Pareto optimal allocations and optimal risk sharing for coherent or convex risk measures as well as for insurance prices have been studied widely in the literature. In particular, Pareto optimal allocations have been characterized by applying inf-convolution of risk measures and convex...

Several exchanges in futures and options deploy pro-rata matching. The executed size of limit orders in pro-rata markets is never certain, unlike in price-time priority matching systems. This article derives the optimal size of limit orders in pro-rata markets given the trader's desired...

Concerns about the fragility of the financial system caused by the OTC derivatives market has encouraged the increased use of counterparty risk mitigation techniques including the use of market compression. In this process groups of market participants share position information via a third...

We present a high-order compact finite difference approach for a rather general class of parabolic partial differential equations with time and space dependent coefficients as well as with mixed second-order derivative terms in n spatial dimensions. Problems of this type arise frequently in...

We study the influence of information about call option prices on model-independent price bounds for exotic derivatives obtained through martingale transport. The considered call option prices and their associated marginal distributions do not correspond to some future maturity on which the...

In this paper, we evaluate American-style, path-dependent derivatives with an artificial intelligence technique. Specifically we use swarm intelligence to find the optimal exercise boundary for an American-style derivative. Swarm intelligence is particularly efficient (computation and accuracy)...