相关论文: On break-even correlation: the way to price struct…

One of the most popular copulas for modeling dependence structures is t-copula. Recently the grouped t-copula was generalized to allow each group to have one member only, so that a priori grouping is not required and the dependence modeling…

Vine copulas are a flexible tool for high-dimensional dependence modeling. In this article, we discuss the generation of approximate model-X knockoffs with vine copulas. It is shown how Gaussian knockoffs can be generalized to Gaussian…

We propose a method to bound the expectation of the supremum of the price process in stochastic volatility models. It can be applied, for example, to the rough Bergomi model, avoiding the need to discuss finiteness of higher moments. Our…

This paper develops a decomposition methodology for common agency games in which each principal's payoff depends on her own outcome and the agent's type, but not on rivals' outcomes. The key step reduces each principal's best-response…

We study a discrete-time consumption-based capital asset pricing model under expectations-based reference-dependent preferences. More precisely, we consider an endowment economy populated by a representative agent who derives utility from…

In this paper we study dynamic pricing mechanisms of financial derivatives. A typical model of such pricing mechanism is the so-called g--expectation defined by solutions of a backward stochastic differential equation with g as its…

We formulate a continuous-time competitive equilibrium model of irreversible capacity investment in which a continuum of heterogeneous producers supplies a single non-durable good subject to exogenous stochastic demand. Each producer…

This article analytically characterizes the impermanent loss for automatic market makers in decentralized exchanges such as Uniswap or Balancer (CPMM). We present a theoretical static replication formula for the pool value using a…

Variational inference has recently emerged as a popular alternative to the classical Markov chain Monte Carlo (MCMC) in large-scale Bayesian inference. The core idea is to trade statistical accuracy for computational efficiency. In this…

We present a new model for credit index derivatives, in the top-down approach. This model has a dynamic loss intensity process with volatility and jumps and can include counterparty risk. It handles CDS, CDO tranches, Nth-to-default and…

Model-X knockoffs allows analysts to perform feature selection using almost any machine learning algorithm while still provably controlling the expected proportion of false discoveries. To apply model-X knockoffs, one must construct…

In this paper, we establish a market model for the term structure of forward inflation rates based on the risk-neutral dynamics of nominal and real zero-coupon bonds. Under the market model, we can price inflation caplets as well as…

Copulas provide an attractive approach for constructing multivariate distributions with flexible marginal distributions and different forms of dependences. Of particular importance in many areas is the possibility of explicitly forecasting…

We introduce, in continuous time, an axiomatic approach to assign to any financial position a dynamic ask (resp. bid) price process. Taking into account both transaction costs and liquidity risk this leads to the convexity (resp. concavity)…

A competitive growth model (CGM) describes aggregation of a single type of particle under two distinct growth rules with occurrence probabilities $p$ and $1-p$. We explain the origin of scaling behaviors of the resulting surface roughness…

We introduce a new method to calculate the credit exposure of European and path-dependent options. The proposed method is able to calculate accurate expected exposure and potential future exposure profiles under the risk-neutral and the…

In this paper, we present a new method for pricing CMS derivatives. We use Mallaivin's calculus to establish a model-free connection between the price of a CMS derivative and a quadratic payoff. Then, we apply Watanabe's expansions to…

This paper develops general approaches for pricing various types of American-style Parisian options (down-in/-out, perpetual/finite-maturity) with general payoff functions based on continuous-time Markov chain (CTMC) approximation under…

Modeling returns on large portfolios is a challenging problem as the number of parameters in the covariance matrix grows as the square of the size of the portfolio. Traditional correlation models, for example, the dynamic conditional…

We introduce a new class of combinatorial markets in which agents have covering constraints over resources required and are interested in delay minimization. Our market model is applicable to several settings including scheduling, cloud…