Related papers: Variational inequality method in stock loans
A novel approach for comparing quality attributes of different products when there is considerable product-related variability is proposed. In such a case, the whole range of possible realizations must be considered. Looking, for example,…
In credit markets, screening algorithms aim to discriminate between good-type and bad-type borrowers. However, when doing so, they can also discriminate between individuals sharing a protected attribute (e.g. gender, age, racial origin) and…
We discuss the use of saddlepoint methods in the analysis of portfolios, with particular reference to credit portfolios. The objective is to proceed from a model of the loss distribution, given through probabilities, correlations and the…
A new methodology has been introduced to clean the correlation matrix of single stocks returns based on a constrained principal component analysis using financial data. Portfolios were introduced, namely "Fundamental Maximum Variance…
In this paper we propose a general algorithmic framework for first-order methods in optimization in a broad sense, including minimization problems, saddle-point problems and variational inequalities. This framework allows to obtain many…
Leverage score sampling provides an appealing way to perform approximate computations for large matrices. Indeed, it allows to derive faithful approximations with a complexity adapted to the problem at hand. Yet, performing leverage scores…
This paper focuses on the study of an original combination of the Multilevel Monte Carlo method introduced by Giles [10] and the popular importance sampling technique. To compute the optimal choice of the parameter involved in the…
The Ivancevic option pricing model is studied via variational approach. Both the Gaussian anstz and the (sech ansatz are used, and each has a unique results from one another. But in terms of existance of soliton solutions they both agree…
Pairs Trading is carried out in the financial market to earn huge profits from known equilibrium relation between pairs of stock. In financial markets, seldom it is seen that stock pairs are correlated at particular lead or lag. This…
An econometric or statistical model may undergo a marginal gain if we admit a new variable to the model, and a marginal loss if we remove an existing variable from the model. Assuming equality of opportunity among all candidate variables,…
We consider the problem of fairly allocating a combination of divisible and indivisible goods. While fairness criteria like envy-freeness (EF) and proportionality (PROP) can always be achieved for divisible goods, only their relaxed…
This paper studies the time-varying structure of the equity market with respect to market capitalization. First, we analyze the distribution of the 100 largest companies' market capitalizations over time, in terms of inequality,…
We develop new polynomial methods for studying systems of word equations. We use them to improve some earlier results and to analyze how sizes of systems of word equations satisfying certain independence properties depend on the lengths of…
In this paper we provide a new criterion for the comparison of claims, when we have conditional claims arising in stop loss contracts or contracts with franchise deductible. These stochastic comparisons are made on the basis of the Tail…
The article presents calculations that prove practical importance of the earlier derived theoretical relationship between the interest rate on the interbank credit market, volume of investment and the quantity of securities tradable on the…
How to price and hedge claims on nontraded assets are becoming increasingly important matters in option pricing theory today. The most common practice to deal with these issues is to use another similar or "closely related" asset or index…
Our study is dedicated to the probabilistic representation and numerical approximation of solutions to coupled systems of variational inequalities. The dynamics of each component of the solution is driven by a different linear parabolic…
Motivated by the problem of utility allocation in a portfolio under a Markowitz mean-variance choice paradigm, we propose an allocation criterion for the variance of the sum of $n$ possibly dependent random variables. This criterion, the…
This paper introduces a methodology for constructing a market index composed of a liquid risky asset and a liquid risk-free asset that achieves a fixed target volatility. Existing volatility-targeting strategies typically scale portfolio…
In this paper, we consider the problem of equal risk pricing and hedging in which the fair price of an option is the price that exposes both sides of the contract to the same level of risk. Focusing for the first time on the context where…