Related papers: Factor endowment--commodity output relationships i…

Empirical evidence suggests that fixed income markets exhibit unspanned stochastic volatility (USV), that is, that one cannot fully hedge volatility risk solely using a portfolio of bonds. While [1] showed that no two-factor…

The factorization theorem for organizing multiple electroweak boson emissions at future colliders with energy far above the electroweak scale is formulated. Taking the inclusive muon-pair production in electron-positron collisions as an…

We present a methodology for representing probabilistic relationships in a general-equilibrium economic model. Specifically, we define a precise mapping from a Bayesian network with binary nodes to a market price system where consumers and…

Modeling interactions between features improves the performance of machine learning solutions in many domains (e.g. recommender systems or sentiment analysis). In this paper, we introduce Exponential Machines (ExM), a predictor that models…

Income and risk coexist, yet investors are often so focused on chasing high returns that they overlook the potential risks that can lead to high losses. Therefore, risk forecasting and risk control is the cornerstone of investment. To…

We study a two-dimensional McKean-Vlasov stochastic differential equation, whose volatility coefficient depends on the conditional distribution of the second component with respect to the first component. We prove the strong existence and…

Higher-order theories of gravity are a branch of modified gravity wherein the geometrodynamics of the four-dimensional Riemannian manifold is determined by field equations involving derivatives of the metric tensor of order higher than two.…

Let $E$ be an optimal elliptic curve of conductor $N$, such that the $L$-function of $E$ vanishes to order one at $s=1$. Let $K$ be a quadratic imaginary field in which all the primes dividing $N$ split and such that the $L$-function of $E$…

We demonstrate, by a simple analysis, that cosmological line elements related by scale factor duality also exhibit a duality with respect to the conservation/violation of the Weak Energy Condition (WEC) by the matter that acts as the source…

Using the Donsker-Prokhorov invariance principle we extend the Kim-Stoyanov-Rachev-Fabozzi option pricing model to allow for variably-spaced trading instances, an important consideration for short-sellers of options. Applying the…

We investigate activities that have different periods of duration. We define the profit intensity as a measure of this economic category. The profit intensity in a repeated trading has a unique property of attaining its maximum at a fixed…

We consider an equity-linked contract whose payoff depends on the lifetime of policy holder and the stock price. We assume the limited capital for hedging and we provide with the best strategy for an insurance company in the meaning of so…

Expected Shortfall (ES), also known as superquantile or Conditional Value-at-Risk, has been recognized as an important measure in risk analysis and stochastic optimization, and is also finding applications beyond these areas. In finance, it…

Expected Shortfall (ES) is the average return on a risky asset conditional on the return being below some quantile of its distribution, namely its Value-at-Risk (VaR). The Basel III Accord, which will be implemented in the years leading up…

In this paper we analyse the five-factor capital market model of Munk et al.(2004). The model features a Vasicek interest rate model, an equity index with mean-reverting excess return and an index for realized inflation with mean-reverting…

Industries learn productivity improvements from their suppliers. The observed empirical importance of these interactions, often omitted by input-output models, mandates larger attention. This article embeds interdependent total factor…

In the analysis of commodity futures, it is commonly assumed that futures prices are driven by two latent factors: short-term fluctuations and long-term equilibrium price levels. In this study, we extend this framework by introducing a…

This paper employs a weighted network approach to study the empirical properties of the web of trade relationships among world countries, and its evolution over time. We show that most countries are characterized by weak trade links; yet,…

We explore a decomposition in which returns on a large class of portfolios relative to the market depend on a smooth non-negative drift and changes in the asset price distribution. This decomposition is obtained using general continuous…

In this paper, we consider the problem of optimal investment by an insurer. The insurer invests in a market consisting of a bank account and $m$ risky assets. The mean returns and volatilities of the risky assets depend nonlinearly on…