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We study the problem of dynamically trading futures in a regime-switching market. Modeling the underlying asset price as a Markov-modulated diffusion process, we present a utility maximization approach to determine the optimal futures…
This study presents contemporaneous modeling of asset return and price range within the framework of stochastic volatility with leverage. A new representation of the probability density function for the price range is provided, and its…
Even in the face of deteriorating and highly volatile demand, firms often invest in, rather than discard, aging technologies. In order to study this phenomenon, we model the firm's profit stream as a Brownian motion with negative drift. At…
We consider the obnoxious facility location problem (in which agents prefer the facility location to be far from them) and propose a hierarchy of distance-based proportional fairness concepts for the problem. These fairness axioms ensure…
Parking occupancy in the area is defined by three major parameters - the rate of cars arrivals, the dwell time of already parked cars, and the willingness of drivers who are searching but yet did not find a vacant parking spot, to continue…
This paper extends the valuation and optimal surrender framework for variable annuities with guaranteed minimum benefits in a L\'evy equity market environment by incorporating a stochastic interest rate described by the Hull-White model.…
We consider portfolio selection when decisions based on a dynamic risk measure are affected by the use of a moving horizon, and the possible inconsistencies that this creates. By giving a formal treatment of time consistency which is…
Forest transitions, characterized by dynamic shifts between forest, agricultural, and abandoned lands, are complex phenomena. This study developed a stochastic differential equation model to capture the intricate dynamics of these…
We study the modelling and valuation of surrender and other behavioural options in life insurance and pension. We place ourselves in between the two extremes of completely arbitrary intervention and optimal intervention by the policyholder.…
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…
This paper studies a one-sector optimal growth model with i.i.d. productivity shocks that are allowed to be unbounded. The utility function is assumed to be non-negative and unbounded from above. The novel feature in our framework is that…
Scenario decision making offers a flexible way of making decision in an uncertain environment while obtaining probabilistic guarantees on the risk of failure of the decision. The idea of this approach is to draw samples of the uncertainty…
Mover-stayer models are used in social sciences and economics to model heterogeneous population dynamics in which some individuals never experience the event of interest ("stayers"), while others transition between states over time…
In this paper, we consider a residential heating system with renewable and non-renewable heat generation and different consumption units and investigate a stochastic optimal control problem for its cost-optimal management. As a special…
Flexibility options, such as demand response, energy storage and interconnection, have the potential to reduce variation in electricity prices between different future scenarios, therefore reducing investment risk. Moreover, investment in…
We show that disentangling sentiment-induced biases from fundamental expectations significantly improves the accuracy and consistency of probabilistic forecasts. Using data from 1994 to 2017, we analyze 15 stochastic models and…
Human interactions and mobility shape epidemic dynamics by facilitating disease outbreaks and their spatial spread across regions. Traditional models often isolate commuting and random mobility as separate behaviors, focusing either on…
The objective of this paper is to measure the degree of home bias (HB) within holdings portfolio and to identify their determining factors. By following literature and an international capital asset pricing model, we have chosen quite a…
This paper motivates the use of random-bridges -- stochastic processes conditioned to take target distributions at fixed timepoints -- in the realm of generative modelling. Herein, random-bridges can act as stochastic transports between two…
In this work the problem of optimal harvesting policy selection for natural resources management under model uncertainty is investigated. Under the framework of the neoclassical growth model dynamics, the associated optimal control problem…