Sheen S. Levine, Trish Gorman, and Michael J. Prietula study how corporate performance is affected by peer-to-peer sharing, instances when people supplement their knowledge by interacting with others. Popular wisdom holds that such interaction benefits performance unequivocally, but the authors...

This paper tests whether the economic interpretation of risk contributions, as measure by marginal change in volatility, is true when accounting for fat tails in the asset return distributions (Qian, 2006). This is relevant to portfolio managers that have an expectation that risk and loss...

In this article, we show how to calculate the conditional and transition probabilities of any SDE between two different points across time only from the knowledge of their marginal probabilities on these two time grids. Briefly, we construct CDF-Equivalent standard Brownian motion grids from the...

We derive representations for forward sensitivities (also known as future sensitivities) in a Monte-Carlo simulation suitable for backward and forward differentiation. We compare the performance of the two approaches.The calculation of all forward sensitivities of a Monte-Carlo simulation with n...

In this paper we present various methods for fast and accurate calculation of margin valuation adjustments (MVA). We consider the calculation of an MVA using sensitivities for the determination of the initial margin and consider the IDSA SIMM (ISDA Standard Initial Margin Model) as a...

A data-cloning SMC² maximum likelihood estimation algorithm is proposed as a general-purpose optimization routine for models with latent variables. Our algorithm first marginalizes out latent variables by applying one layer of SMC at a fixed parameter value, and then estimates the model...

This paper sets forth a novel approach to calculate the levelized cost of electricity (LCOE) using a probabilistic model that accounts for endogenous input parameters. The approach is applied to the example of a nuclear and gas power project. Monte Carlo simulation results show that a...

This paper is concerned with reconstructing weighted directed networks from the total in- and out-weight of each node. This problem arises for example in the analysis of systemic risk of partially observed financial networks. Typically a wide range of networks is consistent with this partial...

The paper proposes a new Monte-Carlo simulator combining the advantages of Sequential Monte Carlo simulators and Hamiltonian Monte Carlo simulators. The result is a method that is robust to multimodality and complex shapes to use for inference in presence of difficult likelihoods or target...

In this paper we test whether investors are uncertainty averse during a real-life trading process in the foreign exchange market. We do this through an agent-based model in which fundamentalist and chartist beliefs of the exchange rate are allowed to be either uncertainty neutral or uncertainty...