Related papers: Quantile hedging on markets with proportional tran…

Model risk has a huge impact on any risk measurement procedure and its quantification is therefore a crucial step. In this paper, we introduce three quantitative measures of model risk when choosing a particular reference model within a…

We introduce a new system of stochastic differential equations which models dependence of market beta and unsystematic risk upon size, measured by market capitalization. We fit our model using size deciles data from Kenneth French's data…

We consider the problem of representing claims for coherent risk measures. For this purpose we introduce the concept of (weak and strong) time-consistency with respect to a portfolio of assets, generalizing the one defined by Delbaen. In a…

This paper reviews some of the phenomenological models which have been introduced to incorporate the scaling properties of financial data. It also illustrates a microscopic model, based on heterogeneous interacting agents, which provides a…

We propose a versatile Monte-Carlo method for pricing and hedging options when the market is incomplete, for an arbitrary risk criterion (chosen here to be the expected shortfall), for a large class of stochastic processes, and in the…

We present a numerically efficient approach for learning a risk-neutral measure for paths of simulated spot and option prices up to a finite horizon under convex transaction costs and convex trading constraints. This approach can then be…

In this paper we present results on dynamic multivariate scalar risk measures, which arise in markets with transaction costs and systemic risk. Dual representations of such risk measures are presented. These are then used to obtain the main…

Quantile is a popular performance measure for a stochastic system to evaluate its variability and risk. To reduce the risk, selecting the actions that minimize the tail quantiles of some loss distributions is typically of interest for…

We examine weak anticipations in discrete-time and continuous-time financial markets consisting of one risk-free asset and multiple risky assets, defining a minimal probability measure associated with the anticipation that does not depend…

In two-sided matching markets with contracts, quantile (or generalized median) stable mechanisms represent an interesting class that produces stable allocations which can be viewed as compromises between both sides of the market. These…

Machine learning and quantum machine learning (QML) have gained significant importance, as they offer powerful tools for tackling complex computational problems across various domains. This work gives an extensive overview of QML uses in…

Our comments are in two parts. First, we make some observations regarding the methodology in Chambers et al. [arXiv:0708.0302]. Second, we briefly describe another interesting network monitoring problem that arises in the context of…

In recent years, a market for mortality derivatives began developing as a way to handle systematic mortality risk, which is inherent in life insurance and annuity contracts. Systematic mortality risk is due to the uncertain development of…

In this note, we give an explicit expression for the quantile of a mixture of two random variables. We carefully examine all possible cases of discrete and continuous variables with possibly unbounded support. The result is useful for…

Accurate modeling of the temporal evolution of asset prices is crucial for understanding financial markets. We explore the potential of discrete-time quantum walks to model the evolution of asset prices. Return distributions obtained from a…

This paper offers a mathematical invention that shows how to convert integrated quantiles, which often appear in risk measures, into integrated cumulative distribution functions, which are technically more tractable from various…

Kusuoka [ Limit Theorem on Option Replication Cost with Transaction Costs, Ann. Appl. Probab. 5, 198--221, (1995).] showed how to obtain non-trivial scaling limits of superreplication prices in discrete-time models of a single risky asset…

The duality between the robust (or equivalently, model independent) hedging of path dependent European options and a martingale optimal transport problem is proved. The financial market is modeled through a risky asset whose price is only…

We generalize the recently proposed quantum model for the stock market by Zhang and Huang to make it consistent with the discrete nature of the stock price. In this formalism, the price of the stock and its trend satisfy the generalized…

In this work we are concerned with valuing optionalities associated to invest or to delay investment in a project when the available information provided to the manager comes from simulated data of cash flows under historical (or…