In this paper, we present our study on using the GPU to accelerate the computation in pricing financial options. We first introduce the GPU programming and the SABR stochastic volatility model. We then discuss pricing options with quasi-Monte Carlo techniques under the SABR model. In particular,...

In this paper, we present our study on a hybrid stochastic volatility model incorporating local volatility for pricing options in the foreign exchange (FX) market. The hybrid stochastic-local volatility model (SLV) could match the implied volatility surface well and meanwhile shows the...

Mixed individual and group incentives are widely used in practice under the assumption that by incentivizing both, organizations can increase total effort and predictably direct effort. The present paper explores these assumptions under two forms of mixed incentives, one in which incentives are...

In this study, we examine the joint effect of vertical pay dispersion and peer observability on subordinates' misreporting choices. We adopt a participative budgeting setting in which two subordinates report to one superior, and we manipulate vertical pay dispersion (low/high) and peer...

In this paper, we propose a novel investment strategy for portfolio optimization problems. The proposed strategy maximizes the expected portfolio value bounded within a targeted range, composed of a conservative lower target representing a need for capital protection and a desired upper target...

The volatility of concern in conventional volatility-managed strategies such as volatility-targeting strategy and mean-variance optimization is the expected conditional volatility. However for investors, it is the realized volatility that is important, because there is only one realization in...

We present a simulation-and-regression method for solving dynamic portfolio optimization problems in the presence of general transaction costs, liquidity costs and market impact. This method extends the classical least squares Monte Carlo algorithm to incorporate switching costs, corresponding...

In this study, we examine the joint effect of vertical pay dispersion and peer observability on subordinates' misreporting choices. We adopt a participative budgeting setting in which two subordinates report to one superior, and we manipulate vertical pay dispersion (low/high) and peer...