Systemic Greeks: Measuring risk in financial networks. (arXiv:1810.11849v1...
Since the latest financial crisis, the idea of systemic risk has received considerable interest. In particular, contagion effects arising from cross-holdings between interconnected financial firms have...
View ArticleExpected Utility Maximization and Conditional Value-at-Risk Deviation-based...
In this paper we investigate the expected terminal utility maximization approach for a dynamic stochastic portfolio optimization problem. We solve it numerically by solving an evolutionary...
View ArticleAsymmetric Connectedness of Fears in the U.S. Financial Sector....
We study how shocks to the forward-looking expectations of investors buying call and put options transmit across the financial system. We introduce a new contagion measure, called asymmetric fear...
View ArticleIntraday Seasonalities and Nonstationarity of Trading Volume in Financial...
We study the intraday behaviour of the statistical moments of the trading volume of the blue chip equities that composed the Dow Jones Industrial Average index between 2003 and 2014. By splitting that...
View ArticleEconomic Impact of Wind Generation Penetration in the Colombian Electricity...
The creation of the Renewable Energy Law (Law 1715 of 2014) promotes the introduction of large-scale renewable energy generation in the Colombian electricity market. The new legislation aims to...
View ArticleOptimal Execution Strategy Under Price and Volume Uncertainty....
In the seminal paper on optimal execution of portfolio transactions, Almgren and Chriss define the optimal trading strategy to liquidate a fixed volume of a single security under price uncertainty. Yet...
View ArticleOptimal Incentive Contract with Endogenous Monitoring Technology....
Recent technology advances have given firms the flexibility to process and analyze sophisticated employee performance data at a reduced and yet significant cost. We develop a theory of optimal...
View ArticleIntermediated Implementation. (arXiv:1810.11475v1 [econ.TH])
Many real-world problems such as sales and healthcare regulation involve a principal, multiple intermediaries, and agents with hidden characteristics. In these problems, intermediaries compete through...
View ArticleOption market (in)efficiency and implied volatility dynamics after return...
In informationally efficient financial markets, option prices and this implied volatility should immediately be adjusted to new information that arrives along with a jump in underlying's return,...
View ArticleLog-optimal portfolio and num\'eraire portfolio under random horizon....
This paper considers an initial market model, specified by the pair $(S,\mathbb F)$ where $S$ is its discounted assets' price process and $\mathbb F$ its flow of information, and an arbitrary random...
View ArticleExplicit description of all deflators for markets under random horizon....
This paper considers an initial market model, specified by its underlying assets $S$ and its flow of information $\mathbb F$, and an arbitrary random time $\tau$ which might not be an $\mathbb...
View ArticleAsset Price Distributions and Efficient Markets. (arXiv:1810.12840v1 [q-fin.PM])
We explore a decomposition in which returns on a large class of portfolios relative to the market depend on a smooth non-negative drift and changes in the asset price distribution. This decomposition...
View ArticleA Community Microgrid Architecture with an Internal Local Market....
This work fits in the context of community microgrids, where entities of a community can exchange energy and services among themselves, without going through the usual channels of the public...
View ArticleSystemic risk assessment through high order clustering coefficient....
In this article we propose a novel measure of systemic risk in the context of financial networks. To this aim, we provide a definition of systemic risk which is based on the structure, developed at...
View ArticleHigh-order compact finite difference scheme for option pricing in stochastic...
We extend the scheme developed in B. D\"uring, A. Pitkin, "High-order compact finite difference scheme for option pricing in stochastic volatility jump models", 2017, to the so-called stochastic...
View ArticleNighttime Light, Superlinear Growth, and Economic Inequalities at the Country...
Research has highlighted relationships between size and scaled growth across a large variety of biological and social organisms, ranging from bacteria, through animals and plants, to cities an...
View ArticleAn empirical study of the behaviour of the sample kurtosis in samples from...
Kurtosis is seen as a measure of the discrepancy between the observed data and a Gaussian distribution. In this work an empirical study is conducted to investigate the behaviour of the sample estimate...
View ArticleAffine Jump-Diffusions: Stochastic Stability and Limit Theorems....
Affine jump-diffusions constitute a large class of continuous-time stochastic models that are particularly popular in finance and economics due to their analytical tractability. Methods for parameter...
View ArticleRobust risk aggregation with neural networks. (arXiv:1811.00304v1 [q-fin.MF])
We consider settings in which the distribution of a multivariate random variable is partly ambiguous. We assume the ambiguity lies on the level of dependence structure, and that the marginal...
View ArticlePrecise asymptotics: robust stochastic volatility models. (arXiv:1811.00267v1...
We present a new methodology to analyze large classes of (classical and rough) stochastic volatility models, with special regard to short-time and small noise formulae for option prices. Our main tool...
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