Related papers: Stock loans with liquidation
We consider a liquidation problem in which a risk-averse trader tries to liquidate a fixed quantity of an asset in the presence of market impact and random price fluctuations. The trader encounters a trade-off between the transaction costs…
The presence of significant cross-correlations between the synchronous time evolution of a pair of equity returns is a well-known empirical fact. The Pearson correlation is commonly used to indicate the level of similarity in the price…
The existence of asymmetric information has always been a major concern for financial institutions. Financial intermediaries such as commercial banks need to study the quality of potential borrowers in order to make their decision on…
This article introduces a new mathematical concept of illiquidity that goes hand in hand with credit risk. The concept is not volume- but constraint-based, i.e., certain assets cannot be shorted and are ineligible as num\'eraire. If those…
The effectiveness of utility-maximization techniques for portfolio management relies on our ability to estimate correctly the parameters of the dynamics of the underlying financial assets. In the setting of complete or incomplete financial…
This note relates the calibration of models to the consistent loss functions for the target functional of the model. We demonstrate that a model is calibrated if and only if there is a parameter value that is optimal under all consistent…
Consider the standard nonparametric regression model and take as estimator the penalized least squares function. In this article, we study the trade-off between closeness to the true function and complexity penalization of the estimator,…
We give conditions under which the normalized marginal distribution of a semimartingale converges to a Gaussian limit law as time tends to zero. In particular, our result is applicable to solutions of stochastic differential equations with…
In this paper, we study the long time behavior of an optimal liquidation problem with semimartingale strategies and external flows. To investigate the limit rigorously, we study the convergence of three BSDEs characterizing the value…
The authors examine the concept of probability of default for asset-backed loans. In contrast to unsecured loans it is shown that probability of default can be defined as either a measure of the likelihood of the borrower failing to make…
We consider a framework for solving optimal liquidation problems in limit order books. In particular, order arrivals are modeled as a point process whose intensity depends on the liquidation price. We set up a stochastic control problem in…
Existence of stochastic financial equilibria giving rise to semimartingale asset prices is established under a general class of assumptions. These equilibria are expressed in real terms and span complete markets or markets with withdrawal…
We derive a mesoscopic description of the behavior of a simple financial market where the agents can create their own portfolio between two investment alternatives: a stock and a bond. The model is derived starting from the…
We show that in a financial market given by semimartingales an arbitrage opportunity, provided it exists, can only be exploited through short selling. This finding provides a theoretical basis for differences in regulation for financial…
There is empirical evidence that recovery rates tend to go down just when the number of defaults goes up in economic downturns. This has to be taken into account in estimation of the capital against credit risk required by Basel II to cover…
Solutions of semiflexible polymers confined by repulsive planar walls are studied by density functional theory and Molecular Dynamics simulations, to clarify the competition between the chain alignment favored by the wall and the depletion…
We solve explicitly the Almgren-Chriss optimal liquidation problem where the stock price process follows a geometric Brownian motion. Our technique is to work in terms of cash and to use functional analysis tools. We show that this…
A semianalytic theory for the pulse dynamics in similariton amplifiers and lasers is presented, based on a model pulse with adaptive shape. By changing a single parameter, this test function can be continuously tweaked between a pure…
This article investigates the Fokker-Planck equations that arise from the application of quantum stochastic calculus to the modelling of illiquid financial markets, using asymptotic methods. We present a power series solution for quantum…
This paper proposes a Kolmogorov-Smirnov type statistic and a Cram\'er-von Mises type statistic to test linearity in semi-functional partially linear regression models. Our test statistics are based on a residual marked empirical process…