Related papers: Robust mean-variance hedging in the single period …
The duality between the robust (or equivalently, model independent) hedging of path dependent European options and a martingale optimal transport problem is proved. The financial market is modeled through a risky asset whose price is only…
Under a partially linear models we study a family of robust estimates for the regression parameter and the regression function when some of the predictor variables take values on a Riemannian manifold. We obtain the consistency and the…
We introduce a class of randomly time-changed fast mean-reverting stochastic volatility models and, using spectral theory and singular perturbation techniques, we derive an approximation for the prices of European options in this setting.…
This paper studies a discrete-time mean-variance model based on reinforcement learning. Compared with its continuous-time counterpart in \cite{zhou2020mv}, the discrete-time model makes more general assumptions about the asset's return…
We present a variationally consistent wrinkling model based on spectral decomposition of the stress tensor, providing a unified formulation that captures the three distinct membrane states. Compared to the previous strain-based spectral…
This paper studies robustness of multivariable systems with parametric uncertainties, and establishes a multivariable version of Edge Theorem. An illustrative example is presented.
This paper considers the problem of estimating the variance of a sum of a triangular array of random vectors with heterogeneous means. When random vectors exhibit two-way cluster dependence or weak dependence, standard variance estimators…
We consider (robust) inference in the context of a factor model for tensor-valued sequences. We study the consistency of the estimated common factors and loadings space when using estimators based on minimising quadratic loss functions.…
In this paper, we investigate periodic solutions of regime-switching jump diffusions. We first show the well-posedness of solutions to the SDEs corresponding to the hybrid system. Then, we derive the strong Feller property and…
We study a discrete-time multi-period portfolio optimization problem under an explicit constraint on the Deviation Conditional Value-at-Risk (DCVaR), defined as the excess of Conditional Value-at-Risk over expected terminal wealth. The…
In an incomplete market driven by time-changed L\'evy noises we consider the problem of hedging a financial position coupled with the underlying risk of model uncertainty. Then we study hedging under worst-case-scenario. The proposed…
The Busse-Heikes dynamical model is described in terms of relaxational and nonrelaxational dynamics. Within this dynamical picture a diverging alternating period is calculated in a reduced dynamics given by a time-dependent Hamiltonian with…
This paper presents an integrated perspective on robustness in regression. Specifically, we examine the relationship between traditional outlier-resistant robust estimation and robust optimization, which focuses on parameter estimation…
We study a multidimensional renewal risk model, with common counting process and cadlag returns. Considering that the claim vectors have common distribution from some multivariate distribution class with heavy tail, are mutually weakly…
Current approaches to fair valuation in insurance often follow a two-step approach, combining quadratic hedging with application of a risk measure on the residual liability, to obtain a cost-of-capital margin. In such approaches, the…
We model investor heterogeneity using different required returns on an investment and evaluate the impact on the valuation of an investment. By assuming no disagreement on the cash flows, we emphasize how risk preferences in particular, but…
We provide a dual characterisation of the weak$^*$-closure of a finite sum of cones in $L^\infty$ adapted to a discrete time filtration $\mathcal{F}_t$: the $t^{th}$ cone in the sum contains bounded random variables that are…
We consider a financial model with permanent price impact. Continuous time trading dynamics are derived as the limit of discrete rebalancing policies. We then study the problem of super-hedging a European option. Our main result is the…
This paper studies an optimal dividend problem for a company that aims to maximize the mean-variance (MV) objective of the accumulated discounted dividend payments up to its ruin time. The MV objective involves an integral form over a…
We consider a stabilized finite element method based on a spacetime formulation, where the equations are solved on a global (unstructured) spacetime mesh. A unique continuation problem for the wave equation is considered, where data is…