Multiple curve Lévy forward price model allowing for negative interest...
Abstract In this paper, we develop a framework for discretely compounding interest rates that is based on the forward price process approach. This approach has a number of advantages, in particular in...
View ArticleGeneral stopping behaviors of naïve and noncommitted sophisticated...
Abstract We consider the problem of stopping a diffusion process with a payoff functional that renders the problem timeâinconsistent. We study stopping decisions of naïve agents who reoptimize...
View ArticleDouble continuation regions for American and Swing options with negative...
Abstract In this paper, we study perpetual American call and put options in an exponential Lévy model. We consider a negative effective discount rate that arises in a number of financial applications...
View ArticleRobust 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 ArticleIssue Information
Mathematical Finance, Volume 29, Issue 4, Page 1001-1002, October 2019.
View ArticleA rational asset pricing model for premiums and discounts on...
Abstract This paper provides a new explanation for closedâend fund (CEF) discounts and premiums using the local martingale theory of asset price bubbles. This is a rational asset pricing model...
View ArticlePortfolio choice with small temporary and transient price impact
Abstract We study portfolio selection in a model with both temporary and transient price impact introduced by Garleanu and Pedersen. In the largeâliquidity limit where both frictions are small, we...
View ArticleAn efficient approach to quantile capital allocation and sensitivity analysis
Abstract In various fields of applications such as capital allocation, sensitivity analysis, and systemic risk evaluation, one often needs to compute or estimate the expectation of a random variable,...
View ArticlePeriodic strategies in optimal execution with multiplicative price impact
Abstract We study the optimal execution problem with multiplicative price impact in algorithmic trading, when an agent holds an initial position of shares of a financial asset. The interselling...
View ArticleMean field and n�agent games for optimal investment under...
Abstract We analyze a family of portfolio management problems under relative performance criteria, for fund managers having CARA or CRRA utilities and trading in a common investment horizon in...
View ArticleA variation of the Azéma martingale and drawdown options
Abstract In this paper, we derive a variation of the Azéma martingale using two approachesâa direct probabilistic method and another by projecting the Kennedy martingale onto the filtration...
View ArticleImpact of Currency Volatility on Momentum and Carry Factors
What is the impact of volatility (and changes in volatility) on popular Currency Momentum and Currency Carry strategies? That's the topic of recent academic study written by Duc Hong Hoang, which...
View Article