Stochastic Comparative Statics in Markov Decision Processes....
In multi-period stochastic optimization problems, the future optimal decision is a random variable whose distribution depends on the parameters of the optimization problem. We analyze how the expected...
View ArticleDeep neural networks algorithms for stochastic control problems on finite...
This paper presents several numerical applications of deep learning-based algorithms that have been introduced in [HPBL18]. Numerical and comparative tests using TensorFlow illustrate the performance...
View ArticlePlayer-Compatible Learning and Player-Compatible Equilibrium....
Player-Compatible Equilibrium (PCE) imposes cross-player restrictions on the magnitudes of the players' "trembles" onto different strategies. These restrictions capture the idea that trembles...
View ArticleAsymptotics of the time-discretized log-normal SABR model: The implied...
We propose a novel time discretization for the log-normal SABR model $dS_t = sigma_t S_t dW_t, dsigma_t = omega sigma_t dZ_t$, with $mbox{corr}(W_t,Z_t)=varrho$, which is a variant of the...
View ArticleStock Price Prediction Using Convolutional Neural Networks on a Multivariate...
Prediction of future movement of stock prices has been a subject matter of many research work. In this work, we propose a hybrid approach for stock price prediction using machine learning and deep...
View ArticleRegional airports in Greece, their characteristics and their importance for...
Technological developments worldwide are contributing to the improvement of transport infrastructures and they are helping to reduce the overall transport costs. At the same time, such developments...
View ArticleThe network paradigm as a modeling tool in regional economy: the case of...
Network Science is an emerging discipline using the network paradigm to model communication systems as pair-sets of interconnected nodes and their linkages (edges). This paper applies this paradigm to...
View ArticleAsymptotic expansion for the Hartman-Watson distribution. (arXiv:2001.09579v1...
The Hartman-Watson distribution with density $f_r(t)$ is a probability distribution defined on $t geq 0$ which appears in several problems of applied probability. The density of this distribution is...
View ArticleFinance from the viewpoint of physics. (arXiv:2001.09446v1 [q-fin.ST])
In this note we review the basic mathematical ideas used in finance in the language of modern physics. In the framework of discrete time formalism we discuss the effect time rescaling, and derive path...
View ArticlePricing vulnerable options in a hybrid credit risk model driven by...
This paper proposes a hybrid credit risk model, in closed form, to price vulnerable options with stochastic volatility. The distinctive features of the model are threefold. First, both the underlying...
View ArticleSemi-metric portfolio optimisation: a new algorithm reducing simultaneous...
This paper proposes a new method for financial portfolio optimisation based on reducing simultaneous asset shocks across a portfolio of assets. We adopt the new semi-metrics of citep{James2019} to...
View ArticleIntegrated microtransit services with chance-constrained dynamic pricing and...
The design of integrated mobility-on-demand services requires jointly considering the interactions between traveler choice behavior and operators' operation policies to design a financially sustainable...
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Why word of mouth works better for niche products and ideas
Imagine you learn about a concert through social media. You saw a friend post that she is excitedly planning to attend. How do you decide whether you want to go? Does it matter whether the concert is...
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