Multi-branched left-sided multifractality and phase transitions in time...
We develop a generalized multifractal analysis based on the Legendre-Fenchel transform instead of the routinely used Legendre transform. We test this analysis for study time series consisting of...
View ArticleCryptocurrencies, Mainstream Asset Classes and Risk Factors - A Study of...
We investigate connectedness within and across two major groups or assets: i) five popular cryptocurrencies, and ii) six major asset classes plus two commonly employed risk factors. Granger-causality...
View ArticleOrder book model with herd behavior exhibiting long-range memory....
In this work, we propose an order book model with herd behavior. The proposed model is built upon two distinct approaches: a recent empirical study of the detailed order book records by Kanazawa et al....
View ArticleSystemic Risk and the Dependence Structures. (arXiv:1809.03425v1 [q-fin.MF])
We propose a dynamic model of dependence structure between financial institutions within a financial system and we construct measures for dependence and financial instability. Employing Markov...
View ArticleColombian export capabilities: building the firms-products network....
In this paper we analyse the bipartite Colombian firms-products network, throughout a period of five years, from 2010 to 2014. Our analysis depicts a strongly modular system, with several groups of...
View ArticleMathematics of Market Microstructure under Asymmetric Information....
These are the lecture notes for the summer course given for 2018 Mathematical Finance Summer School at Shandong Unversity. It contains a brief introduction to the Kyle model and the related topics in...
View ArticleFast calibration of two-factor models for energy option pricing....
Deregulation of energy markets in the 90s boosted the interest in energy derivatives. Over the last two decades, more and more complex financial instruments were developed. Pricing exotic derivatives...
View ArticleLocal Control Regression: Improving the Least Squares Monte Carlo Method for...
The least squares Monte Carlo algorithm has become popular for solving portfolio optimization problems. A simple approach is to approximate the value functions on a discrete grid of portfolio weights,...
View ArticleHyperbolic normal stochastic volatility model. (arXiv:1809.04035v1 [q-fin.MF])
For option pricing models and heavy-tailed distributions, this study proposes a continuous-time stochastic volatility model based on an arithmetic Brownian motion: a one-parameter extension of the...
View ArticleModel Risk Measurement under Wasserstein Distance. (arXiv:1809.03641v1...
The paper proposes a new approach to model risk measurement based on the Wasserstein distance between two probability measures. It formulates the theoretical motivation resulting from the...
View ArticleAn alternative quality of life ranking on the basis of remittances....
Remittances mean an important connection between people working abroad and their home countries. This paper considers them as a measure of preferences revealed by workers, underlying a ranking of...
View ArticleDiversification, Volatility, and Surprising Alpha. (arXiv:1809.03769v1...
It has been widely observed that capitalization-weighted indexes can be beaten by surprisingly simple, systematic investment strategies. Indeed, in the U.S. stock market, equal-weighted portfolios,...
View ArticleCharacteristic-Sorted Portfolios: Estimation and Inference....
Portfolio sorting is ubiquitous in the empirical finance literature, where it has been widely used to identify pricing anomalies. Despite its popularity, little attention has been paid to the...
View ArticleMean-Field Leader-Follower Games with Terminal State Constraint....
We analyze linear McKean-Vlasov forward-backward SDEs arising in leader-follower games with mean-field type control and terminal state constraints on the state process. We establish an existence and...
View ArticleMeasuring Systematic Risk with Neural Network Factor Model....
In this paper, we measure systematic risk with a new nonparametric factor model, the neural network factor model. The suitable factors for systematic risk can be naturally found by inserting daily...
View ArticleSuperstatistics with cut-off tails for financial time series....
Financial time series have been investigated to follow fat-tailed distributions. Further, an empirical probability distribution sometimes shows cut-off shapes on its tails. To describe this stylized...
View ArticlePathwise superhedging on prediction sets. (arXiv:1711.02764v2 [q-fin.MF]...
In this paper we provide a pricing-hedging duality for the model-independent superhedging price with respect to a prediction set $\Xi\subseteq C[0,T]$, where the superhedging property needs to hold...
View ArticleComputing Credit Valuation Adjustment solving coupled PIDEs in the Bates...
Credit value adjustment (CVA) is the charge applied by financial institutions to the counterparty to cover the risk of losses on a counterpart default event. In this paper we estimate such a premium...
View ArticleRandom Fixed Points, Limits and Systemic risk. (arXiv:1809.05243v1 [math.PR])
We consider vector fixed point (FP) equations in large dimensional spaces involving random variables, and study their realization-wise solutions. We have an underlying directed random graph, that...
View ArticleLong-time trajectorial large deviations for affine stochastic volatility...
This work extends the variance reduction method for the pricing of possibly path-dependent derivatives, which was developed in (Genin and Tankov, 2016) for exponential L\'evy models, to affine...
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