Efficient hedging in Bates model using high-order compact finite differences....
We evaluate the hedging performance of a high-order compact finite difference scheme from [4] for option pricing in Bates model. We compare the scheme's hedging performance to standard finite...
View ArticleRobust Maximum Likelihood Estimation of Sparse Vector Error Correction Model....
In econometrics and finance, the vector error correction model (VECM) is an important time series model for cointegration analysis, which is used to estimate the long-run equilibrium variable...
View ArticleSequential Design and Spatial Modeling for Portfolio Tail Risk Measurement....
We consider calculation of capital requirements when the underlying economic scenarios are determined by simulatable risk factors. In the respective nested simulation framework, the goal is to estimate...
View ArticleDynamic Portfolio Optimization with Looping Contagion Risk....
In this paper we consider a utility maximization problem with defaultable stocks and looping contagion risk. We assume that the default intensity of one company depends on the stock prices of itself...
View ArticleMean Field Game Approach to Production and Exploration of Exhaustible...
In a game theoretic framework, we study energy markets with a continuum of homogenous producers who produce energy from an exhaustible resource such as oil. Each producer simultaneously optimizes...
View ArticleArbitrage-Free Regularization. (arXiv:1710.05114v1 [q-fin.MF])
We introduce a path-dependent geometric framework which generalizes the HJM modeling approach to a wide variety of other asset classes. A machine learning regularization framework is developed with the...
View ArticleDemocracy by mistake -- by Daniel Treisman
How does democracy emerge from authoritarian rule? Influential theories contend that incumbents deliberately choose to share or surrender power. They do so to prevent revolution, motivate citizens to...
View ArticleGlobal Evidence on Economic Preferences -- by Armin Falk, Anke Becker, Thomas...
This paper studies the global variation in economic preferences. For this purpose, we present the Global Preference Survey (GPS), an experimentally validated survey dataset of time preference, risk...
View ArticleFiscal Rules, Bailouts, and Reputation in Federal Governments -- by...
Expectations of bailouts by central governments incentivize overborrowing by local governments. In this paper, we ask if fiscal rules can correct these incentives to overborrow when central governments...
View ArticleCommissioner Behnam Statement on De Minimis Threshold
Commissioner Behnam Statement on De Minimis Threshold
View ArticleCommissioner Quintenz Statement on De Minimis Threshold
Commissioner Quintenz Statement on De Minimis Threshold
View ArticleWeekly Top 5 Papers â October 23rd, 2017
1. Availability Cascades and Risk Regulation by Timur Kuran (Duke University – Department of Economics) and Cass R. Sunstein (Harvard Law School)read more...
View ArticleGrasping asymmetric information in market impacts. (arXiv:1710.07959v1...
We measure the price impacts across a correlated financial market by the responses to single and multiple trades. Focusing on the primary responses, we use an event time scale. We quantify the...
View ArticleElectricity Market Theory Based on Continuous Time Commodity Model....
The recent research report of U.S. Department of Energy prompts us to re-examine the pricing theories applied in electricity market design. The theory of spot pricing is the basis of electricity market...
View ArticleComputational Methods for Martingale Optimal Transport problems....
We establish numerical methods for solving the martingale optimal transport problem (MOT) - a version of the classical optimal transport with an additional martingale constraint on transport's...
View ArticleOn the quadratic variation of the model-free price paths with jumps....
We prove that the model-free typical (in the sense of Vovk) c\`adl\`ag price paths with mildly restricted downward jumps possess quadratic variation which does not depend on the specific sequence of...
View ArticleThink Bigger: And 39 Other Winning Strategies from Successful Entrepreneurs
In looking for answers, one obvious place to start would be to talk to self-made men and women who themselves are successful. That's exactly what Michael W. Sonnenfeldt—an accomplished entrepreneur—has...
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Short-Term Rational, but Intermediate-Term Irrational
Don’t look at the left side of the chart on an empty stomachread more...
View ArticleMPs ask Facebook for any evidence of Russian-linked Brexit activity
MPs ask Facebook for any evidence of Russian-linked #Brexit activity https://t.co/rAyKibzcCi â moneyscience (@moneyscience) October 24, 2017
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