On the bail-out dividend problem for spectrally negative Markov additive...
This paper studies the bail-out optimal dividend problem with regime switching under the constraint that the cumulative dividend strategy is absolutely continuous. We confirm the optimality of the...
View ArticleEconometric modelling and forecasting of intraday electricity prices....
In the following paper, we analyse the ID$_3$-Price in the German Intraday Continuous electricity market using an econometric time series model. A multivariate approach is conducted for hourly and...
View ArticleOptimal Incentive Contract with Endogenous Monitoring Technology....
Recent technology advances have enabled firms to flexibly process and analyze sophisticated employee performance data at a reduced and yet significant cost. We develop a theory of optimal incentive...
View ArticleRegression Based Expected Shortfall Backtesting. (arXiv:1801.04112v2...
This paper introduces novel backtests for the risk measure Expected Shortfall (ES) following the testing idea of Mincer and Zarnowitz (1969). Estimating a regression framework for the ES stand-alone is...
View ArticleMechanics of good trade execution in the framework of linear temporary market...
We define the concept of good trade execution and we construct explicit adapted good trade execution strategies in the framework of linear temporary market impact. Good trade execution strategies are...
View ArticleDynamics of symmetric SSVI smiles and implied volatility bubbles....
We develop a dynamic version of the SSVI parameterisation for the total implied variance, ensuring that European vanilla option prices are martingales, hence preventing the occurrence of arbitrage,...
View ArticleMachine Learning Optimization Algorithms & Portfolio Allocation....
Portfolio optimization emerged with the seminal paper of Markowitz (1952). The original mean-variance framework is appealing because it is very efficient from a computational point of view. However, it...
View ArticleConsistent and Efficient Pricing of SPX and VIX Options under Multiscale...
This study provides a consistent and efficient pricing method for both Standard & Poor's 500 Index (SPX) options and the Chicago Board Options Exchange's Volatility Index (VIX) options under a...
View ArticleUsing Machine Learning to Predict Realized Variance. (arXiv:1909.10035v1...
In this paper we formulate a regression problem to predict realized volatility by using option price data and enhance VIX-styled volatility indices' predictability and liquidity. We test algorithms...
View ArticleWhat do adoption patterns of solar panels observed so far tell about...
The paper uses diffusion models to understand the main determinants of diffusion of solar photovoltaic panels (SPP) worldwide, focusing on the role of public incentives. We applied the generalized Bass...
View ArticleDesperate times call for desperate measures: government spending multipliers...
We investigate state-dependent effects of fiscal multipliers and allow for endogenous sample splitting to determine whether the US economy is in a slack state. When the endogenized slack state is...
View ArticleProductivity propagation with networks transformation. (arXiv:1909.09641v1...
Sectoral production is modeled by cascading binary compounding processes. The sequence of processes is discovered in a self-similar hierarchical structure stylized in the economy-wide networks of...
View ArticleAsset correlation estimation for inhomogeneous exposure pools
This study investigates the systematic error that is made if the exposure pool underlying a default time series is assumed to be homogeneous when in reality it is not.
View ArticleOn probability of default and its relation to observed default frequency and...
This paper considers a definition of through-the-cycle as independent from an economic state that can result in a time-varying TTC probability of default.
View ArticleManaging supply chain risk through take-or-pay gas contracts in the presence...
In this paper, the authors study the enhanced value of a take-or-pay gas contract from a buyerâs perspective in the presence of spot market trading and local storage capability.
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