Related papers: Bridging Stochastic Control and Deep Hedging: Stru…

We study the martingale optimal transport problem with state-dependent trading frictions and develop a geometric and duality framework extending from the one time-step to the multi-marginal setting. Building on the left-monotone structure…

We consider a financial market where stocks are available for dynamic trading, and European and American options are available for static trading (semi-static trading strategies). We assume that the American options are infinitely…

In this paper the zero vanna implied volatility approximation for the price of freshly minted volatility swaps is generalised to seasoned volatility swaps. We also derive how volatility swaps can be hedged using a strip of vanilla options…

This paper deals with the problem of discrete-time option pricing by the mixed fractional version of Merton model with transaction costs. By a mean-self-financing delta hedging argument in a discrete-time setting, a European call option…

In this article, a compact finite difference method is proposed for pricing European and American options under jump-diffusion models. Partial integro-differential equation and linear complementary problem governing European and American…

We propose a new financial model, the stochastic volatility model with sticky drawdown and drawup processes (SVSDU model), which enables us to capture the features of winning and losing streaks that are common across financial markets but…

We investigate the optimal execution of contracts that are used in merger\&acquisition deals. We consider cash-settled and physically delivered contracts between a broker and a counterpart. Contracts are linear (total returns swaps),…

Derivatives, as a critical class of financial instruments, isolate and trade the price attributes of risk assets such as stocks, commodities, and indices, aiding risk management and enhancing market efficiency. However, traditional hedging…

We consider fully nonlinear Hamilton-Jacobi-Bellman equations associated to diffusion control problems involving a finite set-valued (or switching) control and possibly a continuum-valued control. We construct a lower complexity…

For an infinite-horizon control problem, the optimal control can be represented by the stable manifold of the characteristic Hamiltonian system of Hamilton-Jacobi-Bellman (HJB) equation in a semiglobal domain. In this paper, we first…

We study the rate-cost tradeoff in rate-limited control of general stochastic control systems, including nonlinear systems, over a finite horizon. At each time step, an encoder observes the state and transmits a description to a controller,…

We provide a data-driven framework for optimal control of a continuous-time stochastic dynamical system. The proposed framework relies on the linear operator theory involving linear Perron-Frobenius (P-F) and Koopman operators. Our first…

We investigate the problem of pricing and hedging derivatives of Electricity Futures contract when the underlying asset is not available. We propose to use a cross hedging strategy based on the Futures contract covering the larger delivery…

Optimal trading strategies for pairs trading have been studied by models that try to find either optimal shares of stocks by assuming no transaction costs or optimal timing of trading fixed numbers of shares of stocks with transaction…

Forecasting accuracy is routinely optimised in financial prediction tasks even though investment and risk-management decisions are executed under transaction costs, market impact, capacity limits, and binding risk constraints. This paper…

We consider a production-inventory control model with finite capacity and two different production rates, assuming that the cumulative process of customer demand is given by a compound Poisson process. It is possible at any time to switch…

In this article we consider the problem of pricing and hedging high-dimensional Asian basket options by Quasi-Monte Carlo simulation. We assume a Black-Scholes market with time-dependent volatilities and show how to compute the deltas by…

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…

We analyze the empirical performance of several non-parametric estimators of the pricing functional for European options, using historical put and call prices on the S&P500 during the year 2012. Two main families of estimators are…

We present a distributed and price-based control approach for frequency regulation in power grids with nonzero line conductances. Both grid and controller are modeled as a port-Hamiltonian system, where the grid model consists of…