Related papers: Optimal Capital Structure with Scale Effects under…
The paper concerns the study of equilibrium points, or steady states, of economic systems arising in modeling optimal investment with \textit{vintage capital}, namely, systems where all key variables (capitals, investments, prices) are…
Empirical studies indicate the presence of multi-scales in the volatility of underlying assets: a fast-scale on the order of days and a slow-scale on the order of months. In our previous works, we have studied the portfolio optimization…
This study investigates the optimal strategy for a firm operating in a dynamic Keynesian market setting. The firm's objective function is optimized using the percent deviations from the symmetric equilibrium of both its own price and the…
We study the optimal stopping of an American call option in a random time-horizon under exponential spectrally negative L\'evy models. The random time-horizon is modeled as the so-called Omega default clock in insurance, which is the first…
We study optimal policy learning under combined budget and minimum coverage constraints. We show that the problem admits a knapsack-type structure and that the optimal policy can be characterized by an affine threshold rule involving both…
We consider de Finetti's stochastic control problem when the (controlled) process is allowed to spend time under the critical level. More precisely, we consider a generalized version of this control problem in a spectrally negative L\'evy…
This paper investigates the investment problem of constructing an optimal no-short sequential portfolio strategy in a market with a latent dependence structure between asset prices and partly unobservable side information, which is often…
In this paper we study a continuous time, optimal stochastic investment problem under limited resources in a market with N firms. The investment processes are subject to a time-dependent stochastic constraint. Rather than using a dynamic…
We introduce a binary regression accounting-based model for bankruptcy prediction of small and medium enterprises (SMEs). The main advantage of the model lies in its predictive performance in identifying defaulted SMEs. Another advantage,…
Consider the problem of a government that wants to reduce the debt-to-GDP (gross domestic product) ratio of a country. The government aims at choosing a debt reduction policy which minimises the total expected cost of having debt, plus the…
We consider the optimal dividend problem for the insurance risk process in a general Levy process setting. The objective is to find a strategy which maximizes the expected total discounted dividends until the time of ruin. We give…
We study the problem of asset liquidation in financial systems. During financial crises, asset liquidation is often inevitable but can lead to substantial losses if a significant amount of illiquid assets are sold simultaneously at…
This paper deals with the optimal streaky perturbations (which maximize the perturbed energy growth) in a wedge flow boundary layer. These three dimensional perturbations are governed by a system of linearized boundary layer equations…
In the present paper, we investigate the optimal capital injection behaviour of an insurance company if the interest rate is allowed to become negative. The surplus process of the considered insurance entity is assumed to follow a Brownian…
This paper studies the problem of optimally extracting nonrenewable natural resources. Taking into account the fact that the market values of the main natural resources i.e. oil, natural gas, copper,..., etc, fluctuate randomly following…
We introduce a price impact model which accounts for finite market depth, tightness and resilience. Its coupled bid- and ask-price dynamics induce convex liquidity costs. We provide existence of an optimal solution to the classical problem…
A linear quadratic optimal stochastic control problem with random coefficients and indefinite state/control weight costs is usually linked to an indefinite stochastic Riccati equation (SRE) which is a matrix-valued quadratic backward…
In the spirit of previous of Albrecher, Hipp, Renaud and Zhou we consider a L\'evy insurance risk model with tax payments of a more general structure than in the aforementioned papers that was also considered in \cite{ABBR}. In terms of…
We propose a unified structural credit risk model incorporating both insolvency and illiquidity risks, in order to investigate how a firm's default probability depends on the liquidity risk associated with its financing structure. We assume…
A hypothesis that the financial log-periodicity, cascading self-similarity through various time scales, carries signatures of a law is pursued. It is shown that the most significant historical financial events can be classified amazingly…