Quantitative Finance
The existence of optimal contracts of the principal-agent problem is a long-standing problem. According to the general framework in Cvitani\'c et al. [2], this existence can be derived from the existence of a classical solution to a…
We extend the scope of differential machine learning and introduce a new breed of supervised principal component analysis to reduce dimensionality of Derivatives problems. Applications include the specification and calibration of pricing…
This paper explores the estimation and inference of the minimum spanning set (MSS), the smallest subset of risky assets that spans the mean-variance efficient frontier of the full asset set. We establish identification conditions for the…
In power markets, Green Power Purchase Agreements have become an important contractual tool of the energy transition from fossil fuels to renewable sources such as wind or solar radiation. Trading Green PPAs exposes agents to price risks…
We introduce a novel approach to portfolio optimization that leverages hierarchical graph structures and the Schur complement method to systematically reduce computational complexity while preserving full covariance information. Inspired by…
We investigate the drivers of vote delegation in Decentralized Autonomous Organizations (DAOs), using the Uniswap governance DAO as a laboratory. We show that parties with fewer self-owned votes and those affiliated with the controlling…
Existence and uniqueness of solutions to the multi-dimensional mean-field Libor market model (introduced by [7]) is shown. This is used as the basis for a numerical asset-liability management (ALM) model capable of calculating future…
With the rapid development of artificial intelligence, data-driven methods effectively overcome limitations in traditional portfolio optimization. Conventional models primarily employ long-only mechanisms, excluding highly correlated assets…
We introduce a model-free approach for analyzing the risk and return for a broad class of dynamic trading strategies, including pairs trading, mean-reversion trading and other statistical arbitrage strategies, in terms of excursions of a…
This paper develops general approaches for pricing various types of American-style Parisian options (down-in/-out, perpetual/finite-maturity) with general payoff functions based on continuous-time Markov chain (CTMC) approximation under…
On the way towards carbon neutrality, climate stress testing provides estimates for the physical and transition risks that climate change poses to the economy and the financial system. Missing firm-level CO2 emissions data severely impedes…
Using introduced concept of the exchange and inflation rates adequacy, the relevance of them to the determining factors is found. We established close positive relation between hryvnia / dollar exchange and inflation rates, fiscal deficit,…
Generative models aim to simulate realistic effects of various actions across different contexts, from text generation to visual effects. Despite significant efforts to build real-world simulators, the application of generative models to…
Decision theory recognizes two principal approaches to solving problems under uncertainty: probabilistic models and cognitive heuristics. However, engineers, public planners and decision-makers in other fields seem to employ solution…
Empirical studies with publicly available life tables identify long-range dependence (LRD) in national mortality data. Although the longevity market is supposed to benchmark against the national force of mortality, insurers are more…
We introduce matrix H theory, a framework for analyzing collective behavior arising from multivariate stochastic processes with hierarchical structure. The theory models the joint distribution of the multiple variables (the measured signal)…
We construct liquidity-adjusted return and volatility using purposely designed liquidity metrics (liquidity jump and liquidity diffusion) that incorporate additional liquidity information. Based on these measures, we introduce a…
We propose a simple yet robust unsupervised model to detect pump-and-dump events on tokens listed on the Poloniex Exchange platform. By combining threshold-based criteria with exponentially weighted moving averages (EWMA) and volatility…
The IFRS 9 accounting standard requires the prediction of credit deterioration in financial instruments, i.e., significant increases in credit risk (SICR). However, the definition of such a SICR-event is inherently ambiguous, given its…
We generalize the classic Shiller cyclically adjusted price-earnings ratio (CAPE) used for prediction of future total returns of the stock market. We treat earnings growth as exogenous. The difference between log wealth and log earnings is…