相关论文: Calculating optimal limits for transacting credit …

With growing credit card transaction volumes, the fraud percentages are also rising, including overhead costs for institutions to combat and compensate victims. The use of machine learning into the financial sector permits more effective…

We develop a cross-border market model for two countries based on a continuous trading mechanism, in which the transmission capacities that enable transactions between market participants from different countries are limited. Our market…

We consider an optimal investment problem to maximize expected utility of the terminal wealth, in an illiquid market with search frictions and transaction costs. In the market model, an investor's attempt of transaction is successful only…

In this paper the authors study a model for the optimal operation of a bank or insurance company which was recently introduced by Peura and Keppo. The model generalizes a previous one of Milne and Robertson by allowing the bank to raise…

I study the optimal regulation of a financial sector where individual banks face self-enforcing constraints countering their default incentives. The constrained-efficient social planner can improve over the unregulated equilibrium in two…

We formulate and solve a finite horizon full balance sheet two-modes optimal switching problem related to trade-off strategies between expected profit and cost yields. Given the current mode, this model allows for either a switch to the…

In this paper, we study a stochastic optimal control problem with stochastic volatility. We prove the sufficient and necessary maximum principle for the proposed problem. Then we apply the results to solve an investment, consumption and…

Sustaining efficiency and stability by properly controlling the equity to asset ratio is one of the most important and difficult challenges in bank management. Due to unexpected and abrupt decline of asset values, a bank must closely…

In this research we study a finite horizon optimal purchasing problem for items with a mean reverting price process. Under this model a fixed amount of identical items are bought under a given deadline, with the objective of minimizing the…

Based on a point of view that solvency and security are first, this paper considers regular-singular stochastic optimal control problem of a large insurance company facing positive transaction cost asked by reinsurer under solvency…

We determine an explicit formula for the Laplace transform of the price of an option on a maximal interest rate when the instantaneous rate satisfies Cox-Ingersoll-Ross's model. This generalizes considerably one result of Leblanc-Scaillet.

In this study, we introduce an explicit trading-volume process into the Almgren-Chriss model, which is a standard model for optimal execution. We propose a penalization method for deriving a verification theorem for an adaptive optimization…

We consider an online version of the well-studied network utility maximization problem, where users arrive one by one and an operator makes irrevocable decisions for each user without knowing the details of future arrivals. We propose a…

An agent holds a position in a perpetual contract with payoff function $\psi$ and attempts to liquidate the position while managing transaction costs, inventory risk, and funding rate payments. By solving the agent's stochastic control…

We find it is common for consumers who are not in financial distress to make credit card payments at or close to the minimum. This pattern is difficult to reconcile with economic factors but can be explained by minimum payment information…

We present a methodology for determining the relationship between the optimal control points of a power storage facility and a number of different factors including storage level and temperature. The interaction between different factors is…

We analyze a tractable model of a limit order book on short time scales, where the dynamics are driven by stochastic fluctuations between supply and demand. We establish the existence of a limiting distribution for the highest bid, and for…

Coupon allocation drives customer purchases and boosts revenue. However, it presents a fundamental trade-off between exploiting the current optimal policy to maximize immediate revenue and exploring alternative policies to collect data for…

We consider an optimal control problem for a non-autonomous model of ODEs that describes the evolution of the number of customers in some firm. Namely we study the best marketing strategy. Considering a $L^2$ cost functional, we establish…

This paper focuses on stochastic orders and its applications : policy limits and deductibles. Further, many applications and some examples are given : comparison of two families of copulas, individual and collective risk model, reinsurance…