Related papers: Spanning Multi-Asset Payoffs With ReLUs
We consider portfolio optimization under a preference model in a single-period, complete market. This preference model includes Yaari's dual theory of choice and quantile maximization as special cases. We characterize when the optimal…
We consider the supOU stochastic volatility model which is able to exhibit long-range dependence. For this model we give conditions for the discounted stock price to be a martingale, calculate the characteristic function, give a strip where…
Avanzi et al. (2016) recently studied an optimal dividend problem where dividends are paid both periodically and continuously with different transaction costs. In the Brownian model with Poissonian periodic dividend payment opportunities,…
Building the future profit and loss (P&L) distribution of a portfolio holding, among other assets, highly non-linear and path-dependent derivatives is a challenging task. We provide a simple machinery where more and more assets could be…
Option prices encode the market's collective outlook through implied density and implied volatility. An explicit link between implied density and implied volatility translates the risk-neutrality of the former into conditions on the latter…
In game theory, players have continuous expected payoff functions and can use fixed point theorems to locate equilibria. This optimization method requires that players adopt a particular type of probability measure space. Here, we introduce…
Quadratic hedging of option payoffs generates the variance optimal martingale measure. When an option features an exercise policy and its cash flows are hedged according to this approach, it may be tempting to optimize such a policy under…
The long-run average payoff per transition (mean payoff) is the main tool for specifying the performance and dependability properties of discrete systems. The problem of constructing a controller (strategy) simultaneously optimizing several…
The crisis that affected financial markets in the last years leaded market practitioners to revise well known basic concepts like the ones of discount factors and forward rates. A single yield curve is not sufficient any longer to describe…
How should financial institutions hedge their balance sheets against interest rate risk when managing long-term assets and liabilities? We address this question by proposing a bond portfolio solution based on ambiguity-averse preferences,…
Institutional crossing platforms face a hidden-information problem: investors value trades as portfolios, but liquidity discovery is typically organized around individual securities. We model portfolio crossing as limited-communication…
This paper develops a flexible and computationally efficient multivariate volatility model, which allows for dynamic conditional correlations and volatility spillover effects among financial assets. The new model has desirable properties…
We consider the problem of constructing a single spanning tree for the single-source buy-at-bulk network design problem for doubling-dimension graphs. We compute a spanning tree to route a set of demands (or data) along a graph to or from a…
The expected present value of dividends is one of the classical stability criteria in actuarial risk theory. In this context, numerous papers considered threshold (refractive) and barrier (reflective) dividend strategies. These were shown…
Tracking a financial index boils down to replicating its trajectory of returns for a well-defined time span by investing in a weighted subset of the securities included in the benchmark. Picking the optimal combination of assets becomes a…
This paper studies an incentive structure for cooperation and its stability in peer-assisted services when there exist multiple content providers, using a coalition game theoretic approach. We first consider a generalized coalition…
In this paper, we study the benefits of using polyharmonic splines and node layouts with smoothly varying density for developing robust and efficient radial basis function generated finite difference (RBF-FD) methods for pricing of…
Selling a perfectly divisible item to potential buyers is a fundamental task with apparent applications to pricing communication bandwidth and cloud computing services. Surprisingly, despite the rich literature on single-item auctions,…
This paper studies an incentive structure for cooperation and its stability in peer-assisted services when there exist multiple content providers, using a coalition game theoretic approach. We first consider a generalized coalition…
We propose a novel machine learning approach for forecasting the distribution of stock returns using a rich set of firm-level and market predictors. Our method combines a two-stage quantile neural network with spline interpolation to…