Related papers: Computing Quantiles in Regime-Switching Jump-Diffu…
Recent empirical evidence has highlighted the crucial role of jumps in both price and volatility within the cryptocurrency market. In this paper, we integrate price--volatility co-jumps and volatility short-term dependency into a coherent…
We study optimal investment strategies that maximize expected utility from consumption and terminal wealth in a pure-jump asset price model with Markov-modulated (regime switching) jump-size distributions. We give sufficient conditions for…
We study an optimal investment problem with multiple entries and forced exits. A closed form solution of the optimisation problem is presented for general underlying diffusion dynamics and a general running payoff function in the case when…
Transition risk can be defined as the business-risk related to the enactment of green policies, aimed at driving the society towards a sustainable and low-carbon economy. In particular, the value of certain firms' assets can be lower…
The phase shift rules enable the estimation of the derivative of a quantum state with respect to phase parameters, providing valuable insights into the behavior and dynamics of quantum systems. This capability is essential in quantum…
A novel approach called Moate Simulation is presented to provide an accurate numerical evolution of probability distribution functions represented on grids arising from stochastic differential processes where initial conditions are…
This simulation study compares statistical approaches for estimating extreme quantile regression, with a specific application to fire risk forecasting. A simulation-based framework is designed to evaluate the effectiveness of different…
The transport of excitation probabilities amongst weakly coupled subunits is investigated for a class of finite quantum systems. It is demonstrated that the dynamical behavior of the transported quantity depends on the considered length…
When particles/molecules diffuse in systems that contain obstacles, the steady-state regime (during which the mean-square displacement scales linearly with time, $\left< r^2 \right> \sim t$) is preceded by a transient regime. It is common…
The modeling of the probability of joint default or total number of defaults among the firms is one of the crucial problems to mitigate the credit risk since the default correlations significantly affect the portfolio loss distribution and…
Finance is one of the promising field for industrial application of quantum computing. In particular, quantum algorithms for calculation of risk measures such as the value at risk and the conditional value at risk of a credit portfolio have…
In this paper we discuss the basket options valuation for a jump-diffusion model. The underlying asset prices follow some correlated local volatility diffusion processes with systematic jumps. We derive a forward partial integral…
We construct a sequence of functions that uniformly converge (on compact sets) to the price of Asian option, which is written on a stock whose dynamics follows a jump diffusion, exponentially fast. Each of the element in this sequence…
We analyze the consumption-portfolio selection problem of an investor facing both Brownian and jump risks. We bring new tools, in the form of orthogonal decompositions, to bear on the problem in order to determine the optimal portfolio in…
In this article we extend earlier work on the jump-diffusion risk-sensitive asset management problem [SIAM J. Fin. Math. (2011) 22-54] by allowing jumps in both the factor process and the asset prices, as well as stochastic volatility and…
We investigate estimation of fluctuating channels and its effect on security of continuous-variable quantum key distribution. We propose a novel estimation scheme which is based on the clusterization of the estimated transmittance data. We…
We study option prices in financial markets where the risky asset prices are modelled by jump diffusions. It was proposed by Schweizer (1996) in a general semimartingale setting, following earlier works by F\"ollmer and Sondermann (1986)…
The scaling invariance for chaotic orbits near a transition from unlimited to limited diffusion in a dissipative standard mapping is explained via the analytical solution of the diffusion equation. It gives the probability of observing a…
Machine learning systems deployed in the real world must operate under dynamic and often unpredictable distribution shifts. This challenges the validity of statistical safety assurances on the system's risk established beforehand. Common…
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…