Portfolio Optimization in Fractional and Rough Heston Models....
We consider a fractional version of the Heston volatility model which is inspired by [16]. Within this model we treat portfolio optimization problems for power utility functions. Using a suitable...
View ArticleExact Solutions for Optimal Investment Strategies and Indifference Prices...
We propose an algorithm to calculate the exact solution for utility optimization problems on finite state spaces under a class of non-differentiable preferences. We prove that optimal strategies must...
View ArticleChange of Measure in the Heston Model given a violated Feller Condition....
When dealing with Heston's stochastic volatility model, the change of measure from the subjective measure P to the objective measure Q is usually investigated under the assumption that the Feller...
View ArticleJensen-Shannon Divergence as a Goodness-of-Fit Measure for Maximum Likelihood...
The coefficient of determination, known as $R^2$, is commonly used as a goodness-of-fit criterion for fitting linear models. $R^2$ is somewhat controversial when fitting nonlinear models, although it...
View ArticleA New Form of Banking - Concept and Mathematical Model of Venture Banking....
This model contains concept, equations, and graphical results for venture banking. A system of 27 equations describes the behavior of the venture-bank and underwriter system allowing phase-space type...
View ArticleInfluence of introducing high speed railways on intercity travel behavior in...
It is one of hottest topics in Vietnam whether to construct a High Speed Rail (HSR) system or not in near future. To analyze the impacts of introducing the HSR on the intercity travel behavior, this...
View ArticlePricing of debt and equity in a financial network with comonotonic...
In this paper we present formulas for the valuation of debt and equity of firms in a financial network under comonotonic endowments. We demonstrate that the comonotonic setting provides a lower bound...
View ArticleThe logic of uncertainty as a logic of experience and chance and the...
The logic of uncertainty is not the logic of experience and as well as it is not the logic of chance. It is the logic of experience and chance. Experience and chance are two inseparable poles. These...
View ArticleDeep Factor Model. (arXiv:1810.01278v1 [q-fin.ST])
We propose to represent a return model and risk model in a unified manner with deep learning, which is a representative model that can express a nonlinear relationship. Although deep learning performs...
View ArticleSelectivity correction in discrete-continuous models for the willingness to...
The objective of this study is to understand the different behavioral considerations that govern the choice of people to engage in a crowd-shipping market. Using novel data collected by the researchers...
View ArticleSemi-supervised Text Regression with Conditional Generative Adversarial...
Enormous online textual information provides intriguing opportunities for understandings of social and economic semantics. In this paper, we propose a novel text regression model based on a conditional...
View ArticleInverse Gaussian quadrature and finite normal-mixture approximation of...
In this study, a numerical quadrature for the generalized inverse Gaussian distribution is derived from the Gauss--Hermite quadrature by exploiting its relationship with the normal distribution. Unlike...
View ArticleFactor endowment--commodity output relationships in a three-factor two-good...
The position of the EWS (economy-wide substitution)-ratio vector determines the Rybczynski sign pattern, which expresses the factor endowment--commodity output relationships, and the Stolper-Samuelson...
View ArticleAuction Theory Extensions for Real Life Applications. (arXiv:1810.01736v1...
We develop extensions to auction theory results that are useful in real life scenarios. 1. Since valuations are generally positive we first develop approximations using the log-normal distribution....
View ArticleDistrict heating systems under high CO2 emission prices: the role of the...
Low CO2 prices have prompted discussion about political measures aimed at increasing the cost of carbon dioxide emissions. These costs affect, inter alia, integrated district heating system operators...
View ArticleAn Efficient Approach for Removing Look-ahead Bias in the Least Square Monte...
The least square Monte Carlo (LSM) algorithm proposed by Longstaff and Schwartz [2001] is the most widely used method for pricing options with early exercise features. The LSM estimator contains...
View ArticleDisability for HIV and Disincentives for Health: The Impact of South Africa's...
South Africa's disability grants program is tied to its HIV/AIDS recovery program, such that individuals who are ill enough may qualify. Qualification is historically tied to a CD4 count of 200...
View ArticleA Machine Learning-based Recommendation System for Swaptions Strategies....
Derivative traders are usually required to scan through hundreds, even thousands of possible trades on a daily basis. Up to now, not a single solution is available to aid in their job. Hence, this work...
View ArticleContemporary facets of business successes among leading companies, operating...
The current article unveils and analyzes some important factors, influencing diversity in strategic decision-making approaches in local companies. Researcher's attention is oriented to survey important...
View ArticleGeert Hofstede et al's set of national cultural dimensions - popularity and...
This article outlines different stages in development of the national culture model, created by Geert Hofstede and his affiliates. This paper reveals and synthesizes the contemporary review of the...
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