Related papers: Stock loans with liquidation
The forced soliton equation is the starting point for semiclassical computations with solitons away from the small momentum transfer regime. This paper develops necessary analytical and numerical tools for analyzing solutions to the forced…
We consider the Bachelier model with linear price impact. Exponential utility indifference prices are studied for vanilla European options in the case where the investor is required to liquidate her position. Our main result is establishing…
Computations of quantum corrections to the CMB spectrum and to scalar field dynamics during inflation very often take advantage of the "semi-classical" approach, where the metric fluctuations are simply omitted. On the other hand, a…
Multifractal processes are a relatively new tool of stock market analysis. Their power lies in the ability to take multiple orders of autocorrelations into account explicitly. In the first part of the paper we discuss the framework of the…
I present two recent pieces of work on semileptonic $B \to \pi, \rho$ decays where it is shown how lattice QCD calculations can be used to test heavy-quark symmetry and determine phenomenologically relevant quantities despite the limits on…
We introduce a new measure of the structure of a liquid which is the softness of the mean-field potential developed by us earlier. We find that this softness is sensitive to small changes in the structure. We then study its correlation with…
Algorithms are increasingly common components of high-impact decision-making, and a growing body of literature on adversarial examples in laboratory settings indicates that standard machine learning models are not robust. This suggests that…
Return-risk models are the two pillars of modern portfolio theory, which are widely used to make decisions in choosing the loan portfolio of a bank. Banks and other financial institutions are subjected to limited liability protection.…
In this paper, we study optimal liquidation problems in a randomly-terminated horizon. We consider the liquidation of a large single-asset portfolio with the aim of minimizing a combination of volatility risk and transaction costs arising…
We investigate a class of parametric elliptic semilinear partial differential equations of second order with homogeneous essential boundary conditions, where the coefficients and the right-hand side (and hence the solution) may depend on a…
Default risk significantly affects the corporate policies of a firm. We develop a model in which a limited liability entity subject to Poisson default shock jointly sets its dividend policy and capital structure to maximize the expected…
Valuing corporate bonds in systemic economies is challenging due to intricate webs of inter-institutional exposures. When a bank defaults, cascading losses propagate through the network, with payments determined by a system of fixed-point…
This work studies exact solvability of a class of fractional reaction-diffusion equation with the Riemann-Liouville fractional derivatives on the half-line in terms of the similarity solutions. We derived the conditions for the equation to…
This study deals with the pricing and hedging of single-tranche collateralized debt obligations (STCDOs). We specify an affine two-factor model in which a catastrophic risk component is incorporated. Apart from being analytically tractable,…
The scaling properties of the time series of asset prices and trading volumes of stock markets are analysed. It is shown that similarly to the asset prices, the trading volume data obey multi-scaling length-distribution of low-variability…
The main purpose of this paper is to analyze solutions to a fully nonlinear parabolic equation arising from the problem of optimal portfolio construction. We show how the problem of optimal stock to bond proportion in the management of…
This paper provides robust, new evidence on the causal drivers of market troughs. We demonstrate that conclusions about these triggers are critically sensitive to model specification, moving beyond restrictive linear models with a flexible…
We analyze conditional optimization problems arising in discrete time Principal-Agent problems of delegated portfolio optimization with linear contracts. Applying tools from Conditional Analysis we show that some results known in the…
Evaluation of systemic risk in networks of financial institutions in general requires information of inter-institution financial exposures. In the framework of Debt Rank algorithm, we introduce an approximate method of systemic risk…
Using the framework of factor models, we establish the general expression of the coefficient of tail dependence between the market and a stock (i.e., the probability that the stock incurs a large loss, assuming that the market has also…