Zobrazeno 1 - 10
of 270
pro vyhledávání: '"Sulem Agnès"'
Publikováno v:
ESAIM: Proceedings and Surveys, Vol 64, Pp 93-110 (2018)
We study pricing and hedging for American options in an imperfect market model with default, where the imperfections are taken into account via the nonlinearity of the wealth dynamics. The payoff is given by an RCLL adapted process (ξt). We define t
Externí odkaz:
https://doaj.org/article/c08a21624aad42dbbd1504fa52c4bd13
Publikováno v:
ESAIM: Proceedings and Surveys, Vol 59, Pp 43-55 (2017)
We investigate network formation for a set of financial institutions represented as nodes. Linkages are source of income, and at the same time they bear the risk of contagion. The optimal connectivity of the nodes results from a game, in which the ri
Externí odkaz:
https://doaj.org/article/17f516f7ee724092a14ff99793d2a93e
We study continuous stochastic games with inhomogeneous mean field interactions on large networks and explore their graphon limits. We consider a model with a continuum of players, where each player's dynamics involve not only mean field interactions
Externí odkaz:
http://arxiv.org/abs/2304.04112
We study multidimensional Cram\'er-Lundberg risk processes where agents, located on a large sparse network, receive losses form their neighbors. To reduce the dimensionality of the problem, we introduce classification of agents according to an arbitr
Externí odkaz:
http://arxiv.org/abs/2302.06668
We consider a general tractable model for default contagion and systemic risk in a heterogeneous financial network, subject to an exogenous macroeconomic shock. We show that, under some regularity assumptions, the default cascade model could be trans
Externí odkaz:
http://arxiv.org/abs/2104.00248
We study pricing and (super)hedging for American options in an imperfect market model with default, where the imperfections are taken into account via the nonlinearity of the wealth dynamics. The payoff is given by an RCLL adapted process $(\xi_t)$.
Externí odkaz:
http://arxiv.org/abs/1708.08675
We study the problem of optimal control for mean-field stochastic partial differential equations (stochastic evolution equations) driven by a Brownian motion and an independent Poisson random measure, in the case of \textit{partial information} contr
Externí odkaz:
http://arxiv.org/abs/1704.03430
Publikováno v:
Mathematics of Operations Research; Nov2024, Vol. 49 Issue 4, p2652-2683, 32p
Publikováno v:
In Stochastic Processes and their Applications December 2021 142:479-512
We study the properties of nonlinear Backward Stochastic Differential Equations (BSDEs) driven by a Brownian motion and a martingale measure associated with a default jump with intensity process $(\lambda_t)$. We give a priori estimates for these equ
Externí odkaz:
http://arxiv.org/abs/1612.05681