Related papers: Banking risk as an epidemiological model: an optim…
The paper studies different regression approaches for modeling COVID-19 spread and its impact on the stock market. The logistic curve model was used with Bayesian regression for predictive analytics of the coronavirus spread. The impact of…
The theory of multilayer networks is in its early stages, and its development provides vital methods for understanding complex systems. Multilayer networks, in their multiplex form, have been introduced within the last three years to…
We consider a family of controlled reaction-diffusion equations, describing the spatial spreading of an invasive biological species. For a given propagation speed $c\in{I\!\!R}$, we seek a control with minimum cost, which achieves a…
In macroeconomics, an emerging discussion of alternative monetary systems addresses the dimensions of systemic risk in advanced financial systems. Monetary regime changes with the aim of achieving a more sustainable financial system have…
We report the results of a project to control the use of end user computing tools for business critical applications in a banking environment. Several workstreams were employed in order to bring about a cultural change within the bank…
Epidemiologists have a growing interest in employing computational approaches to solve analytic problems, with simulation being arguably the most accessible among all approaches. While previous literature discussed the utility of simulation…
We study a simple, solvable model that allows us to investigate effects of credit contagion on the default probability of individual firms, in both portfolios of firms and on an economy wide scale. While the effect of interactions may be…
We propose a simple mathematical model for unemployment. Despite its simpleness, we claim that the model is more realistic and useful than recent models available in the literature. A case study with real data from Portugal supports our…
Global trade of material goods involves the potential to create pathways for the spread of infectious pathogens. One trade sector in which this synergy is clearly critical is that of wildlife trade networks. This highly complex system…
An ergodic analogue of a well-known diffusion model for risk and dividend distribution of a financial company is considered. In this simple primer it is curious how infinitely many optimal strategies are in accordance with the ergodic…
This paper introduces a microscopic approach to model epidemics, which can explicitly consider the consequences of individual's decisions on the spread of the disease. We first formulate a microscopic multi-agent epidemic model where every…
We develop a mathematical framework to study the economic impact of infectious diseases by integrating epidemiological dynamics with a kinetic model of wealth exchange. The multi-agent description leads to study the evolution over time of a…
In this paper, we are interested in evaluating the resilience of financial portfolios under extreme economic conditions. Therefore, we use empirical measures to characterize the transmission process of macroeconomic shocks to risk…
The abrupt outbreak and transmission of biological diseases has always been a long-time concern of humankind. For long, mathematical modeling has served as a simple and yet efficient tool to investigate, predict, and control spread of…
Complex social systems are composed of interconnected individuals whose interactions result in group behaviors. Optimal control of a real-world complex system has many applications, including road traffic management, epidemic prevention,…
Testing is a crucial control mechanism for an epidemic outbreak because it enables the health authority to detect and isolate the infected cases, thereby limiting the disease transmission to susceptible people, when no effective treatment…
In this paper, a general stochastic model with controls applied at the moments when the random process hits the boundary of a given subset of the state set is proposed and studied. The general concept of the model is formulated and its…
In this paper, we formulate cyber risk management and mitigation as a stochastic optimal control problem under a stochastic Susceptible-Infected-Susceptible (SIS) epidemic model. To capture the dynamics and interplay of management and…
In our model, private actors with interbank cash flows similar to, but nore general than (Carmona, Fouque, Sun, 2013) borrow from the outside economy at a certain interest rate, controlled by the central bank, and invest in risky assets.…
It is recognized that social heterogeneities in terms of the contact distribution have a strong influence on the spread of infectious diseases. Nevertheless, few data are available on the group composition of social contacts, and their…