Portfolio diversification and model uncertainty: a robust dynamic...
This paper is concerned with a multi-asset mean-variance portfolio selection problem under model uncertainty. We develop a continuous time framework for taking into account ambiguity aversion about...
View ArticleA model for stocks dynamics based on a non-Gaussian path integral....
We introduce a model for the dynamics of stock prices based on a non quadratic path integral. The model is a generalization of Ilinski's path integral model, more precisely we choose a different...
View ArticleMulti-agent Economics and the Emergence of Critical Markets....
The dual crises of the sub-prime mortgage crisis and the global financial crisis has prompted a call for explanations of non-equilibrium market dynamics. Recently a promising approach has been the use...
View ArticleResource and Competence (Internal) View vs. Environment and Market (External)...
Startups is a popular phenomenon that has a significant impact on global economy growth, innovation and society development. However, there is still insufficient understanding about startups,...
View ArticleThe Zumbach effect under rough Heston. (arXiv:1809.02098v1 [q-fin.ST])
Previous literature has identified an effect, dubbed the Zumbach effect, that is nonzero empirically but conjectured to be zero in any conventional stochastic volatility model. Essentially this effect...
View ArticleDiversity and Sparsity: A New Perspective on Index Tracking....
We address the problem of partial index tracking, replicating a benchmark index using a small number of assets. Accurate tracking with a sparse portfolio is extensively studied as a classic finance...
View ArticleMonte Carlo pathwise sensitivities for barrier options. (arXiv:1804.03975v3...
The Monte Carlo pathwise sensitivities approach is well established for smooth payoff functions. In this work, we present a new Monte Carlo algorithm that is able to calculate the pathwise...
View ArticleThe Impact of LIBOR Linked Borrowing to Cover Venture Bank Investment Loans...
A scenario in which regulators take the drastic step of requiring coverage of all venture bank investment loans using interbank borrowed funds is considered. In this scenario, a minimal amount of...
View ArticleSuboptimal Control of Dividends under Exponential Utility....
We consider an insurance company modelling its surplus process by a Brownian motion with drift. Our target is to maximise the expected exponential utility of discounted dividend payments, given that...
View ArticleContinuous viscosity solutions to linear-quadratic stochastic control...
This paper establishes the existence of a unique nonnegative continuous viscosity solution to the HJB equation associated with a Markovian linear-quadratic control problems with singular terminal state...
View ArticleSion's mini-max theorem and Nash equilibrium in a five-players game with two...
We consider the relation between Sion's minimax theorem for a continuous function and a Nash equilibrium in a five-players game with two groups which is zero-sum and symmetric in each group. We will...
View ArticleNash equilibrium of partially asymmetric three-players zero-sum game with two...
We consider a partially asymmetric three-players zero-sum game with two strategic variables. Two players (A and B) have the same payoff functions, and Player C does not. Two strategic variables are...
View ArticleApplying Deep Learning to Derivatives Valuation. (arXiv:1809.02233v1 [q-fin.CP])
The universal approximation theorem of artificial neural networks states that a forward feed network with a single hidden layer can approximate any continuous function, given a finite number of hidden...
View ArticleDealing with the Dimensionality Curse in Dynamic Pricing Competition: Using...
Most sales applications are characterized by competition and limited demand information. For successful pricing strategies, frequent price adjustments as well as anticipation of market dynamics are...
View ArticleA proof that artificial neural networks overcome the curse of dimensionality...
Artificial neural networks (ANNs) have very successfully been used in numerical simulations for a series of computational problems ranging from image classification/image recognition, speech...
View ArticleGeneralizing Geometric Brownian Motion. (arXiv:1809.02245v1 [q-fin.MF])
To convert standard Brownian motion $Z$ into a positive process, Geometric Brownian motion (GBM) $e^{\beta Z_t}, \beta >0$ is widely used. We generalize this positive process by introducing an...
View ArticleThe Ladder Theory of Behavioral Decision Making. (arXiv:1809.03442v1 [econ.GN])
We study individual decision-making behavioral on generic view. Using a formal mathematical model, we investigate the action mechanism of decision behavioral under subjective perception changing of...
View ArticleA stochastic game and stochastic free boundary problem. (arXiv:1809.03459v1...
In this paper, we propose and analyze a class of stochastic $N$-player games where the original one player game is a two-dimensional stochastic control problem. Three different constraints are...
View ArticlePricing the Aunt Michaela Option with a Modified Black-Scholes Equation with...
Using Maple, we compute a new exact series solution of a modified Black-Scholes equation, recently proposed, for the case of the Aunt Michaela option with a maturity condition of gamma type. We show...
View ArticleWorldcoin: A Hypothetical Cryptocurrency for the People and its Government....
The world of cryptocurrency is not transparent enough though it was established for innate transparent tracking of capital flows. The most contributing factor is the violation of securities laws and...
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