Robust consumption�investment problem under CRRA and CARA...
Abstract We consider a robust consumptionâinvestment problem under constant relative risk aversion and constant absolute risk aversion utilities. The timeâvarying confidence sets are specified by...
View ArticleOption pricing with orthogonal polynomial expansions
Abstract We derive analytic series representations for European option prices in polynomial stochastic volatility models. This includes the Jacobi, Heston, SteinâStein, and HullâWhite models, for...
View ArticleInference for large financial systems
Abstract We treat the parameter estimation problem for meanâfield models of large interacting financial systems such as the banking system and a pool of assets held by an institution or backing a...
View ArticleOptimal investment and pricing in the presence of defaults
Abstract We consider the optimal investment problem with random endowment in the presence of defaults. For an investor with constant absolute risk aversion, we identify the certainty equivalent, and...
View ArticleA direct solution method for pricing options in regime�switching...
Abstract Pricing financial or real options with arbitrary payoffs in regimeâswitching models is an important problem in finance. Mathematically, it is to solve, under certain standard assumptions, a...
View ArticleOptimal consumption and investment with liquid and illiquid assets
Abstract I consider an optimal consumption/investment problem to maximize expected utility from consumption. In this market model, the investor is allowed to choose a portfolio that consists of one...
View ArticleRobust martingale selection problem and its connections to the...
Abstract We analyze the martingale selection problem of Rokhlin in a pointwise (robust) setting. We derive conditions for solvability of this problem and show how it is related to the classical...
View ArticleOptimal dividend policies with random profitability
Abstract We study an optimal dividend problem under a bankruptcy constraint. Firms face a tradeâoff between potential bankruptcy and extraction of profits. In contrast to previous works, general...
View ArticleSEC Proposes Rule Amendments to Improve Accuracy and Transparency of Proxy...
The Securities and Exchange Commission today voted to propose amendments to its rules governing proxy solicitations to enhance the quality of the disclosure about material conflicts of interest that...
View ArticleSEC Proposes Amendments to Modernize Shareholder Proposal Rule
The Securities and Exchange Commission today voted to propose amendments to modernize the rule that governs the process for shareholder proposals to be included in a companyâs proxy statement....
View ArticleMergers and Acquisitions Trending Down in Europe
In a new report, Pitchbook looks at the mergers and acquisitions trends in Europe. In 2019 through September, the value of European M&A is lower than it has been since 2014, and the volume is...
View ArticleIntensity estimation of transaction arrivals in the intraday electricity...
In the following paper, we examine the problem of the intensity estimation of transaction arrivals in the intraday electricity markets. Assuming the inter-arrival times distribution and considering...
View ArticleA Regulated Market Under Sanctions: On Tail Dependence Between Oil, Gold, and...
We demonstrate that the tail dependence should always be taken into account as a proxy for systematic risk of loss for investments. We provide the clear statistical evidence of that the structure of...
View ArticleDeep Hedging: Learning to Simulate Equity Option Markets. (arXiv:1911.01700v1...
We construct realistic equity option market simulators based on generative adversarial networks (GANs). We consider recurrent and temporal convolutional architectures, and assess the impact of state...
View ArticleEngel's law in the commodity composition of exports. (arXiv:1911.01568v1...
Different shares of distinct commodity sectors in production, trade, and consumption illustrate how resources and capital are allocated and invested. Economic progress has been claimed to change the...
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Crowdfunding: the importance of people’s search for higher meaning
Have you ever stopped to think why people participate in philanthropic activities â willing to give from their own time and money, make efforts, and receive nothing in return? Crowdfunding is an...
View ArticlePenetrating the real performance of SSE STAR enterprises: A double-market...
Publication date: Available online 6 November 2019Source: Finance Research LettersAuthor(s): Wei Zhou, Ruitao Gu, Shuai LuAbstractA significant innovative board called the SSE Sci-Tech innovation board...
View ArticleMarket stability analysis after the circuit breaker for the CSI 300 energy index
Publication date: Available online 6 November 2019Source: Finance Research LettersAuthor(s): Wei Zhou, Wanying Rao, Shuai LuAbstractIn order to deal with the herd effect and the risk contagions in the...
View ArticleHow do sovereign credit default swap spreads behave under extreme oil price...
Publication date: Available online 6 November 2019Source: Finance Research LettersAuthor(s): Jun Wang, Xiaolei Sun, Jianping LiAbstractBased on the GARCH-Copula-CoVaR model, this paper explores the...
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