Showing 281 - 290 of 5,759
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...
Persistent link: https://www.econbiz.de/10011082325
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...
Persistent link: https://www.econbiz.de/10011082326
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...
Persistent link: https://www.econbiz.de/10011082327
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...
Persistent link: https://www.econbiz.de/10011082328
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...
Persistent link: https://www.econbiz.de/10011082329
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...
Persistent link: https://www.econbiz.de/10011082816
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...
Persistent link: https://www.econbiz.de/10011082817
We establish a stochastic maximum principle (SMP) for control problems of partially observed diffusions of mean-field type with risk-sensitive performance functionals.
Persistent link: https://www.econbiz.de/10011082818
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...
Persistent link: https://www.econbiz.de/10011082819
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...
Persistent link: https://www.econbiz.de/10011082820