Here we present an application of two maxentropic procedures to determine the probability density distribution of compound sums of random variables, using only a finite number of empirically determined fractional moments. The two methods are the Standard method of Maximum Entropy (SME), and the...

The structural default model of Lipton and Sepp, 2009 is generalized for a set of banks with mutual interbank liabilities whose assets are driven by correlated Levy processes with idiosyncratic and common components. The multi-dimensional problem is made tractable via a novel computational...

The purpose of this paper is to establish a robust representation theorem for conditional risk measures by using a module-based convex analysis, where risk measures are defined on a $L^\infty$-type module. We define and study a Fatou property for this kind of risk measures, which is a...

The call auction is a widely used trading mechanism, especially during the opening and closing periods of financial markets. In this paper, we study a standard call auction problem where orders are submitted according to Poisson processes, with random prices distributed according to a general...

In Bender and Dokuchaev (2013), we studied a control problem related to swing option pricing in a general non-Markovian setting. The main result there shows that the value process of this control problem can be uniquely characterized in terms of a first order backward SPDE and a pathwise...

At the heart of technology transitions lie complex processes of social and industrial dynamics. The quantitative study of sustainability transitions requires modelling work, which necessitates a theory of technology substitution. Many, if not most, contemporary modelling approaches for future...

We examine the possibility of incorporating information or views of market movements during the holding period of a portfolio, in the hedging of European options with respect to the underlying. Given a holding period interval that is bounded below, we explore whether it is possible to adjust the...

We establish a stochastic maximum principle (SMP) for control problems of partially observed diffusions of mean-field type with risk-sensitive performance functionals.

We introduce a simple stochastic volatility model, which takes into account hitting times of the asset price, and study the optimal stopping problem corresponding to a put option whose time horizon (after the asset price hits a certain level) is exponentially distributed. We obtain explicit...

In stochastic portfolio theory, a relative arbitrage is an equity portfolio which is guaranteed to outperform a benchmark portfolio over a finite horizon. When the market is diverse and sufficiently volatile, and the benchmark is the market or a buy-and-hold portfolio, functionally generated...