A note on representation of BSDE-based dynamic risk measures and dynamic...
In this paper, we provide a representation theorem for dynamic capital allocation under It{\^o}-L{\'e}vy model. We consider the representation of dynamic risk measures defined under Backward Stochastic...
View ArticleRisk-based optimal portfolio of an insurer with regime switching and noisy...
In this paper, we consider a risk-based optimal investment problem of an insurer in a regime-switching jump diffusion model with noisy memory. Using the model uncertainty modeling, we formulate the...
View ArticleDynamic Advisor-Based Ensemble (dynABE): Case Study in Stock Trend Prediction...
The demand for metals by modern technology has been shifting from common base metals to a variety of minor metals, such as cobalt or indium. The industrial importance and limited geological...
View ArticleInventory Management for High-Frequency Trading with Imperfect Competition....
We study Nash equilibria for inventory-averse high-frequency traders (HFTs), who trade to exploit information about future price changes. For discrete trading rounds, the HFTs' optimal trading...
View ArticleBrexit: The Belated Threat. (arXiv:1808.05142v1 [econ.GN])
Debates on an EU-leaving referendum arose in several member states after Brexit. We want to highlight how the exit of an additional country affects the power distribution in the Council of the European...
View ArticleGame-theoretic dynamic investment model with incomplete information: futures...
Over the past few years, the futures market has been successfully developing in the North-West region. Futures markets are one of the most effective and liquid-visible trading mechanisms. A large...
View ArticleRobust XVA. (arXiv:1808.04908v1 [q-fin.PR])
We introduce an arbitrage-free framework for robust valuation adjustments. An investor trades a credit default swap portfolio with a defaultable counterparty, but has incomplete information about her...
View ArticleDeep Learning for Energy Markets. (arXiv:1808.05527v1 [stat.ML])
Deep Learning (DL) provides a methodology to predict extreme loads observed in energy grids. Forecasting energy loads and prices is challenging due to sharp peaks and troughs that arise from intraday...
View ArticleSemi-analytical solution of a McKean-Vlasov equation with feedback through...
In this paper, we study the non-linear diffusion equation associated with a particle system where the common drift depends on the rate of absorption of particles at a boundary. We provide an...
View ArticleSINH-acceleration: efficient evaluation of probability distributions, option...
Characteristic functions of several popular classes of distributions and processes admit analytic continuation into unions of strips and open coni around $\mathbb{R}\subset \mathbb{C}$. The Fourier...
View ArticleA New Nonparametric Estimate of the Risk-Neutral Density with Application to...
In this paper, we develop a new nonparametric approach for estimating the risk-neutral density of asset price and reformulate its estimation into a double-constrained optimization problem. We implement...
View ArticleA High Order Method for Pricing of Financial Derivatives using Radial Basis...
In this paper, we consider the numerical pricing of financial derivatives using Radial Basis Function generated Finite Differences in space. Such discretization methods have the advantage of not...
View ArticleExploring how innovation strategies at time of crisis influence performance:...
This paper analyzes the connection between innovation activities of companies -- implemented before crisis -- and their performance -- measured at time of crisis. The companies listed in the STAR...
View ArticleA unified Framework for Robust Modelling of Financial Markets in discrete...
We unify and establish equivalence between pathwise and quasi-sure approaches to robust modelling of financial markets in discrete time. In particular, we prove a Fundamental Theorem of Asset Pricing...
View ArticleMining Illegal Insider Trading of Stocks: A Proactive Approach....
Illegal insider trading of stocks is based on releasing non-public information (e.g., new product launch, quarterly financial report, acquisition or merger plan) before the information is made public....
View ArticleLoss Data Analytics. (arXiv:1808.06718v1 [q-fin.RM])
Loss Data Analytics is an interactive, online, freely available text. The idea behind the name Loss Data Analytics is to integrate classical loss data models from applied probability with modern...
View ArticleOptimal asset allocation for a DC plan with partial information under...
We study an asset allocation stochastic problem with restriction for a defined-contribution pension plan during the accumulation phase. We consider a financial market with stochastic interest rate,...
View ArticleLimit order books, diffusion approximations and reflected SPDEs: from...
Motivated by a zero-intelligence approach, the aim of this paper is to connect the microscopic (discrete price and volume), mesoscopic (discrete price and continuous volume) and macroscopic (continuous...
View ArticleScenario-based Risk Evaluation. (arXiv:1808.07339v1 [q-fin.MF])
Risk measures such as Expected Shortfall (ES) and Value-at-Risk (VaR) have been prominent in banking regulation and financial risk management. Motivated by practical considerations in the assessment...
View ArticleVoting power of political parties in the Senate of Chile during the whole...
The binomial system is an electoral system unique in the world. It was used to elect the senators and deputies of Chile during 27 years, from the return of democracy in 1990 until 2017. In this paper...
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