Related papers: Variational inequality method in stock loans
Risk management is very important for individual investors or companies. There are many ways to measure the risk of investment. Prices of risky assets vary rapidly and randomly due to the complexity of finance market. Random interval is a…
In this paper we consider the variable inequality problem, that is, to find a solution of the inclusion given by the sum of a function and a point-to-cone application. This problem can be seen as a generalization of the classical system…
Variable Annuity (VA) products expose insurance companies to considerable risk because of the guarantees they provide to buyers of these products. Managing and hedging these risks requires insurers to find the value of key risk metrics for…
In practice there are temporary arbitrage opportunities arising from the fact that prices for a given asset at different stock exchanges are not instantaneously the same. We will show that even in such an environment there exists a…
Shapley values originated in cooperative game theory but are extensively used today as a model-agnostic explanation framework to explain predictions made by complex machine learning models in the industry and academia. There are several…
Weak convergence of inertial iterative method for solving variational inequalities is the focus of this paper. The cost function is assumed to be non-Lipschitz and monotone. We propose a projection-type method with inertial terms and give…
We study a class of second order variational inequalities with bilateral constraints. Under certain conditions we show the existence of a unique viscosity solution of these variational inequalities and give a stochastic representation to…
We introduce equivalence testing procedures for linear regression analyses. Such tests can be very useful for confirming the lack of a meaningful association between a continuous outcome and a continuous or binary predictor. Specifically,…
This study outlines a comprehensive methodology utilizing copulas to discern inconsistencies in the behavior exhibited by pairs of financial assets. It introduces a robust approach to establishing the interrelationship between the returns…
We introduce a new tool for predicting the evolution of an option for the cases where at some specific time, there is a high-degree of uncertainty for identifying its price. We work over the special case where we can predict the evolution…
The aim of this paper is to prove an improved version of the bounded differences inequality for matrix valued functions, by developing the methods of Mackey et al.: "Matrix Concentration Inequalities via the Method of Exchangeable Pairs".…
We consider an investment process that includes a number of features, each of which can be active or inactive. Our goal is to attribute or decompose an achieved performance to each of these features, plus a baseline value. There are many…
Value adjustment of uncollateralized trades is determined within a risk-neutral pricing framework. When hedging such trades, investors cannot freely trade protection on their own name, thus facing an incomplete market. This fact is…
In this note, we develop stock option price approximations for a model which takes both the risk o default and the stochastic volatility into account. We also let the intensity of defaults be influenced by the volatility. We show that it…
In this paper we present an inexact proximal point method for variational inequality problem on Hadamard manifolds and study its convergence properties. The proposed algorithm is inexact in two sense. First, each proximal subproblem is…
We develop and implement methods for determining whether introducing new securities or relaxing investment constraints improves the investment opportunity set for prospect investors. We formulate a new testing procedure for prospect…
This paper presents a novel methodology for evaluating the boundedness, stability, and instability of some vector nonlinear systems with multiple time-varying delays and variable coefficients. The proposed technique develops two scalar…
A new model for the stock market price analysis is proposed. It is suggested to look at price as an everywhere discontinuous function of time of bounded variation.
In this paper we propose a method for proving some exponential inequalities based on power series expansion and analysis of derivations of the corresponding functions. Our approach provides a simple proof and generates a new class of…
We present an approach to market-consistent multi-period valuation of insurance liability cash flows based on a two-stage valuation procedure. First, a portfolio of traded financial instrument aimed at replicating the liability cash flow is…