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Model Building and Forecasting with Multicollinear Time Series
A regression model from time series data allows us to identify performance drivers and forecast performance given specific predictor values, just as...
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MDP algorithms for portfolio optimization problems in pure jump markets
We consider the problem of maximizing the expected utility of the terminal wealth of a portfolio in a continuous-time pure jump market with general...
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Necessary and Sufficient Conditions for the Boundedness of the Riesz Potential in Local Morrey-type Spaces
The problem of the boundedness of the Riesz potential I α , 0 < α < n , in local Morrey-type spaces is reduced to the boundedness of the Hardy...
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Adjoint-based Monte Carlo calibration of financial market models
Adjoint methods have recently gained considerable importance in the finance sector, because they allow to quickly compute option sensitivities with...
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Harnack estimates for quasi-linear degenerate parabolic differential equations
We establish the intrinsic Harnack inequality for non-negative solutions of a class of degenerate, quasilinear, parabolic equations, including...
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In which financial markets do mutual fund theorems hold true?
The mutual fund theorem (MFT) is considered in a general semimartingale financial market S with a finite time horizon T , where agents maximize...
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Risk minimization and optimal derivative design in a principal agent game
We consider the problem of Adverse Selection and optimal derivative design within a Principal–Agent framework. The principal’s income is exposed to...
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American and European options in multi-factor jump-diffusion models, near expiry
We derive a general formula for the time decay θ for out-of-the-money European options on stocks and bonds at expiry, in terms of the density of...
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Local volatility dynamic models
This paper is concerned with the characterization of arbitrage-free dynamic stochastic models for the equity markets when Itô stochastic differential...
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Optimal lifetime consumption and investment under a drawdown constraint
We consider the infinite-horizon optimal consumption-investment problem under a drawdown constraint, i.e., when the wealth process never falls below...
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Zum optimalen Abbau nichterneuerbarer Ressourcen
Since the oil-crisis in the seventies of the last century humans are beware of the finite availability of scarce resources and the influence of...
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On q-optimal martingale measures in exponential Lévy models
We give a sufficient condition to identify the q -optimal signed and the q -optimal absolutely continuous martingale measures in exponential Lévy...
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Optimal payout policy in presence of downside risk
We analyze the determination of a value maximizing dividend payout policy for a broad class of cash reserve processes modeled as spectrally negative...
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Optimal investment in a defaultable bond
The present paper analyzes the optimal investment strategy in a defaultable (corporate) bond and a money market account in a continuous time model....
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Equilibrium pricing bounds on option prices
We consider the problem of valuing European options in a complete market but with incomplete data. Typically, when the underlying asset dynamics is...
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Asymptotic arbitrage and large deviations
Typical models of mathematical finance admit equivalent martingale measures up to any finite time horizon but not globally, and this means that...
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Life-span of classical solutions for one-dimensional hydromagnetic flow
The paper concerns Cauchy problem for one-dimensional hydromagnetic dynamics with dissipative terms. When the dissipation coefficient is equal to...
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Benders, metric and cutset inequalities for multicommodity capacitated network design
Solving multicommodity capacitated network design problems is a hard task that requires the use of several strategies like relaxing some constraints...
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Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk
We study the classical real option problem in which an agent faces the decision if and when to invest optimally into a project. The investment is...
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Global optimization of higher order moments in portfolio selection
We discuss the global optimization of the higher order moments of a portfolio of financial assets. The proposed model is an extension of the...