Related papers: An effective interest rate cap: a clarification
We examine optimal regulation of financial networks with debt interdependencies between financial firms. We first show that firms often have an incentive to choose excessively risky portfolios and overly correlate their portfolios with…
Recently, it was shown that most popular IR measures are not interval-scaled, implying that decades of experimental IR research used potentially improper methods, which may have produced questionable results. However, it was unclear if and…
Regular resolution is a refinement of the resolution proof system requiring that no variable be resolved on more than once along any path in the proof. It is known that there exist sequences of formulas that require exponential-size proofs…
This paper investigates $\exists\mathbb{R}(r^{\mathbb{Z}})$, that is the extension of the existential theory of the reals by an additional unary predicate $r^{\mathbb{Z}}$ for the integer powers of a fixed computable real number $r > 0$. If…
Public debt is one of the important economic variables that quantitatively describes a nation's economy. Because bankruptcy is a risk faced even by institutions as large as governments (e.g. Iceland), national debt should be strictly…
Linear structural error-in-variables models with univariate observations are revisited for studying modified least squares estimators of the slope and intercept. New marginal central limit theorems (CLT's) are established for these…
The problem of variable-rate lossless data compression is considered, for codes with and without prefix constraints. Sharp bounds are derived for the best achievable compression rate of memoryless sources, when the excess-rate probability…
Formally verifying the correctness of mathematical proofs is more accessible than ever, however, the learning curve remains steep for many of the state-of-the-art interactive theorem provers (ITP). Deriving the most appropriate subsequent…
Individualized treatment rules (ITRs) are considered a promising recipe to deliver better policy interventions. One key ingredient in optimal ITR estimation problems is to estimate the average treatment effect conditional on a subject's…
Univariate isotonic regression (IR) has been used for nonparametric estimation in dose-response and dose-finding studies. One undesirable property of IR is the prevalence of piecewise-constant stretches in its estimates, whereas the…
I develop and estimate a dynamic equilibrium model of risky entrepreneurs' borrowing and savings decisions incorporating both formal and local-informal credit markets. Households have access to an exogenous formal credit market and to an…
Throttling in graphs optimizes a sum or product of resources used, such as the number of vertices in an initial set, and time required, such as the propagation time, to complete a given task. We introduce a new technique to establish sharp…
Standard supervised classification trains models to imitate the exact labels provided by a perfect oracle. This imitation happens in a single pass, restricting the model to a fixed compute budget even when inputs vary in complexity.…
The aim of this thesis is to analyze and renovate few main-stream models on inflation derivatives. In the first chapter of the thesis, concepts of financial instruments and fundamental terms are introduced, such as coupon bond,…
The aim of inverse reinforcement learning (IRL) is to infer an agent's preferences from observing their behaviour. Usually, preferences are modelled as a reward function, $R$, and behaviour is modelled as a policy, $\pi$. One of the central…
Probably Approximately Correct (PAC) bounds are widely used to derive probabilistic guarantees for the generalisation of machine learning models. They highlight the components of the model which contribute to its generalisation capacity.…
The upsurge of real estate involves a variety of factors that have got influenced by many domains. Indeed, the unrecognized sector that would affect the economy for which regulatory proposals are being drafted to keep this in control is the…
We derive a closed-form expression capturing the degree of Relative Risk Aversion (RRA) of investors for non-"fair" lotteries. We argue that our formula is superior to earlier methods that have been proposed, as it is a function of only…
The currency carry trade is the investment strategy that involves selling low interest rate currencies in order to purchase higher interest rate currencies, thus profiting from the interest rate differentials. This is a well known financial…
This paper revisits the classic instrument choice problem in a setting with consumption externalities, through the lens of robust mechanism design. A regulator can implement any incentive-compatible policy but is uncertain about how…