Related papers: Financial Models with Defaultable Num\'eraires
Graphical models have been widely used in applications ranging from medical expert systems to natural language processing. Their popularity partly arises since they are intuitive representations of complex inter-dependencies among variables…
In federated learning, differences in the data or objectives between the participating nodes motivate approaches to train a personalized machine learning model for each node. One such approach is weighted averaging between a locally trained…
We theorize the financial health of a company and the risk of its default. A company is financially healthy as long as its equilibrium in the financial system is maintained, which depends on the cost attributable to the probability that…
We discuss the class of "Quadratic Normal Volatility" models, which have drawn much attention in the financial industry due to their analytic tractability and flexibility. We characterize these models as the ones that can be obtained from…
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…
This book explores an alternative to the current dominant paradigm where a discrete computer model is constructed as an attempt to approximate some continuum theory. We focus on a class of discrete computer models that are based on simple…
The present paper provides a study of high-dimensional statistical arbitrage that combines factor models with the tools from stochastic control, obtaining closed-form optimal strategies which are both interpretable and computationally…
The use of equilibrium models in economics springs from the desire for parsimonious models of economic phenomena that take human reasoning into account. This approach has been the cornerstone of modern economic theory. We explain why this…
The continuous time model of dynamic asset trading is the central model of modern finance. Because trading cannot in fact take place at every moment of time, it would seem desirable to show that the continuous time model can be viewed as…
A multivariate quantile regression model with a factor structure is proposed to study data with many responses of interest. The factor structure is allowed to vary with the quantile levels, which makes our framework more flexible than the…
We mathematically analyze a simple market model where trading at each point in time involves only two agents with the sum of their money being conserved and with neither parties resulting with negative money after the interaction process.…
Interpreting data with mathematical models is an important aspect of real-world industrial and applied mathematical modeling. Often we are interested to understand the extent to which a particular set of data informs and constrains model…
Many still rightly wonder whether accounting numbers affect business value. Basic questions are why? and how? I aim at promoting an objective choice on how optimizing the most suitable valuation methods under a value-based management…
We present an econometric framework that adapts tools for scenario analysis, such as variants of conditional forecasts and generalized impulse responses, for use with dynamic nonparametric models. The proposed algorithms are based on…
We suggest that Free Random Variables, represented here by large random matrices with spectral Levy disorder, may be relevant for several problems related to the modeling of financial systems. In particular, we consider a financial…
This paper shows how we can build a model for transactions when goods are given away in the expectation of a later settlement. In settings where people keep track of their social accounts we are able to redefine concepts like account…
Recent research in machine learning has given rise to a flourishing literature on the quantification and decomposition of model uncertainty. This information can be very useful during interactions with the learner, such as in active…
A continuous-path semimartingale market model with wealth processes discounted by a riskless asset is considered. The numeraire portfolio is the unique strictly positive wealth process that, when used as a benchmark to denominate all other…
Regression plays a key role in many research areas and its variable selection is a classic and major problem. This study emphasizes cost of predictors to be purchased for future use, when we select a subset of them. Its economic aspect is…
We introduce a methodology for seeking conservation laws within a Hamiltonian dynamical system, which we term ``neural deflation''. Inspired by deflation methods for steady states of dynamical systems, we propose to {iteratively} train a…