Zobrazeno 1 - 10
of 15
pro vyhledávání: '"Neofytos Rodosthenous"'
Publikováno v:
Nature Communications, Vol 13, Iss 1, Pp 1-18 (2022)
Systemic risk and bank bailout approaches have been the source of discussions on scientific, financial and governmental forums. An artificial intelligence technique is proposed to inform equitable bailout decisions that minimise taxpayers’ losses.
Externí odkaz:
https://doaj.org/article/5c7c1ef1c6444e4d9218f42f452ab687
Publikováno v:
Risks, Vol 7, Iss 3, p 87 (2019)
We obtain closed-form expressions for the value of the joint Laplace transform of the running maximum and minimum of a diffusion-type process stopped at the first time at which the associated drawdown or drawup process hits a constant level before an
Externí odkaz:
https://doaj.org/article/61721d3c6130498e932355a175765fb9
Autor:
Neofytos Rodosthenous, Pavel V. Gapeev
We study zero-sum optimal stopping games associated with perpetual convertible bonds in an extension of the Black-Merton-Scholes model with random dividends under various information flows. In this type of contracts, the writers have the right to wit
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9d8ededca1496ce9af433b2af0e7bd7c
http://eprints.lse.ac.uk/108165/
http://eprints.lse.ac.uk/108165/
Autor:
Neofytos Rodosthenous, Hongzhong Zhang
We consider risk averse investors with different levels of anxiety about asset price drawdowns. The latter is defined as the distance of the current price away from its best performance since inception. These drawdowns can increase either continuousl
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::92d67ef3f82102c00a4e010be6ea7696
Publikováno v:
Electron. J. Probab.
We consider the problem of optimally stopping a general one-dimensional stochastic differential equation (SDE) with generalised drift over an infinite time horizon. First, we derive a complete characterisation of the solution to this problem in terms
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::40545ef22d0f5b9348f5cad7ed2dff2e
https://projecteuclid.org/euclid.ejp/1575514915
https://projecteuclid.org/euclid.ejp/1575514915
Autor:
Pavel V. Gapeev, Neofytos Rodosthenous
Publikováno v:
Journal of Mathematical Analysis and Applications. 434:413-431
We obtain closed-form expressions for the values of joint Laplace transforms of the running maximum and minimum of a diffusion-type process stopped at the first time at which the associated drawdown and drawup processes hit constant levels. It is ass
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f995a6074adc97af9892c9077182cce8
https://doi.org/10.1016/j.jmaa.2015.09.013
https://doi.org/10.1016/j.jmaa.2015.09.013
Autor:
Neofytos Rodosthenous, Giorgio Ferrari
We solve an infinite time-horizon bounded-variation stochastic control problem with regime switching between $N$ states. This is motivated by the problem of a government that wants to control the country's debt-to-GDP (gross domestic product) ratio.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::88a77b20e40493a0aff6ba3b471a8905
Autor:
Pavel V. Gapeev, Neofytos Rodosthenous
We study perpetual American option pricing problems in an extension of the Black-Merton-Scholes model in which the dividend and volatility rates of the underlying risky asset depend on the running values of its maximum and maximum drawdown. The optim
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3f7ec58ec9ba97940ef1e436ec2d4a93
Publikováno v:
Ann. Appl. Probab. 25, no. 6 (2015), 3405-3433
We study a Wiener disorder problem of detecting the minimum of $N$ change-points in $N$ observation channels coupled by correlated noises. It is assumed that the observations in each dimension can have different strengths and that the change-points m
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0fbe06feef6abb6d668c9c59d7042222
http://projecteuclid.org/euclid.aoap/1443703778
http://projecteuclid.org/euclid.aoap/1443703778
Autor:
Neofytos Rodosthenous, Pavel V. Gapeev
Publikováno v:
J. Appl. Probab. 51, no. 3 (2014), 799-817
We study optimal stopping problems related to the pricing of perpetual American options in an extension of the Black-Merton-Scholes model in which the dividend and volatility rates of the underlying risky asset depend on the running values of its max
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6e237967f7728cbbf886a5c8ed37c44d
http://arxiv.org/abs/1405.4438
http://arxiv.org/abs/1405.4438