Zobrazeno 1 - 10
of 38
pro vyhledávání: '"Deng Shuoqing"'
Autor:
Bénézet Cyril, Bonnefoy Jérémie, Chassagneux Jean-François, Deng Shuoqing, Garcia Trillos Camilo, Lenôtre Lionel
Publikováno v:
ESAIM: Proceedings and Surveys, Vol 65, Pp 236-265 (2019)
In this work, we present a numerical method based on a sparse grid approximation to compute the loss distribution of the balance sheet of a financial or an insurance company. We first describe, in a stylised way, the assets and liabilities dynamics t
Externí odkaz:
https://doaj.org/article/bb860cda184f4f7fadb0132409c0c0bb
This paper studies the central planner's decision making on behalf of a group of members with diverse discount rates. In the context of optimal stopping, we work with a smooth aggregation preference to incorporate all heterogeneous discount rates wit
Externí odkaz:
http://arxiv.org/abs/2302.07470
We explicitly construct the supermartingale version of the Fr{\'e}chet-Hoeffding coupling in the setting with infinitely many marginal constraints. This extends the results of Henry-Labordere et al. obtained in the martingale setting. Our constructio
Externí odkaz:
http://arxiv.org/abs/2212.14174
For two measures $\mu$ and $\nu$ that are in convex-decreasing order, Nutz and Stebegg (Canonical supermartingale couplings, Ann. Probab., 46(6):3351--3398, 2018) studied the optimal transport problem with supermartingale constraints and introduced t
Externí odkaz:
http://arxiv.org/abs/2207.11732
The increasing supermartingale coupling, introduced by Nutz and Stebegg (Canonical supermartingale couplings, Annals of Probability, 46(6):3351--3398, 2018) is an extreme point of the set of `supermartingale' couplings between two real probability me
Externí odkaz:
http://arxiv.org/abs/2108.03450
This paper studies the infinite-horizon optimal consumption with a path-dependent reference under exponential utility. The performance is measured by the difference between the nonnegative consumption rate and a fraction of the historical consumption
Externí odkaz:
http://arxiv.org/abs/2006.07223
Autor:
Bénézet, Cyril, Bonnefoy, Jérémie, Chassagneux, Jean-François, Deng, Shuoqing, Trillos, Camilo Garcia, Lenôtre, Lionel
Publikováno v:
ESAIM: PROCEEDINGS AND SURVEYS, February 2019, Vol. 65, p. 236-265
In this work, we present a numerical method based on a sparse grid approximation to compute the loss distribution of the balance sheet of a financial or an insurance company. We first describe, in a stylised way, the assets and liabilities dynamics t
Externí odkaz:
http://arxiv.org/abs/1811.08706
We consider a discrete time financial market with proportional transaction costs under model uncertainty, and study a num\'eraire-based semi-static utility maximization problem with an exponential utility preference. The randomization techniques rece
Externí odkaz:
http://arxiv.org/abs/1805.06498
We consider a discrete time financial market with proportional transaction cost under model uncertainty, and study a super-replication problem. We recover the duality results that are well known in the classical dominated context. Our key argument co
Externí odkaz:
http://arxiv.org/abs/1707.09158
We investigate pricing-hedging duality for American options in discrete time financial models where some assets are traded dynamically and others, e.g. a family of European options, only statically. In the first part of the paper we consider an abstr
Externí odkaz:
http://arxiv.org/abs/1604.05517