相关论文: Power Forward Performance in Semimartingale Market…

Several researchers have described two-part models with patient-specific stochastic processes for analysing longitudinal semicontinuous data. In theory, such models can offer greater flexibility than the standard two-part model with…

This paper analyses the forecasting performance of a new class of factor models with martingale difference errors (FMMDE) recently introduced by Lee and Shao (2018). The FMMDE makes it possible to retrieve a transformation of the original…

Efficient representations and solutions for large decision problems with continuous and discrete variables are among the most important challenges faced by the designers of automated decision support systems. In this paper, we describe a…

This paper advances interest rate modeling in the post-LIBOR era by introducing rough stochastic volatility into the Forward Market Model (FMM). We establish a rigorous asymptotic expansion of swaption implied volatility, connecting the FMM…

This paper studies the robust optimal gain selection problem for financial trading systems, formulated within a \emph{double linear policy} framework, which allocates capital across long and short positions. The key objective is to…

I develop a feasible weighted projected principal component (FPPC) analysis for factor models in which observable characteristics partially explain the latent factors. This novel method provides more efficient and accurate estimators than…

We give a collection of explicit sufficient conditions for the true martingale property of a wide class of exponentials of semimartingales. We express the conditions in terms of semimartingale characteristics. This turns out to be very…

Accurate forecasting in financial markets requires integrating diverse data sources, from historical prices to macroeconomic indicators and financial news. However, existing models often fail to align these modalities effectively, limiting…

The prediction of wind speed is very important when dealing with the production of energy through wind turbines. In this paper, we show a new nonparametric model, based on semi-Markov chains, to predict wind speed. Particularly we use an…

Stochastic processes described by evolution equations in the universality class of the FKPP equation may be approximately factorized into a linear stochastic part and a nonlinear deterministic part. We prove this factorization on a model…

We study the problem of optimal portfolio selection under stochastic volatility within a continuous time reinforcement learning framework with portfolio constraints. Exploration is modeled through entropy-regularized relaxed controls, where…

In this paper an arbitrage strategy is constructed for the modified Black-Scholes model driven by fractional Brownian motion or by a time changed fractional Brownian motion, when the volatility is stochastic. This latter property allows the…

We consider the problem of portfolio optimization in a simple incomplete market and under a general utility function. By working with the associated Hamilton-Jacobi-Bellman partial differential equation (HJB PDE), we obtain a closed-form…

Pricing interest-rate financial derivatives is a major problem in finance, in which it is crucial to accurately reproduce the time-evolution of interest rates. Several stochastic dynamics have been proposed in the literature to model either…

This paper develops an autonomous framework for systematic factor investing via agentic AI. Rather than relying on sequential manual prompts, our approach operationalizes the model as a self-directed engine that endogenously formulates…

In this paper we study the optimal investment and reinsurance problem of an insurance company whose investment preferences are described via a forward dynamic exponential utility in a regime-switching market model. Financial and actuarial…

In this paper, we establish a probabilistic representation as well as some integration by parts formulae for the marginal law at a given time maturity of some stochastic volatility model with unbounded drift. Relying on a perturbation…

The important application of semi-static hedging in financial markets naturally leads to the notion of quasi self-dual processes. The focus of our study is to give new characterizations of quasi self-duality for exponential L\'evy processes…

Modeling and characterizing multiple factors is perhaps the most important step in achieving excess returns over market benchmarks. Both academia and industry are striving to find new factors that have good explanatory power for future…

This paper provides a new version of the condition of Di Nunno et al. (2003), Ankirchner and Imkeller (2005) and Biagini and \{O}ksendal (2005) ensuring the semimartingale property for a large class of continuous stochastic processes.…