Zobrazeno 1 - 10
of 25
pro vyhledávání: '"David Šiška"'
Publikováno v:
Risks, Vol 10, Iss 10, p 193 (2022)
Stop-loss reinsurance is a risk management tool that allows an insurance company to transfer part of their risk to a reinsurance company. Ruin probabilities allow us to measure the effect of stop-loss reinsurance on the solvency of the primary insure
Externí odkaz:
https://doaj.org/article/8eb375019bf4476e83e99c6b81ad008a
Publikováno v:
Journal of Computational Finance.
Publikováno v:
Kerimkulov, B, Siska, D & Szpruch, L 2021, ' A modified MSA for stochastic control problems ', Applied Mathematics and Optimization . https://doi.org/10.1007/s00245-021-09750-2
The classical Method of Successive Approximations (MSA) is an iterative method for solving stochastic control problems and is derived from Pontryagin’s optimality principle. It is known that the MSA may fail to converge. Using careful estimates for
Publikováno v:
Annales de l'Institut Henri Poincaré, Probabilités et Statistiques. 57
We prove the existence of weak solutions to McKean–Vlasov SDEs defined on a domain D⊆Rd with continuous and unbounded coefficients and degenerate diffusion coefficient. Using differential calculus for the flow of probability measures due to Lions
Autor:
Neelima, David Šiška
Publikováno v:
Neelima, N & Siska, D 2020, ' Lp-estimates and regularity for SPDEs with monotone semilinearity ', Stochastics and Partial Differential Equations: Analysis and Computations, vol. 8, pp. 422–459 . https://doi.org/10.1007/s40072-019-00150-w
Semilinear stochastic partial differential equations on bounded domains$${\mathscr {D}}$$Dare considered. The semilinear term may have arbitrary polynomial growth as long as it is continuous and monotone except perhaps near the origin. Typical exampl
Publikováno v:
The Annals of Probability. 49
This paper concerns the McKean–Vlasov stochastic differential equation (SDE) with common noise. An appropriate definition of a weak solution to such an equation is developed. The importance of the notion of compatibility in this definition is highl
Publikováno v:
Lecture Notes in Computer Science ISBN: 9783662639573
Financial Cryptography Workshops
Financial Cryptography Workshops
A key problem for order book exchanges is how to attract liquidity providers and retain their support in all market conditions. This is commonly approached through individual business agreements with market makers whereby a bespoke contract is negoti
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::74a0a66395560cf16aea1df08740152b
https://doi.org/10.1007/978-3-662-63958-0_7
https://doi.org/10.1007/978-3-662-63958-0_7
Publikováno v:
SSRN Electronic Journal.
Mathematical modelling is ubiquitous in the financial industry and drives key decision processes. Any given model provides only a crude approximation to reality and the risk of using an inadequate model is hard to detect and quantify. By contrast, mo
Publikováno v:
SSRN Electronic Journal.
Exchanges and other trading venues must be able to reliably offer sufficient liquidity to meet traders' demand, and, in turn, benefit from higher revenue and faster growth. Traders enjoy lower volatility, tighter spreads, and more efficient pricing i
Autor:
David Šiška
Publikováno v:
SSRN Electronic Journal.
We consider the problem of risk model calibration that is faced by all decentralized derivative exchanges. Financial model calibration is hard for two reasons: firstly it relies on data inputs that can be unreliable, incorrect and in general needing