Related papers: Unexpected Default in an Information Based Model
This paper presents a new prediction model for time series data by integrating a time-varying Geometric Brownian Motion model with a pricing mechanism used in financial engineering. Typical time series models such as Auto-Regressive…
We study optimal investment in an asset subject to risk of default for investors that rely on different levels of information. The price dynamics can include noises both from a Wiener process and a Poisson random measure with infinite…
The lifetime behaviour of loans is notoriously difficult to model, which can compromise a bank's financial reserves against future losses, if modelled poorly. Therefore, we present a data-driven comparative study amongst three techniques in…
We present the qGaussian generalization of the Merton framework, which takes into account slow fluctuations of the volatility of the firms market value of financial assets. The minimal version of the model depends on the Tsallis entropic…
In experimental and observational data settings, researchers often have limited knowledge of the reasons for missing outcomes. To address this uncertainty, we propose bounds on causal effects for missing outcomes, accommodating the scenario…
We investigate the asymptotic of ruin probabilities when the company invests its reserve in a risky asset with a switching regime price. We assume that the asset price is a conditional geometric Brownian motion with parameters modulated by…
We propose a formula of time-series prediction by means of three states random field Ising model (RFIM). At the economic crisis due to disasters or international disputes, the stock price suddenly drops. The macroscopic phenomena should be…
In a unified framework we study equilibrium in the presence of an insider having information on the signal of the firm value, which is naturally connected to the fundamental price of the firm related asset. The fundamental value itself is…
We introduce a mathematical criterion defining the bubbles or the crashes in financial market price fluctuations by considering exponential fitting of the given data. By applying this criterion we can automatically extract the periods in…
Given a standard Brownian motion $B^{\mu}=(B_t^{\mu})_{0\le t\le T}$ with drift $\mu \in \mathbb{R}$ and letting $S_t^{\mu}=\max_{0\le s\le t}B_s^{\mu}$ for $0\le t\le T$, we consider the optimal prediction problem: \[V=\inf_{0\le \tau \le…
It has been understood that the "local" existence of the Markowitz' optimal portfolio or the solution to the local-risk minimization problem is guaranteed by some specific mathematical structures on the underlying assets price processes…
We solve the problem of optimal stopping of a Brownian motion subject to the constraint that the stopping time's distribution is a given measure consisting of finitely-many atoms. In particular, we show that this problem can be converted to…
In this paper we analyze the resilience of a network of banks to joint price fluctuations of the external assets in which they have shared exposures, and evaluate the worst-case effects of the possible default contagion. Indeed, when the…
We propose a new approach to utilities that is consistent with state-dependent utilities. In our model utilities reflect the level of consumption satisfaction of flows of cash in future times as they are valued when the economic agents are…
We propose a model in which, in exchange to the payment of a fixed transaction cost, an insurance company can choose the retention level as well as the time at which subscribing a perpetual reinsurance contract. The surplus process of the…
The information entropy budget and the rate of information transfer between variables is studied in the context of a nonlinear reduced-order atmospheric model. The key ingredients of the dynamics are present in this model, namely the…
Autonomous agents are often tasked with operating in an area where feedback is unavailable. Inspired by such applications, this paper develops a novel switched systems-based control method for uncertain nonlinear systems with temporary loss…
In the information-based pricing framework of Brody, Hughston and Macrina, the market filtration $\{ \mathcal F_t\}_{t\geq 0}$ is generated by an information process $\{ \xi_t\}_{t\geq0}$ defined in such a way that at some fixed time $T$ an…
This paper deals with optimal prediction in a regime-switching model driven by a continuous-time Markov chain. We extend existing results for geometric Brownian motion by deriving optimal stopping strategies that depend on the current…
We study the optimal timing of derivative purchases in incomplete markets. In our model, an investor attempts to maximize the spread between her model price and the offered market price through optimally timing her purchase. Both the…