On the Optimal Stopping Problem of Linear Diffusions in Regime-switching...
In this article, a general form of optimal stopping problems in regime-switching models is studied under certain standard assumptions. An optimal stopping problem with an arbitrary value function in...
View ArticleImpact of Cross-Listing Chinese Stock Returns. A and N Shares Rate of Return...
The paper examines the Chinese market reaction to the ADR issue by comparing returns and their stochastic variances of the Chinese firms cross-listed in the U.S. stock market. First, It was implemented...
View ArticleEquivalence Between Time Consistency and Nested Formula. (arXiv:1711.08633v1...
You are a financial analyst. At the beginning of every week, you are able to rank every pair of stochastic processes starting from that week up to the horizon. Suppose that two processes are equal at...
View ArticlePricing Derivatives under Multiple Stochastic Factors by Localized Radial...
We propose two localized Radial Basis Function (RBF) methods, the Radial Basis Function Partition of Unity method (RBF-PUM) and the Radial Basis Function generated Finite Differences method (RBF-FD),...
View ArticleOption pricing for Informed Traders. (arXiv:1711.09445v1 [q-fin.MF])
In this paper we extend the theory of option pricing to take into account and explain the empirical evidence for asset prices such as non-Gaussian returns, long-range dependence, volatility clustering,...
View ArticleOption Pricing with Orthogonal Polynomial Expansions. (arXiv:1711.09193v1...
We derive analytic series representations for European option prices in polynomial stochastic volatility models. This includes the Jacobi, Heston, Stein-Stein, and Hull-White models, for which we...
View ArticleConditional cores and conditional convex hulls of random sets....
We define two non-linear operations with random (not necessarily closed) sets in Banach space: the conditional core and the conditional convex hull. While the first is sublinear, the second one is...
View ArticleOptimal Risk Allocation in Reinsurance Networks. (arXiv:1711.10210v1 [q-fin.RM])
In this paper we consider reinsurance or risk sharing from a macroeconomic point of view. Our aim is to find socially optimal reinsurance treaties. In our setting we assume that there are $n$ insurance...
View ArticleComment on Suzuki's rebuttal of Batra and Casas. (arXiv:1711.10138v1 [q-fin.EC])
Batra and Casas (1976) claimed that 'a strong Rybczynski result' arises in the three-factor two-good general equilibrium trade model. In subsequent comments, Suzuki (1983) contended that this could not...
View ArticleThe energy price - commodity output relationship and the commodity price -...
We analyze how energy price and commodity price affect commodity output in a three-factor, two-good general equilibrium trade model with three factors (capital, labor, and imported energy),...
View ArticleValuing Exchange Options Under an Ornstein-Uhlenbeck Covariance Model....
In this paper we study the pricing of exchange options under a dynamic described by stochastic correlation with random jumps. In particular, we consider a Ornstein-Uhlenbeck covariance model with Levy...
View ArticleDistributions of Historic Market Data - Stock Returns. (arXiv:1711.11003v1...
We show that the moments of the distribution of historic stock returns are in excellent agreement with the Heston model and not with the multiplicative model, which predicts power-law tails of...
View ArticleNotes on Fano Ratio and Portfolio Optimization. (arXiv:1711.10640v1 [q-fin.PM])
We discuss - in what is intended to be a pedagogical fashion - generalized "mean-to-risk" ratios for portfolio optimization. The Sharpe ratio is only one example of such generalized "mean-to-risk"...
View ArticleUsing nonlinear stochastic and deterministic (chaotic tools) to test the EMH...
Utilization of non-linear tools to characterize the state of development of the electricity markets in Italy and Greece. This is equivalent to testing the Efficient Market Hypothesis on these markets....
View ArticleFactor endowment - commodity output relationships in a three-factor, two-good...
We analyze the Rybczynski sign pattern, which expresses the factor endowment - commodity output relationships in a three-factor, two-good general equilibrium trade model. The relationship determines...
View ArticleEmpirical comparison of three models for determining market clearing prices...
Bidders in day-ahead electricity markets want to sell/buy electricity when their bids generate positive surplus and not to take an action when the reverse holds. However, non-convexities in these...
View ArticleBenford's law first significant digit and distribution distances for testing...
We discuss a common suspicion about reported financial data, in 10 industrial sectors of the 6 so called "main developing countries" over the time interval [2000-2014]. These data are examined through...
View ArticleHint of a Universal Law for the Financial Gains of Competitive Sport Teams....
This short note is intended as a "Letter to the Editor" Perspective in order that it serves as a contribution, in view of reaching the physics community caring about rare events and scaling laws and...
View ArticleFluctuation identities with continuous monitoring and their application to...
We present a numerical scheme to calculate fluctuation identities for exponential L\'evy processes in the continuous monitoring case. This includes the Spitzer identities for touching a single upper or...
View ArticleA Short-term Intervention for Long-term Fairness in the Labor Market....
The persistence of racial inequality in the U.S. labor market against a general backdrop of formal equality of opportunity is a troubling phenomenon that has significant ramifications on the design of...
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