Related papers: Stock loans with liquidation
Ratios of random variables often appear in probability and statistical applications. We aim to approximate the moments of such ratios under several dependence assumptions. Extending the ideas in Collomb [C. R. Acad. Sci. Paris 285 (1977)…
Finite linear least squares is one of the core problems of numerical linear algebra, with countless applications across science and engineering. Consequently, there is a rich and ongoing literature on algorithms for solving linear least…
We give a semiclassical analysis of a nonlinear eigenvalue problem arising from the study of the failure of analytic hypoellipticity and obtain a general family of hypoelliptic, but not analytic hypoelliptic operators.
We consider a hidden-action principal-agent model, in which actions require different amounts of effort, and the agent privately knows his ability that determines his cost of effort. We show that linear contracts admit approximation…
The classical optimal trading problem is the closure of a position in an asset over a time interval; the trader maximizes an expected utility under the constraint that the position be fully closed by terminal time. Since the asset price is…
Multiplicative logarithmic corrections frequently characterize critical behaviour in statistical physics. Here, a recently proposed theory relating the exponents of such terms is extended to account for circumstances which often occur when…
A Markov-chain model is developed for the purpose estimation of the cure rate of non-performing loans. The technique is performed collectively, on portfolios and it can be applicable in the process of calculation of credit impairment. It is…
As markets have digitized, the number of tradable products has skyrocketed. Algorithmically constructed portfolios of these assets now dominate public and private markets, resulting in a combinatorial explosion of tradable assets. In this…
This paper is a contribution to the Proceedings of the Workshop Complexity, Metastability and Nonextensivity held in Erice 20-26 July 2004, to be published by World Scientific. We propose a generalization to Merton's model for evaluating…
Over-the-counter derivatives have contributed significantly to the effectiveness and efficiency of the international financial system but also entail significant counterparty credit risk. Collateralization is one of the most important and…
We derive semi-analytic approximation formulae for bond and swaption prices in a Black-Karasi\'{n}ski interest rate model. Approximations are obtained using a novel technique based on the Karhunen-Lo\`{e}ve expansion. Formulas are easily…
The problem of portfolio optimization when stochastic factors drive returns and volatilities has been studied in previous works by the authors. In particular, they proposed asymptotic approximations for value functions and optimal…
We consider a structural credit model for a large portfolio of credit risky assets where the correlation is due to a market factor. By considering the large portfolio limit of this system we show the existence of a density process for the…
This paper studies some unconventional utility maximization problems when the ratio type relative portfolio performance is periodically evaluated over an infinite horizon. Meanwhile, the agent is prohibited from short-selling stocks. Our…
Accurate modeling of operational risk is important for a bank and the finance industry as a whole to prepare for potentially catastrophic losses. One approach to modeling operational is the loss distribution approach, which requires a bank…
We develop a framework for price-mediated contagion in financial systems where banks are forced to liquidate assets to satisfy a risk-weight based capital adequacy requirement. In constructing this modeling framework, we introduce a…
Analyticity and unitarity techniques are employed to obtain bounds on the shape parameters of the scalar and vector form factors of semileptonic $K_{l3}$ decays. For this purpose we use vector and scalar correlators evaluated in pQCD, a low…
We design a system for risk-analyzing and pricing portfolios of non-performing consumer credit loans. The rapid development of credit lending business for consumers heightens the need for trading portfolios formed by overdue loans as a…
We consider a company that receives capital injections so as to avoid ruin. Differently from the classical bail-out settings where the underlying process is restricted to stay at or above zero, we study the case bail-out can only be made at…
We study a regression problem where for some part of the data we observe both the label variable ($Y$) and the predictors (${\bf X}$), while for other part of the data only the predictors are given. Such a problem arises, for example, when…