Scalar multivariate risk measures with a single eligible asset....
In this paper we present results on scalar risk measures in markets with transaction costs. Such risk measures are defined as the minimal capital requirements in the cash asset. First, some results are...
View ArticleA maximum entropy network reconstruction of macroeconomic models....
In this article the problem of reconstructing the pattern of connection between agents from partial empirical data in a macro-economic model is addressed, given a set of behavioral equations. This...
View ArticleA new and stable algorithm for economic complexity. (arXiv:1807.10276v1...
We present a non-linear non-homogeneous fitness-complexity algorithm where the presence of non homogeneous terms guarantees both convergence and stability. After a suitable rescaling of the relevant...
View ArticleReducing Estimation Risk in Mean-Variance Portfolios with Machine Learning....
In portfolio analysis, the traditional approach of replacing population moments with sample counterparts may lead to suboptimal portfolio choices. I show that optimal portfolio weights can be estimated...
View ArticleA factor-model approach for correlation scenarios and correlation...
In 2012, JPMorgan accumulated a USD 6.2 billion loss on a credit derivatives portfolio, the so-called "London Whale", partly as a consequence of de-correlations of non-perfectly correlated positions...
View ArticleCorrected XVA Modelling Framework and Formulae for KVA and MVA....
We discuss and clarify the XVA modelling framework specified in the paper "MVA by replication and regression" (Risk Magazine, May 2015) for including bilateral credit risk and funding costs in...
View ArticleCombined Mutiplicative-Heston Model for Stochastic Volatility....
We consider a model of stochastic volatility which combines features of the multiplicative model for large volatilities and of the Heston model for small volatilities. The steady-state distribution in...
View ArticleModeling joint probability distribution of yield curve parameters....
US Yield curve has recently collapsed to its most flattened level since subprime crisis and is close to the inversion. This fact has gathered attention of investors around the world and revived the...
View ArticleCo-existence of Trend and Value in Financial Markets: Estimating an Extended...
Trend and Value are pervasive anomalies, common to all financial markets. We address the problem of their co-existence and interaction within the framework of Heterogeneous Agent Based Models (HABM)....
View ArticleToy Model for Large Non-Symmetric Random Matrices. (arXiv:1004.4522v1...
Non-symmetric rectangular correlation matrices occur in many problems in economics. We test the method of extracting statistically meaningful correlations between input and output variables of large...
View ArticleA critique of the econometrics of happiness: Are we underestimating the...
A large "happiness", or life satisfaction, literature in economics makes use of Likert-like scales in assessing survey respondents' cognitive evaluations of their lives. These measures are being used...
View ArticleShortfall Minimization for Game Options in Continuous Time....
We prove existence of a self-financing strategy which minimizes shortfall for game options in discrete time
View ArticlePanel quantile regressions for estimating and predicting the Value--at--Risk...
This paper investigates how realized and option implied volatilities are related to the future quantiles of commodity returns. Whereas realized volatility measures ex-post uncertainty, volatility...
View ArticleExplaining Parochialism: A Causal Account for Political Polarization in...
Political and social polarization are a significant cause of conflict and poor governance in many societies, thus understanding their causes is of considerable importance. Here we demonstrate that...
View ArticleGaussian stochastic volatility models: Large deviation, moderate deviation,...
In this paper, we provide a unified approach to various scaling regimes associated with Gaussian stochastic volatility models. The evolution of volatility in such a model is described by a stochastic...
View ArticleMapping the Privacy-Utility Tradeoff in Mobile Phone Data for Development....
Today's age of data holds high potential to enhance the way we pursue and monitor progress in the fields of development and humanitarian action. We study the relation between data utility and privacy...
View ArticleOptimal model points portfolio in Life Insurance. (arXiv:1808.00866v1...
We consider the problem of seeking an optimal set of model points associated to a fixed portfolio of life insurance policies. Such an optimal set is characterized by minimizing a certain risk...
View ArticleLaw-invariant insurance pricing and its limitations. (arXiv:1808.00821v1...
We show that a law-invariant pricing functional defined on a general Orlicz space is typically incompatible with frictionless risky assets in the sense that one and only one of the following...
View ArticleAsian Option Pricing under Uncertain Volatility Model. (arXiv:1808.00656v1...
In this paper, we study the asymptotic behavior of Asian option prices in the worst case scenario under an uncertain volatility model. We give a procedure to approximate the Asian option prices with a...
View ArticleOptimal Trading with General Signals and Liquidation in Target Zone Models....
We study optimal trading in an Almgren-Chriss model with running and terminal inventory costs and general predictive signals about price changes. As a special case, this allows to treat optimal...
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