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A central problem of Quantitative Finance is that of formulating a probabilistic model of the time evolution of asset prices allowing reliable predictions on their future volatility. As in several natural phenomena, the predictions of such…
Using a large quarterly macroeconomic dataset for the period 1960-2017, we document the ability of specific financial ratios from the housing market and firms' aggregate balance sheets to predict GDP over medium-term horizons in the United…
We consider a financial model with permanent price impact. Continuous time trading dynamics are derived as the limit of discrete rebalancing policies. We then study the problem of super-hedging a European option. Our main result is the…
Context: There is an increase in the investment and development of data-intensive (DI) solutions, systems that manage large amounts of data. Without careful management, this growing investment will also grow associated technical debt (TD).…
We study a general robust utility maximization problem in a discrete-time frictionless market. The investor is assumed to have a possibly infinite, random, nonconcave, and nondecreasing utility function defined on the whole real line. She…
The DebtRank algorithm has been increasingly investigated as a method to estimate the impact of shocks in financial networks, as it overcomes the limitations of the traditional default-cascade approaches. Here we formulate a dynamical…
Context: Advances in technical debt research demonstrate the benefits of applying the financial debt metaphor to support decision-making in software development activities. Although decision-making during requirements engineering has…
A worldwide movement towards the publication of Open Government Data is taking place, and budget data is one of the key elements pushing this trend. Its importance is mostly related to transparency, but publishing budget data, combined with…
Public goods are often either over-consumed in the absence of regulatory mechanisms, or remain completely unused, as in the Covid-19 pandemic, where social distance constraints are enforced to limit the number of people who can share public…
The demand for computing is continuing to grow exponentially. This growth will translate to exponential growth in computing's energy consumption unless improvements in its energy-efficiency can outpace increases in its demand. Yet, after…
We study financial networks with debt contracts and credit default swaps between specific pairs of banks. Given such a financial system, we want to decide which of the banks are in default, and how much of their liabilities can these…
We study the classical problem of computing geometric thickness, i.e., finding a straight-line drawing of an input graph and a partition of its edges into as few parts as possible so that each part is crossing-free. Since the problem is…
With the recent wave of digitalization, specifically in the context of safety-critical applications, there has been a growing need for computationally efficient, accurate, generalizable, and trustworthy models. Physics-based models have…
The Black-Scholes theory of option pricing has been considered for many years as an important but very approximate zeroth-order description of actual market behavior. We generalize the functional form of the diffusion of these systems and…
The technical state of software, i.e., its technical debt (TD) and maintainability are of increasing interest as ever more software is developed and deployed. Since td and maintainability are neither uniformly defined, not easy to…
A continuous-time financial portfolio selection model with expected utility maximization typically boils down to solving a (static) convex stochastic optimization problem in terms of the terminal wealth, with a budget constraint. In…
A make-your-mind-up option is an American derivative with delivery lags. We show that its put option can be decomposed as a European put and a new type of American-style derivative. The latter is an option for which the investor receives…
A drawdown constraint forces the current wealth to remain above a given function of its maximum to date. We consider the portfolio optimisation problem of maximising the long-term growth rate of the expected utility of wealth subject to a…
Scientists have demonstrated that quantum computing has presented novel approaches to address computational challenges, each varying in complexity. Adapting problem-solving strategies is crucial to harness the full potential of quantum…
This paper presents a general solution for a recent model by Keen for endogenous money creation. The solution provides an analytic framework that explains all significant dynamical features of Keen's model and their parametric dependence,…