Related papers: Variational inequality method in stock loans

We present a method of hedging Conditional Value at Risk of a position in stock using put options. The result leads to a linear programming problem that can be solved to optimise risk hedging.

In this study, a new form of quadratic spline is obtained, where the coefficients are determined explicitly by variational methods. Convergence is studied and parity conservation is demonstrated. Finally, the method is applied to solve…

In this report, we talked about a new quantitative strategy for choosing the optimal(s) stock(s) to trade. The basic notions are generally very known by the financial community. The key here is to understand 1) the standard score applied to…

Neural networks have become ubiquitous tools for solving signal and image processing problems, and they often outperform standard approaches. Nevertheless, training neural networks is a challenging task in many applications. The prevalent…

A variational inequality for pricing the perpetual American option and the corresponding difference equation are considered. First, the maximum principle and uniqueness of the solution to variational inequality for pricing the perpetual…

In this paper we introduce a new approach to model-free path-dependent option pricing. We first introduce a general duality result for linear optimisation problems over signed measures introduced in [3] and show how the the problem of…

We analyze correlations among stock returns via a series of widely adopted parameters which we refer to as explanatory variables. We subsequently exploit the results to propose a long only quantitative adaptive technique to construct a…

In this paper we propose a new model for pricing stock and dividend derivatives. We jointly specify dynamics for the stock price and the dividend rate such that the stock price is positive and the dividend rate non-negative. In its simplest…

A new adaptive approach is proposed for variational inequalities with a Lipschitz-continuous field. Estimates of the necessary number of iterations are obtained to achieve a given quality of the variational inequality solution. A…

Margin system for margin loans using cash and stock as collateral is considered in this paper, which is the line of defence for brokers against risk associated with margin trading. The conditional probability of negative return is used as…

Variational methods are employed in situations where exact Bayesian inference becomes intractable due to the difficulty in performing certain integrals. Typically, variational methods postulate a tractable posterior and formulate a lower…

The article is devoted to some adaptive methods for variational inequalities with relatively smooth and relatively strongly monotone operators. Starting from the recently proposed proximal variant of the extragradient method for this class…

In this paper we use a Variational Quantum Algorithm to solve Initial Value Problems with the Implicit Crank-Nicolson and the Method of Lines (MoL) evolution schemes. The unknown functions use a spectral decomposition with the Fourier…

We explore credit risk pricing by modeling equity as a call option and debt as the difference between the firm's asset value and a put option, following the structural framework of the Merton model. Our approach proceeds in two stages:…

The pairwise winning indices, computed in the Stochastic Multicriteria Acceptability Analysis, give the probability with which an alternative is preferred to another taking into account all the instances of the assumed preference model…

The aim of the paper is twofold. Firstly, by using the constant rank level set theorem from differential geometry, we establish sharp upper bounds for the dimensions of the solution sets of polynomial variational inequalities under mild…

In order to solve an initial value problem by the variational iteration method, a sequence of functions is produced which converges to the solution under some suitable conditions. In the nonlinear case, after a few iterations the terms of…

Stochastic dividend discount models (Hurley and Johnson, 1994 and 1998, Yao, 1997) present expressions for the expected value of stock prices when future dividends evolve according to some random scheme. In this paper we try to offer a more…

This paper examines the possibility of using derivative-implied risk premia to explain stock returns. The rapid development of derivative markets has led to the possibility of trading various kinds of risks, such as credit and interest rate…

We propose a criterion of equidistribution by the differentiability of certain arithmetic invariants. Combined with the slope method and the asymptotic measures, this criterion gives a new "conceptual" proof to equidistribution results…