Numerical analysis on quadratic hedging strategies for normal inverse...
The authors aim to develop numerical schemes of the two representative quadratic hedging strategies: locally risk minimizing and mean-variance hedging strategies, for models whose asset price process...
View ArticleThe Stretch to Stray on Time: Resonant Length of Random Walks in a Transien....
First-passage times in random walks have a vast number of diverse applications in physics, chemistry, biology, and finance. In general, environmental conditions for a stochastic process are not...
View ArticleA First Option Calibration of the GARCH Diffusion Model by a PDE Method....
Time-series calibrations often suggest that the GARCH diffusion model could also be a suitable candidate for option (risk-neutral) calibration. But unlike the popular Heston model, it lacks a fast,...
View ArticleThe QLBS Q-Learner Goes NuQLear: Fitted Q Iteration, Inverse RL, and Option...
The QLBS model is a discrete-time option hedging and pricing model that is based on Dynamic Programming (DP) and Reinforcement Learning (RL). It combines the famous Q-Learning method for RL with the...
View ArticleA closed-form formula for pricing bonds between coupon payments....
We derive a closed-form formula for computing bond prices between coupon payments. Our results cover both the `Treasury' and the `Street' pricing methods used by sovereign and corporate issuers. We...
View ArticleLarge-Scale Simulation of Multi-Asset Ising Financial Markets....
We perform a large-scale simulation of an Ising-based financial market model that includes 300 asset time series. The financial system simulated by the model shows a fat-tailed return distribution and...
View ArticleErgodic robust maximization of asymptotic growth. (arXiv:1801.06425v1...
We consider the problem of robustly maximizing the growth rate of investor wealth in the presence of model uncertainty. Possible models are all those under which the assets' region $E$ and...
View ArticleAffine forward variance models. (arXiv:1801.06416v1 [q-fin.MF])
We introduce the class of affine forward variance (AFV) models of which both the conventional Heston model and the rough Heston model are special cases. We show that AFV models can be characterized by...
View ArticlePredicting crypto-currencies using sparse non-Gaussian state space models....
In this paper we forecast daily returns of crypto-currencies using a wide variety of different econometric models. To capture salient features commonly observed in financial time series like rapid...
View ArticleCharacterization of catastrophic instabilities: Market crashes as paradigm....
Catastrophic events, though rare, do occur and when they occur, they have devastating effects. It is, therefore, of utmost importance to understand the complexity of the underlying dynamics and...
View ArticleQuantization Under the Real-world Measure: Fast and Accurate Valuation of...
This paper provides a methodology for fast and accurate pricing of the long-dated contracts that arise as the building blocks of insurance and pension fund agreements. It applies the recursive marginal...
View ArticleAccurate Evaluation of Asset Pricing Under Uncertainty and Ambiguity of...
Since exchange economy considerably varies in the market assets, asset prices have become an attractive research area for investigating and modeling ambiguous and uncertain information in today...
View ArticleRanking Causal Influence of Financial Markets via Directed Information...
A non-parametric method for ranking stock indices according to their mutual causal influences is presented. Under the assumption that indices reflect the underlying economy of a country, such a ranking...
View ArticleTesting the Number of Regimes in Markov Regime Switching Models....
Markov regime switching models have been used in numerous empirical studies in economics and finance. However, the asymptotic distribution of the likelihood ratio test statistic for testing the number...
View ArticleOn Utility Maximisation Under Model Uncertainty in Discrete-Time Markets....
We study the problem of maximising terminal utility for an agent facing model uncertainty, in a frictionless discrete-time market consisting of one safe asset and finitely many risky assets. We show...
View ArticleAt What Frequency Should the Kelly Bettor Bet?. (arXiv:1801.06737v1 [math.OC])
We study the problem of optimizing the betting frequency in a dynamic game setting using Kelly's celebrated expected logarithmic growth criterion as the performance metric. The game is defined by a...
View ArticleA Second Order Cumulant Spectrum Based Test for Strict Stationarity....
This article develops a statistical test for the null hypothesis of strict stationarity of a discrete time stochastic process. When the null hypothesis is true, the second order cumulant spectrum is...
View ArticleCapital Structure in U.S., a Quantile Regression Approach with Macroeconomic...
The major perspective of this paper is to provide more evidence into the empirical determinants of capital structure adjustment in different macroeconomics states by focusing and discussing the...
View ArticleModelo de maturidade em gerenciamento de riscos em projetos (Project Risk...
The globalization feeded by the technology explosion that begans in the end of the last century, started the world to change faster every day. The only today's certain is the tomorrow's uncertain. Risk...
View ArticleUSDA Forecasts: A meta-analysis study. (arXiv:1801.06575v1 [econ.EM])
The primary goal of this study is doing a meta-analysis research on two groups of published studies. First, the ones that focus on the evaluation of the United States Department of Agriculture (USDA)...
View Article