Related papers: Endogenous Current Coupons
Discovering the complete set of causal relations among a group of variables is a challenging unsupervised learning problem. Often, this challenge is compounded by the fact that there are latent or hidden confounders. When only observational…
In stochastic multi-factor commodity models, it is often the case that futures prices are explained by two latent state variables which represent the short and long term stochastic factors. In this work, we develop the family of stochastic…
Factor modeling of asset returns has been a dominant practice in investment science since the introduction of the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT). The factors, which account for the systematic risk,…
In this paper we provide a theoretical analysis of Variable Annuities with a focus on the holder's right to an early termination of the contract. We obtain a rigorous pricing formula and the optimal exercise boundary for the surrender…
Incentive-based coordination mechanisms for distributed energy consumption have shown promise in aligning individual user objectives with social welfare, especially under privacy constraints. Our prior work proposed a two-timescale adaptive…
This paper studies semiparametric identification of substitution and complementarity patterns between two goods using a panel multinomial choice model with bundles. The model allows the two goods to be either substitutes or complements and…
(R-channel) TBA is elaborated to find the effective central charge dependence on the boundary parameters for the massless boundary sine-Gordon model with the coupling constant $(8\pi) /\beta^2 = 1+ \lambda $ with $\lambda$ a positive…
This paper studies identification and estimation of a dynamic discrete choice model of demand for differentiated product using consumer-level panel data with few purchase events per consumer (i.e., short panel). Consumers are…
This work establishes the exact exponents for the soft-covering phenomenon of a memoryless channel under the total variation metric when random (i.i.d. and constant-composition) channel codes are used. The exponents, established herein, are…
We study factor models augmented by observed covariates that have explanatory powers on the unknown factors. In financial factor models, the unknown factors can be reasonably well explained by a few observable proxies, such as the…
We construct a statistical indicator for the detection of short-term asset price bubbles based on the information content of bid and ask market quotes for plain vanilla put and call options. Our construction makes use of the martingale…
The determination of acceptability prices of contingent claims requires the choice of a stochastic model for the underlying asset price dynamics. Given this model, optimal bid and ask prices can be found by stochastic optimization. However,…
We study finite probability theory through a category of finite probability schemes and probability-preserving maps, called \emph{bundles}. A bundle simultaneously records a quotient of a sample space, an algebra of random variables, and…
Proving the existence of speculative financial bubbles even a posteriori has proven exceedingly difficult so anticipating a speculative bubble ex ante would at first seem an impossible task. Still as illustrated by the recent turmoil in…
We study network revenue management problems motivated by applications such as railway ticket sales and hotel room bookings. Requests, each requiring a resource for a consecutive stay, arrive sequentially with known arrival probabilities.…
In this paper we study the evolution of asset price bubbles driven by contagion effects spreading among investors via a random matching mechanism in a discrete-time version of the liquidity based model of [25]. To this scope, we extend the…
We consider linear structural equation models with explicitly modelled latent variables. In such models, observed and latent variables solve linear equations including stochastic noise terms. The goal of our work is to identify the direct…
We consider a sequential decision making problem where the agent faces the environment characterized by the stochastic discrete events and seeks an optimal intervention policy such that its long-term reward is maximized. This problem exists…
The valuation process that economic agents undergo for investments with uncertain payoff typically depends on their statistical views on possible future outcomes, their attitudes toward risk, and, of course, the payoff structure itself.…
Commodity price time series possess interesting features, such as heavy-tailedness, skewness, heteroskedasticity, and non-linear dependence structures. These features pose challenges for modeling and forecasting. In this work, we explore…