Related papers: A stability result on optimal Skorokhod embedding
In this paper we consider the Skorokhod embedding problem for target distributions with non-zero mean. In the zero-mean case, uniform integrability provides a natural restriction on the class of embeddings, but this is no longer suitable…
This paper examines a variety of classical optimization problems, including well-known minimization tasks and more general variational inequalities. We consider a stochastic formulation of these problems, and unlike most previous work, we…
Since Hobson's seminal paper [D. Hobson: Robust hedging of the lookback option. In: Finance Stoch. (1998)] the connection between model-independent pricing and the Skorokhod embedding problem has been a driving force in robust finance. We…
In this paper we provide a complete theoretical analysis of a two-dimensional degenerate non convex singular stochastic control problem. The optimisation is motivated by a storage-consumption model in an electricity market, and features a…
We present a new numerical method to price vanilla options quickly in time-changed Brownian motion models. The method is based on rational function approximations of the Black-Scholes formula. Detailed numerical results are given for a…
We consider the problem of designing uniformly stable first-order optimization algorithms for empirical risk minimization. Uniform stability is often used to obtain generalization error bounds for optimization algorithms, and we are…
We consider robust pricing and hedging for options written on multiple assets given market option prices for the individual assets. The resulting problem is called the multi-marginal martingale optimal transport problem. We propose two…
We consider a finite horizon optimal stopping problem related to trade-off strategies between expected profit and cost cash-flows of an investment under uncertainty. The optimal problem is first formulated in terms of a system of Snell…
This paper investigates the problem of tracking solutions of stochastic optimization problems with time-varying costs that depend on random variables with decision-dependent distributions. In this context, we propose the use of an online…
The matter of the stability for multi-asset American option pricing problems is a present remaining challenge. In this paper a general transformation of variables allows to remove cross derivative terms reducing the stencil of the proposed…
This paper investigates the optimal choices of financial derivatives to complete a financial market in the framework of stochastic volatility (SV) models. We introduce an efficient and accurate simulation-based method, applicable to…
In this paper, we consider the portfolio optimization problem in a financial market under a general utility function. Empirical results suggest that if a significant market fluctuation occurs, invested wealth tends to have a notable change…
We consider the problem of optimally stopping a general one-dimensional stochastic differential equation (SDE) with generalised drift over an infinite time horizon. First, we derive a complete characterisation of the solution to this…
This paper presents an algorithm for a complete and efficient calibration of the Heston stochastic volatility model. We express the calibration as a nonlinear least squares problem. We exploit a suitable representation of the Heston…
We formulate and solve a free target optimal Brownian stopping problem from a given distribution while the target distribution is free and is conditioned to satisfy a given density height constraint. The free target optimization problem…
In this paper, we consider the portfolio optimization problem in a financial market where the underlying stochastic volatility model is driven by n-dimensional Brownian motions. At first, we derive a Hamilton-Jacobi-Bellman equation…
We study the problem of optimal dividend payout from a surplus process governed by Brownian motion with drift under the additional constraint of ratcheting, i.e. the dividend rate can never decrease. We solve the resulting two-dimensional…
In optimal control problems defined on stratified domains, the dynamics and the running cost may have discontinuities on a finite union of submanifolds of RN. In [8, 5], the corresponding value function is characterized as the unique…
We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…
We characterise the value function of the optimal dividend problem with a finite time horizon as the unique classical solution of a suitable Hamilton-Jacobi-Bellman equation. The optimal dividend strategy is realised by a Skorokhod…