Related papers: Explicit Computations for Delayed Semistatic Hedgi…
This paper is devoted to the construction of exponential integrators of first and second order for the time discretization of constrained parabolic systems. For this extend, we combine well-known exponential integrators for unconstrained…
We consider a semilinear equation linked to the finite horizon consumption - investment problem under the stochastic factor framework and we prove it admits a classical solution and provide all obligatory estimates to successfully apply a…
We prove results on bounded solutions to backward stochastic equations driven by random measures. Those bounded BSDE solutions are then applied to solve different stochastic optimization problems with exponential utility in models where the…
A space-discretization for the elastic flow of inextensible curves is devised and quasi-optimal convergence of the corresponding semi-discrete problem is proved for a suitable discretization of the nonlinear inextensibility constraint.…
We present an algorithm producing a dynamic non-self-financing hedging strategy in an incomplete market corresponding to investor-relevant risk criterion. The optimization is a two stage process that first determines admissible model…
We consider expected utility maximisation problem for exponential Levy models and HARA utilities in presence of illiquid asset in portfolio. This illiquid asset is modelled by an option of European type on another risky asset which is…
We consider the problem of maximizing the discounted utility of dividend payments of an insurance company whose reserves are modeled as a classical Cram\'er-Lundberg risk process. We investigate this optimization problem under the…
Driven by green communications, energy efficiency (EE) has become a new important criterion for designing wireless communication systems. However, high EE often leads to low spectral efficiency (SE), which spurs the research on EE-SE…
In this note, we analyze an abstract evolution equation with time-dependent time delay and time-dependent delay feedback coefficient. We assume that the operator corresponding to the nondelayed part of the model generates an exponentially…
We study the utility maximization problem for power utility random fields in a semimartingale financial market, with and without intermediate consumption. The notion of an opportunity process is introduced as a reduced form of the value…
We consider a continuous-time financial market that consists of securities available for dynamic trading, and securities only available for static trading. We work in a robust framework where a set of non-dominated models is given. The…
The probability minimizing problem of large losses of portfolio in discrete and continuous time models is studied. This gives a generalization of quantile hedging presented in [3].
This paper studies the problem of optimal investment in incomplete markets, robust with respect to stopping times. We work on a Brownian motion framework and the stopping times are adapted to the Brownian filtration. Robustness can only be…
In most real scenarios the construction of a risk-neutral portfolio must be performed in discrete time and with transaction costs. Two human imposed constraints are the risk-aversion and the profit maximization, which together define a…
We develop a semi-static framework for the variance-optimal hedging of multi-asset derivatives exposed to correlation and covariance risk. The approach combines continuous-time dynamic trading in the underlying assets with a static…
Motivated by the asset-liability management of a nuclear power plant operator, we consider the problem of finding the least expensive portfolio, which outperforms a given set of stochastic benchmarks. For a specified loss function, the…
Optimization under uncertainty deals with the problem of optimizing stochastic cost functions given some partial information on their inputs. These problems are extremely difficult to solve and yet pervade all areas of technological and…
In this paper, we undertake an investigation into the utility maximization problem faced by an economic agent who possesses the option to switch jobs, within a scenario featuring the presence of a mandatory retirement date. The agent needs…
In this note, we study the utility maximization problem on the terminal wealth under proportional transaction costs and bounded random endowment. In particular, we restrict ourselves to the num\'eraire-based model and work with utility…
We study a stochastic control approach to managed futures portfolios. Building on the Schwartz 97 stochastic convenience yield model for commodity prices, we formulate a utility maximization problem for dynamically trading a single-maturity…