相关论文: Convexity theory for the term structure equation

This survey reviews recent developments in revealed preference theory. It discusses the testable implications of theories of choice that are germane to specific economic environments. The focus is on expected utility in risky environments;…

In this article, we look at the effect of volatility clustering on the risk indifference price of options described by Sircar and Sturm in their paper (Sircar, R., & Sturm, S. (2012). From smile asymptotics to market risk measures.…

It is known that, in finite dimensions, the support function of a compact convex set with non empty interior is differentiable excepting the origin if and only if the set is strictly convex. In this paper we realize a thorough study of the…

In an incomplete Brownian-motion market setting, we propose a convex monotonic pricing functional for nonattainable bounded contingent claims which is compatible with prices for attainable claims. The pricing functional is defined as the…

We extend techniques and learnings about the stochastic properties of nonlinear responses from finance to medicine, particularly oncology where it can inform dosing and intervention. We define antifragility. We propose uses of risk analysis…

Contractive coupling rates have been recently introduced by Conforti as a tool to establish convex Sobolev inequalities (including modified log-Sobolev and Poincar\'{e} inequality) for some classes of Markov chains. In this work, we show…

This paper studies system theoretic properties of the class of difference inclusions of convex processes. We will develop a framework considering eigenvalues and eigenvectors, weakly and strongly invariant cones, and a decomposition of…

Markets have internal dynamics leading to excess volatility and other phenomena that are difficult to explain using rational expectations models. This paper studies these using a nonequilibrium price formation rule, developed in the context…

One of the risks derived from selling long term policies that any insurance company has, arises from interest rates. In this paper we consider a general class of stochastic volatility models written in forward variance form. We also deal…

We introduce a Hawkes-like process and study its scaling limit as the system becomes increasingly endogenous. We derive functional limit theorems for intensity and fluctuations. Then, we introduce a high-frequency model for a price of a…

We study geometric properties of a random Gaussian short-time correlated velocity field by considering statistics of a passively advected metric tensor. That describes universal properties of fluctuations of tensor objects frozen into the…

We investigate the random walk of prices by developing a simple model relating the properties of the signs and absolute values of individual price changes to the diffusion rate (volatility) of prices at longer time scales. We show that this…

In this work we present a general representation formula for the price of a vulnerable European option, and the related CVA in stochastic (either rough or not) volatility models for the underlying's price, when admitting correlation with…

Optimization in engineering requires appropriate models. In this article, a regression method for enhancing the predictive power of a model by exploiting expert knowledge in the form of shape constraints, or more specifically, monotonicity…

We study risk-sharing equilibria with general convex costs on the agents' trading rates. For an infinite-horizon model with linear state dynamics and exogenous volatilities, we prove that the equilibrium returns mean-revert around their…

In this paper we extend the reduced-form setting under model uncertainty introduced in [5] to include intensities following an affine process under parameter uncertainty, as defined in [15]. This framework allows to introduce a longevity…

In this paper we study two classes of imprecise previsions, which we termed convex and centered convex previsions, in the framework of Walley's theory of imprecise previsions. We show that convex previsions are related with a concept of…

In this paper, we combine modern portfolio theory and option pricing theory so that a trader who takes a position in a European option contract and the underlying assets can construct an optimal portfolio such that at the moment of the…

In this paper we investigate the behavior of the bridges of a Markov counting process in several directions. We first characterize convexity(concavity) in time of the mean value in terms of lower (upper) bounds on the so called…

This paper concerns a local volatility model in which volatility takes two possible values, and the specific value depends on whether the underlying price is above or below a given threshold value. The model is known, and a number of…