相关论文: A change of measure formula for recursive conditio…

We propose some numerical schemes for forward-backward stochastic differential equations (FBSDEs) based on a new fundamental concept of transposition solutions. These schemes exploit time-splitting methods for the variation of constants…

In this paper, we define a notion of second-order backward stochastic differential equations with jumps (2BSDEJs for short), which generalizes the continuous case considered by Soner, Touzi and Zhang [Probab. Theory Related Fields 153…

The ultimate goal of regression analysis is to obtain information about the conditional distribution of a response given a set of explanatory variables. This goal is, however, seldom achieved because most established regression models only…

In this paper we obtain a comparison theorem for backward stochastic partial differential equation (SPDEs) with jumps. We apply it to introduce space-dependent convex risk measures as a model for risk in large systems of interacting…

In the target tracking and its engineering applications, recursive state estimation of the target is of fundamental importance. This paper presents a recursive performance bound for dynamic estimation and filtering problem, in the framework…

We propose a recursive Bayesian estimation procedure for multivariate autoregressive models with exogenous inputs based on message passing in a factor graph. Unlike recursive least-squares, our method produces full posterior distributions…

In this paper we present a new methodology for option pricing. The main idea consists to represent a generic probability distribution function (PDF) via a perturbative expansion around a given, simpler, PDF (typically a gaussian function)…

A new multivariate stochastic volatility estimation procedure for financial time series is proposed. A Wishart autoregressive process is considered for the volatility precision covariance matrix, for the estimation of which a two step…

In this paper, an optimal switching problem is proposed for one-dimensional reflected backward stochastic differential equations (RBSDEs, for short) where the generators, the terminal values and the barriers are all switched with positive…

We develop and test a fast and accurate semi-analytical formula for single-name default swaptions in the context of a shifted square root jump diffusion (SSRJD) default intensity model. The model can be calibrated to the CDS term structure…

We provide a bound for the error committed when using a Fourier method to price European options when the underlying follows an exponential \levy dynamic. The price of the option is described by a partial integro-differential equation…

In this paper we examine non-convex dynamic optimization problems with forward looking constraints. We prove that the recursive multiplier formulation in \cite{marcet2019recursive} gives the optimal value if one assumes that the planner has…

For a linear combination of random variables, fix some confidence level and consider the quantile of the combination at this level. We are interested in the partial derivatives of the quantile with respect to the weights of the random…

Transition risk can be defined as the business-risk related to the enactment of green policies, aimed at driving the society towards a sustainable and low-carbon economy. In particular, the value of certain firms' assets can be lower…

When we plan to use money as an incentive to change the behavior of a person (such as making riders to deliver more orders or making consumers to buy more items), the common approach of this problem is to adopt a two-stage framework in…

Several phenomena are available representing market activity: volumes, number of trades, durations between trades or quotes, volatility - however measured - all share the feature to be represented as positive valued time series. When…

In this paper we analyse financial implications of exchangeability and similar properties of finite dimensional random vectors. We show how these properties are reflected in prices of some basket options in view of the well-known put-call…

We explain the main concepts of Prospect Theory and Cumulative Prospect Theory within the framework of rational dynamic asset pricing theory. We derive option pricing formulas when asset returns are altered with a generalized Prospect…

We introduced and analyzed robust recovery-based a posteriori error estimators for various lower order finite element approximations to interface problems in [9, 10], where the recoveries of the flux and/or gradient are implicit (i.e.,…

Score-based modeling through stochastic differential equations (SDEs) has provided a new perspective on diffusion models, and demonstrated superior performance on continuous data. However, the gradient of the log-likelihood function, i.e.,…