Related papers: Intra-Horizon Expected Shortfall and Risk Structur…
We consider a class of diffusions controlled through the drift and jump size, and driven by a jump L\'evy process and a nondegenerate Wiener process, and we study infinite horizon (ergodic) risk-sensitive control problem for this model. We…
In this paper, we study the robust optimal investment and risk control problem for an insurer who owns the insider information about the financial market and the insurance market under model uncertainty. Both financial risky asset process…
We develop and justify methodology to consistently test for long-horizon return predictability based on realized variance. To accomplish this, we propose a parametric transaction-level model for the continuous-time log price process based…
We address the problem that classical risk measures may not detect the tail risk adequately. This can occur for instance due to averaging when calculating the Expected Shortfall. The current literature proposes the so-called adjusted…
Market dynamic is quantified in terms of the entropy $S(\tau,n)$ of the clusters formed by the intersections between the series of the prices $p_t$ and the moving average $\widetilde{p}_{t,n}$. The entropy $S(\tau,n)$ is defined according…
Predicting the intraday stock jumps is a significant but challenging problem in finance. Due to the instantaneity and imperceptibility characteristics of intraday stock jumps, relevant studies on their predictability remain limited. This…
We consider the problem of valuing a European option written on an asset whose dynamics are described by an exponential L\'evy-type model. In our framework, both the volatility and jump-intensity are allowed to vary stochastically in time…
This paper is devoted to studying an infinite time horizon stochastic recursive control problem with jumps, where infinite time horizon stochastic differential equation and backward stochastic differential equation with jumps describe the…
We present a general framework for a comparative theory of variability measures, with a particular focus on the recently introduced one-parameter families of inter-Expected Shortfall differences and inter-expectile differences, that are…
In this paper, we propose an analytical framework for internal hydraulic jumps. Density jumps or internal hydraulic jumps occur when a supper critical flow of water discharges into a stagnant layer of water with slightly different density.…
We introduce and study the main properties of a class of convex risk measures that refine Expected Shortfall by simultaneously controlling the expected losses associated with different portions of the tail distribution. The corresponding…
In an incomplete market underpinned by the trinomial model, we consider two investors : an ordinary agent whose decisions are driven by public information and an insider who possesses from the beginning a surplus of information encoded…
The problem of estimation error of Expected Shortfall is analyzed, with a view of its introduction as a global regulatory risk measure.
The stochastic $H_2/H_\infty$ control problem for continuous-time mean-field stochastic differential equations with Poisson jumps over finite horizon is investigated in this paper. Continuous and jump diffusion terms in the system depend…
Systemic risk is the risk that a company- or industry-level risk could trigger a huge collapse of another or even the whole institution. Various systemic risk measures have been proposed in the literature to quantify the domino and…
We introduce a general framework for measuring risk in the context of Markov control processes with risk maps on general Borel spaces that generalize known concepts of risk measures in mathematical finance, operations research and…
This paper introduces a novel framework for causal inference in spatial economics that explicitly models the stochastic transition from partial to general equilibrium effects. We develop a Denoising Diffusion Probabilistic Model (DDPM)…
We consider a stochastic process driven by a diffusion and jumps. We devise a technique, which is based on a discrete record of observations, for identifying the times when jumps larger than a suitably defined threshold occurred. The…
In this paper we seek to demonstrate the predictability of stock market returns and explain the nature of this return predictability. To this end, we introduce investors with different investment horizons into the news-driven, analytic,…
Cr\'epey, Frikha, and Louzi (2025) introduced a nested stochastic approximation algorithm and its multilevel acceleration to compute the value-at-risk and expected shortfall of a random financial loss. We hereby establish central limit…