Related papers: Levy-stable scaling of risk and performance functi…
Continuous-time stochastic systems have attracted a lot of attention recently, due to their wide-spread use in finance for modelling price-dynamics. More recently models taking into accounts shocks have been developed by assuming that the…
We investigate confined L\'{e}vy flights under premises of the principle of detailed balance. The master equation admits a transformation to L\'{e}vy - Schr\"{o}dinger semigroup dynamics (akin to a mapping of the Fokker-Planck equation into…
This paper presents hedging strategies for European and exotic options in a Levy market. By applying Taylor's Theorem, dynamic hedging portfolios are con- structed under different market assumptions, such as the existence of power jump…
We propose a numerical method for the valuation of European-style options under two-asset infinite-activity exponential L\'evy models. Our method extends the effective approach developed by Wang, Wan & Forsyth (2007) for the 1-dimensional…
We tackle the calibration of the so-called Stochastic-Local Volatility (SLV) model. This is the class of financial models that combines the local and stochastic volatility features and has been subject of the attention by many researchers…
We consider an investor who seeks to maximize her expected utility derived from her terminal wealth relative to the maximum performance achieved over a fixed time horizon, and under a portfolio drawdown constraint, in a market with local…
We present a method of generation of exact and explicit forms of one-sided, heavy-tailed Levy stable probability distributions g_{\alpha}(x), 0 \leq x < \infty, 0 < \alpha < 1. We demonstrate that the knowledge of one such a distribution…
Modeling uncertainty in heavy-tailed time series remains a critical challenge for deep probabilistic forecasting models, which often struggle to capture abrupt, extreme events. While L\'evy stable distributions offer a natural framework for…
The present work is concerned with the stabilization of a general class of time-varying linear parabolic equations by means of a finite-dimensional receding horizon control (RHC). The stability and suboptimality of the unconstrained…
The class of $\alpha$-stable distributions is widely used in various applications, especially for modelling heavy-tailed data. Although the $\alpha$-stable distributions have been used in practice for many years, new methods for…
Action chunking has recently emerged as a standard practice in flow-based Vision-Language-Action (VLA) models. However, the effect and choice of the execution horizon - the number of actions to be executed from each predicted chunk -…
This paper deals with the distributed and boundary controllability of the so called Leray-$\alpha$ model. This is a regularized variant of the Navier-Stokes system ($\alpha$ is a small positive parameter) that can also be viewed as a model…
Efficient assessment of convolved hidden Markov models is discussed. The bottom-layer is defined as an unobservable categorical first-order Markov chain, while the middle-layer is assumed to be a Gaussian spatial variable conditional on the…
In this paper, we are interested in the nonlinear Rayleigh-Taylor instability for the gravity-driven incompressible Navier-Stokes equations with Navier-slip boundary conditions around a smooth increasing density profile $\rho_0(x_2)$ in a…
Using all available data on the deep-inelastic cross-sections at HERA at x<0.01, we look for geometric scaling of the form \sigma^{\gamma^*p}(\tau) where the scaling variable \tau behaves alternatively like \log(Q^2)-\lambda Y, as in the…
In this paper we consider a multivariate risk model with common renewal process, while the logarithmic returns of the insurers investment portfolio, are described by a Levy process. In the two main results are established an asymptotic…
This paper investigates a continuous-time portfolio optimization problem with the following features: (i) a no-short selling constraint; (ii) a leverage constraint, that is, an upper limit for the sum of portfolio weights; and (iii) a…
We consider the performance of non-optimal hedging strategies in exponential L\'evy models. Given that both the payoff of the contingent claim and the hedging strategy admit suitable integral representations, we use the Laplace transform…
A novel forecast combination and weighted quantile based tail-risk forecasting framework is proposed, aiming to reduce the impact of modelling uncertainty in tail-risk forecasting. The proposed approach is based on a two-step estimation…
We model the logarithm of the price (log-price) of a financial asset as a random variable obtained by projecting an operator stable random vector with a scaling index matrix $\underline{\underline{E}}$ onto a non-random vector. The scaling…