Zobrazeno 1 - 10
of 414
pro vyhledávání: '"P, Desmettre"'
This paper presents a novel approach to pricing American options using piecewise diffusion Markov processes (PDifMPs), a type of generalised stochastic hybrid system that integrates continuous dynamics with discrete jump processes. Standard models of
Externí odkaz:
http://arxiv.org/abs/2409.07477
In intertemporal settings, the multiattribute utility theory of Kihlstrom and Mirman suggests the application of a concave transform of the lifetime utility index. This construction, while allowing time and risk attitudes to be separated, leads to dy
Externí odkaz:
http://arxiv.org/abs/2407.16525
Autor:
Aichinger, Florian, Desmettre, Sascha
Geometric Asian options are a type of options where the payoff depends on the geometric mean of the underlying asset over a certain period of time. This paper is concerned with the pricing of such options for the class of Volterra-Heston models, cove
Externí odkaz:
http://arxiv.org/abs/2402.15828
We study and solve the worst-case optimal portfolio problem as pioneered by Korn and Wilmott (2002) of an investor with logarithmic preferences facing the possibility of a market crash with stochastic market coefficients by enhancing the martingale a
Externí odkaz:
http://arxiv.org/abs/2311.10021
Due to major shifts in European energy supply, a structural change can be observed in Austrian electricity spot price data starting from the second quarter of the year 2021 onward. In this work we study the performance of two different factor models
Externí odkaz:
http://arxiv.org/abs/2306.07731
Publikováno v:
Commodities, Vol 3, Iss 3, Pp 254-280 (2024)
The dynamic structure of electricity markets, where uncertainties abound due to, e.g., demand variations and renewable energy intermittency, poses challenges for market participants. We propose generative adversarial networks (GANs) to generate synth
Externí odkaz:
https://doaj.org/article/9af5f9b153794fc99f0f46805e97cc97
Autor:
Gilles Capellier, Abdo Khoury, Thibaut Desmettre, Nicolas Marjanovic, Jean Baptiste Pretalli, Anne-Laure Parmentier, Frederic Mauny
Publikováno v:
BMJ Open, Vol 14, Iss 8 (2024)
Introduction Acute respiratory failure is a life-threatening condition frequently found in the emergency department. High-flow nasal oxygen (HFNO) is increasingly used in emergency departments for patients with hypoxaemic acute respiratory failure. H
Externí odkaz:
https://doaj.org/article/cdc481444cdd4d09a8524718a2e4879a
Autor:
Brunhuemer, Alexander, Larcher, Lukas, Seidl, Philipp, Desmettre, Sascha, Kofler, Johannes, Larcher, Gerhard
In this working paper we present our current progress in the training of machine learning models to execute short option strategies on the S&P500. As a first step, this paper is breaking this problem down to a supervised classification task to decide
Externí odkaz:
http://arxiv.org/abs/2204.13587
Autor:
Aichinger, Florian, Desmettre, Sascha
This paper is concerned with portfolio selection for an investor with power utility in multi-asset financial markets in a rough stochastic environment. We investigate Merton's portfolio problem for different multivariate Volterra models, covering the
Externí odkaz:
http://arxiv.org/abs/2111.02191
Publikováno v:
International Journal of Theoretical and Applied Finance Vol. 25, No. 01, 2250005 (2022)
We introduce a mean-field extension of the LIBOR market model (LMM) which preserves the basic features of the original model. Among others, these features are the martingale property, a directly implementable calibration and an economically reasonabl
Externí odkaz:
http://arxiv.org/abs/2109.10779