定量金融
We consider the problem where an agent aims to combine the views and insights of different experts' models. Specifically, each expert proposes a diffusion process over a finite time horizon. The agent then combines the experts' models by…
In this paper, we propose a novel axiomatic approach to evaluating the joint risk of multiple insurance risks under dependence uncertainty. Motivated by both the theory of expected utility and the Cobb-Dauglas utility function, we establish…
This paper proposes a new algorithm -- Trading Graph Neural Network (TGNN) that can structurally estimate the impact of asset features, dealer features and relationship features on asset prices in trading networks. It combines the strength…
We introduce a new machine learning approach to detect value-relevant foreign information for both domestic and multinational companies. Candidate foreign signals include lagged returns of stock markets and individual stocks across 47…
The printing and labeling industries are struggling to meet the need for more complex and dynamic design requirements coming from the customers. It is now crucial to implement technological advancements to manage workflow, productivity,…
Risk management in finance involves recognizing, evaluating, and addressing financial risks to maintain stability and ensure regulatory compliance. Extracting relevant insights from extensive regulatory documents is a complex challenge…
This paper addresses an important gap in rigorous numerical treatments for pricing American options under correlated two-asset jump-diffusion models using the viscosity solution framework, with a particular focus on the Merton model. The…
In this study, we employ k-means clustering algorithm of polyspectral means to analyze 49 stocks in the Indian stock market. We have used spectral and bispectral information obtained from the data, by using spectral and bispectral means…
We develop a recursive approach for deriving closed-form solutions to both conditional and unconditional moments of affine jump diffusions with state-independent jump intensities. Using these moment solutions, we construct closed-form…
We propose a stochastic game modelling the strategic interaction between market makers and traders of optimal execution type. For traders, the permanent price impact commonly attributed to them is replaced by quoting strategies implemented…
We study the local (in time) expansion of a continuous-time process and its conditional moments, including the process' characteristic function. The expansions are conducted by using the properties of the (time-extended) Ito signature, a…
United States (US) IG bonds typically trade at modest spreads over US Treasuries, reflecting the credit risk tied to a corporation's default potential. During market crises, IG spreads often widen and liquidity tends to decrease, likely due…
The proposed framework introduces a novel multidimensional representation of money using tensor analysis, enabling a more granular examination of economic interactions and capital flow. By treating money as a multidimensional entity, this…
Decentralised exchanges (DEXs) have transformed trading by enabling trustless, permissionless transactions, yet they face significant challenges such as impermanent loss and slippage, which undermine profitability for liquidity providers…
In the modern financial sector, the exponential growth of data has made efficient and accurate financial data analysis increasingly crucial. Traditional methods, such as statistical analysis and rule-based systems, often struggle to process…
This study evaluates ethanol blending as a practical near-term strategy for significant transportation decarbonization in the United States. Despite rapid growth in electric vehicle adoption, gasoline is projected to remain dominant, with…
Fundamental and necessary principles for achieving efficient portfolio optimization based on asset and diversification dynamics are presented. The Commonality Principle is a necessary and sufficient condition for identifying optimal drivers…
We present an empirical study examining several claims related to option prices in rough volatility literature using SPX options data. Our results show that rough volatility models with the parameter $H \in (0,1/2)$ are inconsistent with…
This paper examines the empirical failure of uncovered interest parity (UIP) and proposes a structural explanation based on a mean-reverting risk premium. We define a realized premium as the deviation between observed exchange rate returns…
We present a general computational framework for solving continuous-time financial market equilibria under minimal modeling assumptions while incorporating realistic financial frictions, such as trading costs, and supporting multiple…