Lee-Carter method for forecasting mortality for Peruvian Population....
In this article, we have modeled mortality rates of Peruvian female and male populations during the period of 1950-2017 using the Lee-Carter (LC) model. The stochastic mortality model was introduced by...
View ArticleRepresentation Results for Law Invariant Recursive Dynamic Deviation Measures...
In this paper we analyze a dynamic recursive extension (as developed in Pistorius and Stadje (2017)) of the (static) notion of a deviation measure and its properties. We study distribution invariant...
View ArticleThe implied longevity curve: How long does the market think you are going to...
We use life annuity prices to extract information about human longevity using a framework that links the term structure of mortality and interest rates. We invert the model and perform nonlinear least...
View ArticleRetirement spending and biological age. (arXiv:1811.09921v1 [q-fin.MF])
We solve a lifecycle model in which the consumer's chronological age does not move in lockstep with calendar time. Instead, biological age increases at a stochastic non-linear rate in time like a...
View ArticleRobust Classification of Financial Risk. (arXiv:1811.11079v1 [stat.ML])
Algorithms are increasingly common components of high-impact decision-making, and a growing body of literature on adversarial examples in laboratory settings indicates that standard machine learning...
View ArticleAnalysis of the problem of intervention control in the economy on the basis...
The paper proposes a new stochastic intervention control model conducted in various commodity and stock markets. The essence of the phenomenon of intervention is described in accordance with current...
View ArticleOn the martingale property in the rough Bergomi model. (arXiv:1811.10935v1...
We consider a class of fractional stochastic volatility models (including the so-called rough Bergomi model), where the volatility is a superlinear function of a fractional Gaussian process. We show...
View ArticleA Game of Martingales. (arXiv:1811.11664v1 [math.PR])
We consider a two player dynamic game played over $T \leq \infty$ periods. In each period each player chooses any probability distribution with support on $[0, 1]$ with a given mean, where the mean is...
View ArticleModelling Social Evolutionary Processes and Peer Effects in Agricultural...
Understanding market participants' channel choices is important to policy makers because it yields information on which channels are effective in transmitting information. These channel choices are the...
View ArticleProspective strict no-arbitrage and the fundamental theorem of asset pricing...
In discrete time markets with proportional transaction costs, Schachermayer (2004) shows that robust no-arbitrage is equivalent to the existence of a strictly consistent price system. read more...
View ArticleOption Pricing in a Regime Switching Jump Diffusion Model....
This paper presents the solution to a European option pricing problem by considering a regime-switching jump diffusion model of the underlying financial asset price dynamics. The regimes are assumed to...
View ArticleCalculating CVaR and bPOE for Common Probability Distributions With...
Conditional Value-at-Risk (CVaR) and Value-at-Risk (VaR), also called the superquantile and quantile, are frequently used to characterize the tails of probability distribution's and are popular...
View ArticleLagged correlation-based deep learning for directional trend change...
Trend change prediction in complex systems with a large number of noisy time series is a problem with many applications for real-world phenomena, with stock markets as a notoriously difficult to...
View ArticleStatic vs Adaptive Strategies for Optimal Execution with Signals....
We consider an optimal execution problem in which a trader is looking at a short-term price predictive signal while trading. In the case where the trader is creating an instantaneous market impact, we...
View ArticleSwimming with Wealthy Sharks: Longevity, Volatility and the Value of Risk...
Who {\em values} life annuities more? Is it the healthy retiree who expects to live long and might become a centenarian, or is the unhealthy retiree with a short life expectancy more likely to...
View ArticleUniqueness for contagious McKean--Vlasov systems in the weak feedback regime....
We present a simple uniqueness argument for a collection of McKean-Vlasov problems that have seen recent interest. Our first result shows that, in the weak feedback regime, there is global uniqueness...
View ArticleAsymptotic distribution of capital in a model of an investment market with...
We consider a stochastic game-theoretic model of an investment market in continuous time where investors compete for dividend income from several assets. Asset prices are determined endogenously from...
View ArticleLimits to Arbitrage in Markets with Stochastic Settlement Latency....
Distributed ledger technologies rely on consensus protocols confronting traders with random waiting times until the transfer of ownership is accomplished. This time-consuming settlement process exposes...
View ArticlePT Symmetry, Non-Gaussian Path Integrals, and the Quantum Black-Scholes...
The Accardi-Boukas quantum Black-Scholes framework, provides a means by which one can apply the Hudson-Parthasarathy quantum stochastic calculus to problems in finance. Solutions to these equations can...
View ArticleOptimal Resource Allocation over Networks via Lottery-Based Mechanisms....
We show that, in a resource allocation problem, the ex ante aggregate utility of players with cumulative-prospect-theoretic preferences can be increased over deterministic allocations by implementing...
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