Related papers: When terminal facelift enforces Delta constraints
In this paper we study the maximum principle, the existence of eigenvalue and the existence of solution for the Dirichlet problem for operators which are fully-nonlinear, elliptic but presenting some singularity or degeneracy which are…
In this work we rigorously establish mathematical models to obtain the capital valuation adjustment (KVA) as part of the total valuation adjustments (XVAs). For this purpose, we use a semi-replication strategy based on market theory. We…
Slater's condition -- existence of a "strictly feasible solution" -- is a common assumption in conic optimization. Without strict feasibility, first-order optimality conditions may be meaningless, the dual problem may yield little…
We introduce an approximation technique for nonlinear hyperbolic systems with sources that is invariant domain preserving. The method is discretization-independent provided elementary symmetry and skew-symmetry properties are satisfied by…
We consider the following problem in stochastic portfolio theory. Are there portfolios that are relative arbitrages with respect to the market portfolio over very short periods of time under realistic assumptions? We answer a slightly…
We consider a financial market in which two securities are traded: a stock and an index. Their prices are assumed to satisfy the Black-Scholes model. Besides assuming that the index is a tradable security, we also assume that it is…
We build a general model for pricing defaultable claims. In addition to the usual absence of arbitrage assumption, we assume that one defaultable asset (at least) looses value when the default occurs. We prove that under this assumption, in…
We consider the following eigenvalue optimization problem: Given a bounded domain $\Omega\subset\R^n$ and numbers $\alpha\geq 0$, $A\in [0,|\Omega|]$, find a subset $D\subset\Omega$ of area $A$ for which the first Dirichlet eigenvalue of…
We propose a model in which, in exchange to the payment of a fixed transaction cost, an insurance company can choose the retention level as well as the time at which subscribing a perpetual reinsurance contract. The surplus process of the…
This paper studies the long-time behavior of optimal solutions for a class of linear-convex optimal control problems. We focus on a partial exponential turnpike property, established without imposing controllability or stabilizability…
The article addresses the convergence of implicit and semi-implicit, fully discrete approximations of a class of nonlinear parabolic evolution problems. Such schemes are popular in the numerical solution of evolutions defined with the…
A class of parabolic-parabolic Keller-Segel systems with degenerate diffusion and volume filling is studied in a bounded domain subject to no-flux boundary conditions. The equations are derived from a multiphase fluid model. The interplay…
We extend the study of [7, 18] to stochastic target problems with general market impacts. Namely, we consider a general abstract model which can be associated to a fully nonlinear parabolic equation. Unlike [7, 18], the equation is not…
This paper characterizes the equilibrium in a continuous time financial market populated by heterogeneous agents who differ in their rate of relative risk aversion and face convex portfolio constraints. The model is studied in an…
The aim of this work is to introduce a new stochastic volatility model for equity derivatives. To overcome some of the well-known problems of the Heston model, and more generally of the affine models, we define a new specification for the…
Maintaining a competitive edge requires a firm to replace deteriorating business lines with new projects. Accordingly, part of a firm's value resides in its ability to exploit new opportunities. This article incorporates adaptation into…
We consider the superhedging price of an exotic option under nondominated model uncertainty in discrete time in which the option buyer chooses some action from an (uncountable) action space at each time step. By introducing an enlarged…
Optimization problems involving the minimization of a finite sum of smooth, possibly non-convex functions arise in numerous applications. To achieve a consensus solution over a network, distributed optimization algorithms, such as…
An extension of the idea of state tameness is presented in a dynamic framework. The proposed model for financial markets is rich enough to provide analytical tools that are mostly obtained in models that arise as the solution of SDEs with…
We study the convex hull property for systems of partial differential equations. This is a generalisation of the maximum principle for a single equation. We show that the convex hull property holds for a class of elliptic and parabolic…