Related papers: A Short Note on Setting Swap Parameters
This article is the term paper of the course Investments. We mainly focus on modeling long-term investment decisions of a typical utility-maximizing individual, with features of Chinese stock market in perspective. We adopt an OR based…
Permutation approach is suggested as a method to investigate financial time series in micro scales. The method is used to see how high frequency trading in recent years has affected the micro patterns which may be seen in financial time…
We propose a method for providing communication network infrastructure in autonomous multi-agent teams. In particular, we consider a set of communication agents that are placed alongside regular agents from the system in order to improve…
Financial options are contracts that specify the right to buy or sell an underlying asset at a strike price by an expiration date. Standard exchanges offer options of predetermined strike values and trade options of different strikes…
We consider an intermediary's problem of dynamically matching demand and supply of heterogeneous types in a periodic-review fashion. More specifically, there are two disjoint sets of demand and supply types, and a reward associated with…
A group of people wishes to use money to exchange goods efficiently over several time periods. However, there are disadvantages to using any of the goods as money, and in addition fiat money issued in the form of notes or coins will be…
We describe a light-weight yet performant system for hyper-parameter optimization that approximately minimizes an overall scalar cost function that is obtained by combining multiple performance objectives using a target-priority-limit…
We consider the problem of dynamic buying and selling of shares from a collection of $N$ stocks with random price fluctuations. To limit investment risk, we place an upper bound on the total number of shares kept at any time. Assuming that…
We study American swaptions in the linear-rational (LR) term structure model introduced in [5]. The American swaption pricing problem boils down to an optimal stopping problem that is analytically tractable. It reduces to a free-boundary…
We find the optimal investment strategy for an individual who seeks to minimize one of four objectives: (1) the probability that his wealth reaches a specified ruin level {\it before} death, (2) the probability that his wealth reaches that…
Pricing financial or real options with arbitrary payoffs in regime-switching models is an important problem in finance. Mathematically, it is to solve, under certain standard assumptions, a general form of optimal stopping problems in…
Abstract This paper proposes a novel approach to Bermudan swaption hedging by applying the deep hedging framework to address limitations of traditional arbitrage-free methods. Conventional methods assume ideal conditions, such as zero…
We characterize the minimum-length sequences of independent lazy simple transpositions whose composition is a uniformly random permutation. For every reduced word of the reverse permutation there is exactly one valid way to assign…
Cryptocurrencies such as Bitcoin and Ethereum have recently gained a lot of popularity, not only as a digital form of currency but also as an investment vehicle. Online marketplaces and exchanges allow users across the world to convert…
Composing a team of professional players is among the most crucial decisions in association football. Nevertheless, transfer market decisions are often based on myopic objectives and are questionable from a financial point of view. This…
We propose a general approximation method for determining optimal trading strategies in markets with proportional transaction costs, with a polynomial approximation of the residual value function. The method is exemplified by several…
In this short note, we will show how to optimize the portfolio of a large trader whose hedging strategy affects the price of his assets.
This paper studies four trading algorithms of a professional trader at a multilateral trading facility, observing a realistic two-sided limit order book whose dynamics are driven by the order book events. The identity of the trader can be…
We determine the optimal investment strategy in a Black-Scholes financial market to minimize the so-called {\it probability of drawdown}, namely, the probability that the value of an investment portfolio reaches some fixed proportion of its…
This paper proposes swaps on two important new measures of generalized variance, namely the maximum eigen-value and trace of the covariance matrix of the assets involved. We price these generalized variance swaps for financial markets with…