Zobrazeno 1 - 10
of 25
pro vyhledávání: '"Agnès Tourin"'
Autor:
Agnès Tourin, Zequn Li
Publikováno v:
Computational Economics. 60:601-632
We consider a pairs trading stochastic control problem with transaction costs and constraints on the gross market exposure, and propose a new monotone Finite Difference scheme approximating the viscosity solution of the Hamilton–Jacobi–Bellman eq
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::cdc7ed7933463978fc97c50e36d46ee2
https://doi.org/10.1007/s10614-021-10159-w
https://doi.org/10.1007/s10614-021-10159-w
Autor:
Agnès Tourin, T. N. Li
In this paper, we propose a pairs trading model that incorporates a time-varying volatility of the constant elasticity of variance type. Our approach is based on stochastic control techniques; given a fixed time horizon and a portfolio of two cointeg
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1d81f4d44be5a8dfb388173cf2e33afc
Autor:
Alexandra Lefevre, Agnes Tourin
Publikováno v:
FinTech, Vol 2, Iss 3, Pp 614-640 (2023)
This paper examines the integration of climate risks into structural credit risk models. We focus on applications in housing finance and argue that mortgage defaults due to climate disasters have different statistical features than default due to hou
Externí odkaz:
https://doaj.org/article/4ff6ccb118d7409b840ec07dbdf6eeb7
Autor:
Agnès Tourin, P. S. Lintilhac
Publikováno v:
Quantitative Finance. 17:703-716
We propose an optimal dynamic pairs trading strategy model for a portfolio of cointegrated assets. Using stochastic control techniques, we compute analytically the optimal portfolio weights and rel...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7d990b7fe7b0a02f1832e3e1130d9880
https://doi.org/10.1080/14697688.2016.1231928
https://doi.org/10.1080/14697688.2016.1231928
Autor:
Robert Almgren, Agnès Tourin
Publikováno v:
Optimal Control Applications and Methods. 36:475-495
Summary Competition glider flying is a game of stochastic optimization, in which mathematics and quantitative strategies have historically played an important role. We address the problem of uncertain future atmospheric conditions by constructing a n
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5ee29b1babebbbbeea7d0091096c8c51
https://doi.org/10.1002/oca.2122
https://doi.org/10.1002/oca.2122
Autor:
Agnès Tourin
Publikováno v:
Numerical Methods for Partial Differential Equations. 22:381-396
We explain how the exploitation of several kinds of operator splitting methods, both local and global in time, lead to simple numerical schemes approximating the solution of nonlinear Hamilton-Jacobi equations. We review the existing local methods wh
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::70080ed739c1c0cdea58f08891ccc7c4
https://doi.org/10.1002/num.20100
https://doi.org/10.1002/num.20100
Autor:
Agnès Tourin
Publikováno v:
International Journal of Theoretical and Applied Finance. (03):401-414
We solve, by using a monotone and stable approximation, the fully nonlinear degenerate parabolic equation derived by Cheridito, Soner and Touzi [8] from the stochastic control problem of super-replicating a contingent claim under gamma constraints. W
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d638515653a7cddd3cdde5993ccc599e
http://www.worldscinet.com/cgi-bin/details.cgi?type=pdf&id=pii:S0219024906003561
http://www.worldscinet.com/cgi-bin/details.cgi?type=pdf&id=pii:S0219024906003561
Autor:
Agnès Tourin, Robert Almgren
Publikováno v:
SSRN Electronic Journal.
Competition glider flying is a game of stochastic optimization, in which mathematics and quantitative strategies have historically played an important role. We address the problem of uncertain future atmospheric conditions by constructing a nonlinear
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ee74695b99913ac343368a56b32ecacc
https://doi.org/10.2139/ssrn.2399214
https://doi.org/10.2139/ssrn.2399214
Autor:
Fabian Astic, Agnès Tourin
Publikováno v:
SSRN Electronic Journal.
Following a companion paper where we proposed a model of a financial institution that can invest in both liquid and illiquid assets and whose goal is to maximize the profit of its shareholders, while satisfying some capital and liquidity requirements
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7ff01ef8225970a39f9d4cba7374dc40
https://doi.org/10.2139/ssrn.2406637
https://doi.org/10.2139/ssrn.2406637
Publikováno v:
Computational Economics. 17:43-80
This paper introduces a valuation model of international pricing in the presence of political risk. Shipments between countries are charged with shipping costs and the country specific production processes are modelled as diffusion processes. The pol
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f8fbf7a84f1df1d6e95e7563a26f01df
https://doi.org/10.1023/a:1011278629862
https://doi.org/10.1023/a:1011278629862