Related papers: Robust Hedging of Withdrawal Guarantees (Extended …
Conformal prediction (CP) can convert any model's output into prediction sets guaranteed to include the true label with any user-specified probability. However, same as the model itself, CP is vulnerable to adversarial test examples…
Motivated by the growing requirements on the operation of complex engineering systems, we present contracts as specifications for continuous-time linear dynamical systems with inputs and outputs. A contract is defined as a pair of…
The option is a financial derivative, which is regularly employed in reducing the risk of its underlying securities. However, investing in option is still risky. Such risk becomes much severer for speculators who utilize option as a means…
We price and replicate a variety of claims written on the log price $X$ and quadratic variation $[X]$ of a risky asset, modeled as a positive semimartingale, subject to stochastic volatility and jumps. The pricing and hedging formulas do…
We present FairTraDEX, a decentralized exchange (DEX) protocol based on frequent batch auctions (FBAs), which provides formal game-theoretic guarantees against extractable value. FBAs when run by a trusted third-party provide unique…
Optimistic rollups provide scalable smart-contract execution but remain unsuitable for regulated financial applications due to three structural gaps: semantic legitimacy, cross-layer state consistency, and ordering fairness. We introduce…
This study presents a deep reinforcement learning approach for global hedging of long-term financial derivatives. A similar setup as in Coleman et al. (2007) is considered with the risk management of lookback options embedded in guarantees…
Encrypted dynamic controllers that operate for an unlimited time have been a challenging subject of research. The fundamental difficulty is the accumulation of errors and scaling factors in the internal state during operation.…
Recent variational inference methods use stochastic gradient estimators whose variance is not well understood. Theoretical guarantees for these estimators are important to understand when these methods will or will not work. This paper…
In this paper we consider some insurance policies related to drawdown and drawup events of log-returns for an underlying asset modeled by a spectrally negative geometric L\'evy process. We consider four contracts, three of which were…
This paper discusses the financial risks faced by the UK Pension Protection Fund (PPF) and what, if anything, it can do about them. It draws lessons from the regulatory regimes under which other financial institutions, such as banks and…
In this paper, we combine modern portfolio theory and option pricing theory so that a trader who takes a position in a European option contract and the underlying assets can construct an optimal portfolio such that at the moment of the…
This paper studies an optimal investment and risk control problem for an insurer with default contagion and regime-switching. The insurer in our model allocates his/her wealth across multi-name defaultable stocks and a riskless bond under…
Traditional approaches to outage-constrained beamforming optimization rely on statistical assumptions about channel distributions and estimation errors. However, the resulting outage probability guarantees are only valid when these…
Despite numerous countermeasures proposed by practitioners and researchers, remote control-flow alteration of programs with memory-safety vulnerabilities continues to be a realistic threat. Guaranteeing that complex software is completely…
In real-world decision-making problems, for instance in the fields of finance, robotics or autonomous driving, keeping uncertainty under control is as important as maximizing expected returns. Risk aversion has been addressed in the…
When a loan is approved for a person or company, the bank is subject to \emph{credit risk}; the risk that the lender defaults. To mitigate this risk, a bank will require some form of \emph{security}, which will be collected if the lender…
While the traditional viewpoint in machine learning and statistics assumes training and testing samples come from the same population, practice belies this fiction. One strategy -- coming from robust statistics and optimization -- is thus…
We study the upper hedging price for contingent claims in market models with strong types of arbitrage: increasing profit, strong arbitrage, and arbitrage of the first kind. The existence of arbitrage may make the price smaller than if it…
Stability of linear systems with uncertain bounded time-varying delays is studied under assumption that the nominal delay values are not equal to zero. An input-output approach to stability of such systems is known to be based on the bound…