Optimal, Truthful, and Private Securities Lending. (arXiv:1912.06202v1 [cs.GT])
We consider a fundamental dynamic allocation problem motivated by the problem of $textit{securities lending}$ in financial markets, the mechanism underlying the short selling of stocks. A lender would...
View ArticleA new method for similarity and anomaly detection in cryptocurrency markets....
We propose a new approach using the MJ$_1$ semi-metric, from the more general MJ$_p$ class of semi-metrics cite{James2019}, to detect similarity and anomalies in collections of cryptocurrencies. Since...
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Ten blog posts to help inform discussions on the UK economy going forward
How to improve social mobility. Merely tweaking existing policies won’t do, but four major changes have the potential to transform society. How to improve social mobility  To meet its ambitious...
View ArticleSet-Valued Risk Measures as Backward Stochastic Difference Inclusions and...
Scalar dynamic risk measures in continuous time are commonly represented as backward stochastic differential equations. There are two possible extensions for scalar backward stochastic differential...
View ArticleOperator splitting schemes for American options under the two-asset Merton...
This paper deals with the efficient numerical solution of the two-dimensional partial integro-differential complementarity problem (PIDCP) that holds for the value of American-style options under the...
View ArticleRobustness and sensitivity analyses for stochastic volatility models under...
In this paper we perform robustness and sensitivity analysis of several continuous-time stochastic volatility (SV) models with respect to the process of market calibration. The analyses should validate...
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Che Guevara’s Cuba and John Cowperthwaite’s Hong Kong: a...
In 1960, Cuba and Hong Kong had a similar level of GDP per capita at around $4,500 in today’s money[1]. By 2018 Cuba’s GDP per capita had risen to around $9,000. By contrast, Hong Kong had reached...
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