Related papers: Measuring Financial Resilience Using Backward Stoc…
In real-world decision-making problems, for instance in the fields of finance, robotics or autonomous driving, keeping uncertainty under control is as important as maximizing expected returns. Risk aversion has been addressed in the…
We introduce a framework for quantifying propagation of uncertainty arising in a dynamic setting. Specifically, we define dynamic uncertainty sets designed explicitly for discrete stochastic processes over a finite time horizon. These…
A key feature in self-adaptive systems is resilience, which is an ongoing research topic. Recently, the community started to explore antifragility, which describes the improvement of resilience over time. While there are model-agnostic…
In this paper, we study the doubly conditional reflected backward stochastic differential equations (BSDEs), where constraints are made on the conditional expectation of the first component of the solution with respect to a general…
Resilience is a key driver for planning adaptation strategies to mitigate risks due to both natural and anthropogenic hazards. The effectiveness of a resilience-driven decision-making strategy for adapting systems against stressors depends…
Nested simulation is a natural approach to tackle nested estimation problems in operations research and financial engineering. The outer-level simulation generates outer scenarios and the inner-level simulations are run in each outer…
Systemic risk refers to the risk that the financial system is susceptible to failures due to the characteristics of the system itself. The tremendous cost of systemic risk requires the design and implementation of tools for the efficient…
In this paper, we propose a novel data-driven framework for discovering probabilistic laws underlying the Feynman-Kac formula. Specifically, we introduce the first stochastic SINDy method formulated under the risk-neutral probability…
We consider risk-averse convex stochastic programs expressed in terms of extended polyhedral risk measures. We derive computable confidence intervals on the optimal value of such stochastic programs using the Robust Stochastic Approximation…
This paper investigates the phenomenon of support and resistance levels (SR levels) in financial time series, which act as temporary price barriers that reverses price trends. We develop a heuristic discovery algorithm for this purpose, to…
Marginal expected shortfall is unquestionably one of the most popular systemic risk measures. Studying its extreme behaviour is particularly relevant for risk protection against severe global financial market downturns. In this context,…
We propose a novel framework for risk-sensitive reinforcement learning (RSRL) that incorporates robustness against transition uncertainty. We define two distinct yet coupled risk measures: an inner risk measure addressing state and cost…
The financial crisis has dramatically demonstrated that the traditional approach to apply univariate monetary risk measures to single institutions does not capture sufficiently the perilous systemic risk that is generated by the…
We study dynamic risk measures in a very general framework enabling to model uncertainty and processes with jumps. We previously showed the existence of a canonical equivalence class of probability measures hidden behind a given set of…
In this paper, we introduce a new type of backward stochastic differential equations (BSDEs), called conditional expectation BSDEs, whose drivers depend not only on the value of the solutions but also on their conditional expectations with…
It is widely accepted that there is strong persistence in the volatility of financial time series. The origin of the observed persistence, or long-range memory, is still an open problem as the observed phenomenon could be a spurious effect.…
In this paper, we study reflected backward stochastic differential equation (reflected BSDE in abbreviation) with rank-based data in a Markovian framework; that is, the solution to the reflected BSDE is above a prescribed boundary process…
Systemic risk measures were introduced to capture the global risk and the corresponding contagion effects that is generated by an interconnected system of financial institutions. To this purpose, two approaches were suggested. In the first…
The present article introduces a reference framework for discussing resilience of computational systems. Rather than a property that may or may not be exhibited by a system, resilience is interpreted here as the emerging result of a dynamic…
In this paper, we study the solvability of anticipated backward stochastic differential equations (BSDEs, for short) with quadratic growth for one-dimensional case and multi-dimensional case. In these BSDEs, the generator, which is of…