Funding is a cost to trading desks that they see as an input. Current FVA-related literature reflects this by also taking funding costs as an input, usually constant, and always risk-neutral. However, this funding curve is the output from a Treasury point of view. Treasury must consider...

Despite a culture of innovation, the U.S. health care system has been markedly deficient in its implementation of information technology (IT). Although recent initiatives have endeavored to remedy this shortcoming, fragmentation, high costs, information asymmetries, and evolving regulatory...

In this paper, we extend the popular Barndorff-Nielsen Shephard stochastic volatility model to the case of a pure-jump Ornstein-Uhlenbeck equation with non-vanishing stochastic mean-reversion level. Based on this setup, we derive representations for the squared VIX process and related VIX...

This chapter summarizes several empirical studies in finance, undertaken through the prism of the graph theory. In these studies, we built graphs in order to investigate integration and systemic risk in derivative markets. Several classes of underlying assets (i.e. energy products, metals,...

Guided by game theory we develop a model to explain behavioral equilibria under uncertainty and interaction with the spot market on balancing markets. We offer some insights for the general model and derive explicit solutions for a specific model in which the error distributions and pricing...

Nonzero-sum stochastic differential games with impulse controls offer a realistic and far-reaching modelling framework for applications within finance, energy markets, and other areas, but the difficulty in solving such problems has hindered their proliferation. Semi-analytical approaches make...

We define the axioms of quantum game theory and show that classical, Nashian, game theory is a special case of quantum game theory. In our more general framework, we prove the insufficiency of the von Neumann Morgenstern utility, because it is not uniquely defined. Relating utility to the time...

This paper analyzes a dynamic stochastic equilibrium model of an asset market based on behavioral and evolutionary principles. The core of the model is a non-traditional game-theoretic framework combining elements of stochastic dynamic games and evolutionary game theory. Its key characteristic...

In the digital economy age, carbon emission reduction is perhaps the most crucial contribution affecting national activities and international negotiations. In a potential carbon reduction conflict, a rational participant expects to select a suitable strategic opinion to reach another state with...

Using the formalism of quantum theory we prove that the von Neumann entropy satisfies the conditions of the von Neumann--Morgenstern utility. We extend the entropy observable using the ensemble of statistical physics to derive a number of important functional relationships. The ensemble is then...