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pro vyhledávání: '"91B70"'
This paper discusses a nonlinear integral equation arising from a class of time-consistent portfolio selection problem. We propose a unified framework requiring minimal assumptions, such as right-continuity of market coefficients and square-integrabi
Externí odkaz:
http://arxiv.org/abs/2412.02446
Autor:
Park, Jihyun, Sarantsev, Andrey
We study a multivariate autoregressive stochastic volatility model for the first 3 principal components (level, slope, curvature) of 10 series of zero-coupon Treasury bond rates with maturities from 1 to 10 years. We fit this model using monthly data
Externí odkaz:
http://arxiv.org/abs/2411.03699
Autor:
Park, Jihyun, Sarantsev, Andrey
Classic stochastic volatility models assume volatility is unobservable. We use the Volatility Index: S\&P 500 VIX to observe it, to easier fit the model. We apply it to corporate bonds. We fit autoregression for corporate rates and for risk spreads b
Externí odkaz:
http://arxiv.org/abs/2410.22498
Autor:
Criens, David, Urusov, Mikhail
In a seminal paper, F. Delbaen and W. Schachermayer proved that the classical NA ("no arbitrage") condition implies the existence of an "absolutely continuous local martingale measure" (ACLMM). It is known that in general the existence of an ACLMM al
Externí odkaz:
http://arxiv.org/abs/2410.09789
This paper studies the robust portfolio selection problem under a state-dependent confidence set. The investor invests in a financial market with a risk-free asset and a risky asset. The ambiguity-averse investor faces uncertainty over the drift of t
Externí odkaz:
http://arxiv.org/abs/2409.19571
Autor:
Cao, Fei
In several recent works on infinite-dimensional systems of ODEs \cite{cao_derivation_2021,cao_explicit_2021,cao_iterative_2024,cao_sticky_2024}, which arise from the mean-field limit of agent-based models in economics and social sciences and model th
Externí odkaz:
http://arxiv.org/abs/2409.15225
Global trade is shaped by a complex mix of factors beyond supply and demand, including tangible variables like transport costs and tariffs, as well as less quantifiable influences such as political and economic relations. Traditionally, economists mo
Externí odkaz:
http://arxiv.org/abs/2409.06554
We study liquidity provision in the presence of exogenous competition. We consider a `reference market maker' who monitors her inventory and the aggregated inventory of the competing market makers. We assume that the competing market makers use a `ru
Externí odkaz:
http://arxiv.org/abs/2407.17393
In this paper we solve the general problem, already formulated in Awerkin and Vargiolu (Decis. Econ. Finance 44(2), 2021) of finding a Nash equilibrium between two agents who can install irreversibly photovoltaic panels in order to maximize their pro
Externí odkaz:
http://arxiv.org/abs/2407.00666
Autor:
Gazzani, Guido, Guyon, Julien
We consider the path-dependent volatility (PDV) model of Guyon and Lekeufack (2023), where the instantaneous volatility is a linear combination of a weighted sum of past returns and the square root of a weighted sum of past squared returns. We discus
Externí odkaz:
http://arxiv.org/abs/2406.02319