Gaussian Approximation of a Risk Model with Stationary Hawkes Arrivals of...
We consider a classical risk process with arrival of claims following a stationary Hawkes process. We study the asymptotic regime when the premium rate and the baseline intensity of the claims arrival...
View ArticleAlonso and the Scaling of Urban Profiles. (arXiv:1801.07512v1 [physics.soc-ph])
The scaling of urban characteristics with total population has become an important research field since one needs to better understand the challenges of urban densification. Yet urban scaling research...
View ArticleCapital allocation under Fundamental Review of Trading Book....
The Fundamental Review of Trading Book (FRTB) from the Basel Committee overhauls the regulatory framework for minimum capital requirements for market risk. Facing the tightened regulation, banks need...
View ArticleNumeraire markets. (arXiv:1801.07309v1 [q-fin.MF])
In a stock market, the numeraire portfolio, if it exists, is the portfolio with the highest expected logarithmic growth rate at all times. A numeraire market is a stock market for which the market...
View ArticleFinancial density forecasts: A comprehensive comparison of risk-neutral and...
We investigate the forecasting ability of the most commonly used benchmarks in financial economics. We approach the usual caveats of probabilistic forecasts studies -small samples, limited models and...
View ArticleStock returns forecast: an examination by means of Artificial Neural...
The validity of the Efficient Market Hypothesis has been under severe scrutiny since several decades. However, the evidence against it is not conclusive. Artificial Neural Networks provide a model-free...
View ArticleSpurious seasonality detection: a non-parametric test proposal....
This paper offers a general and comprehensive definition of the day-of-the-week effect. Using symbolic dynamics, we develop a unique test based on ordinal patterns in order to detect it. This test...
View ArticleGeneralised Lyapunov Functions and Functionally Generated Trading Strategies....
This paper investigates the dependence of functional portfolio generation, introduced by Fernholz (1999), on an extra finite variation process. The framework of Karatzas and Ruf (2017) is used to...
View ArticleProtecting Target Zone Currency Markets from Speculative Investors....
We consider a stochastic game between a trader and the central bank on target zone markets. In this type of markets the price process is modeled as a diffusion which is reflected at one or more...
View ArticleValuation of Currency Options in Markets with a Crunch. (arXiv:1801.08346v1...
This work studies the valuation of currency options in markets suffering from a financial crisis. We consider a European option where the underlying asset is a foreign currency. We assume that the...
View ArticleA Hilbert Space of Stationary Ergodic Processes. (arXiv:1801.08256v1 [stat.ML])
Identifying meaningful signal buried in noise is a problem of interest arising in diverse scenarios of data-driven modeling. We present here a theoretical framework for exploiting intrinsic geometry in...
View ArticleA bright future for financial agent-based models. (arXiv:1801.08222v1...
The history of research in finance and economics has been widely impacted by the field of Agent-based Computational Economics (ACE). While at the same time being popular among natural science...
View ArticleTarget volatility option pricing in lognormal fractional SABR model....
We examine in this article the pricing of target volatility options in the lognormal fractional SABR model. A decomposition formula by Ito's calculus yields a theoretical replicating strategy for the...
View ArticleParameter Estimation for Weak Variance-Alpha-Gamma Processes....
The weak variance-alpha-gamma process is a multivariate L\'evy process constructed by weakly subordinating Brownian motion, possibly with correlated components with an alpha-gamma subordinator. It...
View ArticleRational Models for Inflation-Linked Derivatives. (arXiv:1801.08804v1...
We construct models for the pricing and risk management of inflation-linked derivatives. The model is rational in the sense that affine payoffs written on the consumer price index have prices that are...
View ArticleShort-term at-the-money asymptotics under stochastic volatility models....
A small-time Edgeworth expansion of the density of an asset price is given under a general stochastic volatility model, from which asymptotic expansions of put option prices and at-the-money implied...
View ArticleMoment Explosions in the Rough Heston Model. (arXiv:1801.09458v1 [q-fin.MF])
We show that the moment explosion time in the rough Heston model [El Euch, Rosenbaum 2016, arxiv:1609.02108] is finite if and only if it is finite for the classical Heston model. Upper and lower bounds...
View ArticleFirst Passage Time for Tempered Stable Process and Its Application to...
In this paper, we will discuss an approximation of the characteristic function of the first passage time for a Levy process using the martingale approach. The characteristic function of the first...
View ArticleA representative agent model based on risk-neutral prices....
In this paper, we determine a representative agent model based on risk-neutral information. The main idea is that the pricing kernel is transition independent, which is supported by the well-known...
View ArticleOn a capital allocation principle coherent with the Solvency 2 standard...
Solvency II Directive 2009/138/EC requires an insurance and reinsurance undertakings assessment of a Solvency Capital Requirement by means of the so-called "Standard Formula" or by means of partial or...
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