifying the community structure of the international food-trade multi...
Achieving international food security requires improved understanding of how international trade networks connect countries around the world through the import-export flows of food commodities. The...
View ArticleSparse Bayesian time-varying covariance estimation in many dimensions....
We address the curse of dimensionality in dynamic covariance estimation by modeling the underlying co-volatility dynamics of a time series vector through latent time-varying stochastic factors. The use...
View ArticleCalibration of Distributionally Robust Empirical Optimization Models....
In this paper, we study the out-of-sample properties of robust empirical optimization and develop a theory for data-driven calibration of the robustness parameter for worst-case maximization problems...
View ArticleRobust bounds for the American Put. (arXiv:1711.06466v1 [q-fin.MF])
We consider the problem of finding a model-free upper bound on the price of an American put given the prices of a family of European puts on the same underlying asset. Specifically we assume that the...
View ArticleMulti-objective risk-averse two-stage stochastic programming problems....
We consider a multi-objective risk-averse two-stage stochastic programming problem with a multivariate convex risk measure. We suggest a convex vector optimization formulation with set-valued...
View ArticleAsymptotic Analysis for Spectral Risk Measures Parameterized by Confidence...
We study the asymptotic behavior of the difference $\Delta \rho ^{X, Y}_\alpha := \rho _\alpha (X + Y) - \rho _\alpha (X)$ as $\alpha \rightarrow 1$, where $\rho_\alpha $ is a risk measure equipped...
View ArticleQuantum Duality in Mathematical Finance. (arXiv:1711.07279v1 [q-fin.MF])
Mathematical finance explores the consistency relationships between the prices of securities imposed by elementary economic principles. Commonplace among these are replicability and the absence of...
View ArticleInfluence of jump-at-default in IR and FX on Quanto CDS prices....
We propose a new model for pricing Quanto CDS and risky bonds. The model operates with four stochastic factors, namely: hazard rate, foreign exchange rate, domestic interest rate, and foreign interest...
View ArticleStrict Local Martingales and Optimal Investment in a Black-Scholes Model with...
There are two major streams of literature on the modeling of financial bubbles: the strict local martingale framework and the Johansen-Ledoit-Sornette (JLS) financial bubble model. Based on a class of...
View ArticlePrice Optimisation for New Business. (arXiv:1711.07753v1 [q-fin.CP])
This contribution is concerned with price optimisation of the new business for a non-life product. Due to high competition in the insurance market, non-life insurers are interested in increasing their...
View ArticleA New Approach for Solving the Market Clearing Problem With Uniform Purchase...
The European market clearing problem is characterized by a set of heterogeneous orders and rules that force the implementation of heuristic and iterative solving methods. In particular, curtailable...
View ArticleCorporate payments networks and credit risk rating. (arXiv:1711.07677v1 [cs.SI])
Understanding the structure of interactions between corporate firms is critical to identify risk concentration and the possible pathways of propagation of financial distress. In this paper we consider...
View ArticleStatistical properties of market collective responses. (arXiv:1711.07630v1...
We empirically analyze the price and liquidity responses to trade signs, traded volumes and signed traded volumes. Utilizing the singular value decomposition, we explore the interconnections of price...
View ArticleValuation of equity warrants for uncertain financial market....
In this paper, within the framework of uncertainty theory, the valuation of equity warrants is investigated. Different from the methods of probability theory, the equity warrants pricing problem is...
View ArticleAsymmetric return rates and wealth distribution influenced by the...
Behavioral Finance has become a challenge to the scientific community. Based on the assumption that behavioral aspects of investors may explain some features of the Stock Market, we propose an agent...
View ArticleA New Interpretation of the Economic Complexity Index. (arXiv:1711.08245v1...
The Economic Complexity Index (ECI) introduced by Hidalgo and Hausmann (2009) has been successful in explaining differences in GDP/capita and economic growth across countries. There has been confusion,...
View ArticlePolynomial Jump-Diffusion Models. (arXiv:1711.08043v1 [q-fin.MF])
We develop a comprehensive mathematical framework for polynomial jump-diffusions, which nest affine jump-diffusions and have broad applications in finance. We show that the polynomial property is...
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