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pro vyhledávání: '"91G80"'
We investigate the well-posedness in the Hadamard sense and the absence of price manipulation in the optimal execution problem within the Almgren-Chriss framework, where the temporary and permanent impact parameters vary deterministically over time.
Externí odkaz:
http://arxiv.org/abs/2410.04867
The literature of damages-assessment under the US disclosure 10b-5 rule proposes multiple formulations for a "proper measure" based on the legal "out-of-pocket" principle, i.e. the difference between original and an observed later price consequent on
Externí odkaz:
http://arxiv.org/abs/2410.13878
This research presents a comprehensive framework for transitioning financial diffusion models from the risk-neutral (RN) measure to the real-world (RW) measure, leveraging results from probability theory, specifically Girsanov's theorem. The RN measu
Externí odkaz:
http://arxiv.org/abs/2409.12783
We analyse the regret arising from learning the price sensitivity parameter $\kappa$ of liquidity takers in the ergodic version of the Avellaneda-Stoikov market making model. We show that a learning algorithm based on a regularised maximum-likelihood
Externí odkaz:
http://arxiv.org/abs/2409.02025
We consider the jump-diffusion risky asset model and study its conditional prediction laws. Next, we explain the conditional least square hedging strategy and calculate its closed form for the jump-diffusion model, considering the Black-Scholes frame
Externí odkaz:
http://arxiv.org/abs/2408.10785
Autor:
Mayerhofer, Eberhard
Publikováno v:
Risks, Special Issue: Optimal Investment and Risk Management, Vol. 12 No. 4 (2024), 64
We propose a general approximation method for determining optimal trading strategies in markets with proportional transaction costs, with a polynomial approximation of the residual value function. The method is exemplified by several problems from op
Externí odkaz:
http://arxiv.org/abs/2407.07100
In this paper we provide a theoretical analysis of Variable Annuities with a focus on the holder's right to an early termination of the contract. We obtain a rigorous pricing formula and the optimal exercise boundary for the surrender option. We also
Externí odkaz:
http://arxiv.org/abs/2405.02115
Autor:
Pinto, Andrea, Scala, Antonio
Securitization is a financial process where the cash flows of income-generating assets are sold to institutional investors as securities, liquidating illiquid assets. This practice presents persistent challenges due to the absence of a comprehensive
Externí odkaz:
http://arxiv.org/abs/2404.05372
Autor:
Angoshtari, Bahman, Duan, Shida
Predictable forward performance processes (PFPPs) are stochastic optimal control frameworks for an agent who controls a randomly evolving system but can only prescribe the system dynamics for a short period ahead. This is a common scenario in which a
Externí odkaz:
http://arxiv.org/abs/2403.16228
We study a robust utility maximization problem in a general discrete-time frictionless market. The investor is assumed to have a random, nonconcave and nondecreasing utility function, which may or may not be finite on the whole real-line. She also fa
Externí odkaz:
http://arxiv.org/abs/2403.11824