Related papers: Variational inequality method in stock loans
We propose a new approach to the combinatorial interpretations of linearization coefficient problem of orthogonal polynomials. We first establish a difference system and then solve it combinatorially and analytically using the method of…
Searching for new effective risk factors on stock returns is an important research topic in asset pricing. Factor modeling is an active research topic in statistics and econometrics, with many new advances. However, these new methods have…
We consider a general local-stochastic volatility model and an investor with exponential utility. For a European-style contingent claim, whose payoff may depend on either a traded or non-traded asset, we derive an explicit approximation for…
A new numerical method for solving a scalar ordinary differential equation with a given initial condition is introduced. The method is using a numerical integration procedure for an equivalent integral equation and is called in this paper…
By means of the techniques of Boolean valued analysis, we provide a transfer principle between duality theory of classical convex risk measures and duality theory of conditional risk measures. Namely, a conditional risk measure can be…
In this paper we investigate the notion of conditional independence and prove several information inequalities for conditionally independent random variables.
This paper deals with the solving of variational inequality problem where the constrained set is given as the intersection of a number of fixed-point sets. To this end, we present an extrapolated sequential constraint method. At each…
This paper proposes swaps on two important new measures of generalized variance, namely the maximum eigen-value and trace of the covariance matrix of the assets involved. We price these generalized variance swaps for financial markets with…
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.
The use of CVA to cover credit risk is widely spread, but has its limitations. Namely, dealers face the problem of the illiquidity of instruments used for hedging it, hence forced to warehouse credit risk. As a result, dealers tend to offer…
Quantization algorithms have been successfully adopted to option pricing in finance thanks to the high convergence rate of the numerical approximation. In particular, very recently, recursive marginal quantization has been proven to be a…
This papers addresses the stock option pricing problem in a continuous time market model where there are two stochastic tradable assets, and one of them is selected as a num\'eraire. It is shown that the presence of arbitrarily small…
This paper examines the dividend and investment policies of a cash constrained firm that has access to costly external funding. We depart from the literature by allowing the firm to issue collateralized debt to increase its investment in…
Much research in systemic risk is focused on default contagion. While this demands an understanding of valuation, fewer articles specifically deal with the existence, the uniqueness, and the computation of equilibrium prices in structural…
We are concerned with the numerical resolution of backward stochastic differential equations. We propose a new numerical scheme based on iterative regressions on function bases, which coefficients are evaluated using Monte Carlo…
The paper introduces benchmark-neutral pricing and hedging for long-term contingent claims. It employs the growth optimal portfolio of the stocks as numeraire and the new benchmark-neutral pricing measure for pricing. For a realistic…
This paper can be seen as an attempt of rethinking the {\em Extra-Gradient Philosophy} for solving Variational Inequality Problems. We show that the properly defined {\em Reduced Gradients} can be used instead for finding approximate…
In a stochastic volatility framework, we find a general pricing equation for the class of payoffs depending on the terminal value of a market asset and its final quadratic variation. This allows a pricing tool for European-style claims…
Unfairness in mortgage lending has created generational inequality among racial and ethnic groups in the US. Many studies address this problem, but most existing work focuses on correlation-based techniques. In our work, we use the…
In this note, we find a new inequality involving primes and deduce several Bonse-type inequalities.