Nonparametric tests for jump detection via false discovery rate control: a...
The main goal of this paper is to perform a comprehensive nonparametric jump detection model comparison and validation. To this end, the authors design an extensive Monte Carlo study to compare and...
View ArticleModel risk management: from epistemology to corporate governance
In this paper, the authors conduct an analysis of model risk in an attempt to understand the main issues that lead to failures and the best way to address such issues.
View ArticleA new approach to evaluating the cost-efficiency of complex hedging...
In this paper, the authors propose a new hedging assessment model, the economic value of the incremental expected shortfall (EVIES), from a cost-efficiency perspective.
View ArticleThe risk markup of intermittent renewable supply in German electricity...
This paper presents an empirical analysis of how power shocks resulting from intermittent renewables affect the forecast error of the forward premium in German electricity markets.
View ArticleFinancial data science: the birth of a new financial research paradigm...
Volume 25, Issue 17, November 2019, Page 1627-1636.
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Famous Diophantine Equations
A Diophantine equation is an algebraic equation with several unknowns and integer coefficientsContinue reading on Cantorâs Paradise »
View ArticleApplying existing scenario techniques to the quantification of emerging...
This paper sets out techniques for: (a) identifying systematically emerging threats, their timescales, and interrelationships (eg, feedback loops and domino effects); (b) quantifying operational risks...
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The Bohr-Einstein Debate
A narration of the “Debate of the Century”Continue reading on Cantorâs Paradise »
View ArticleMean field systems on networks, with singular interaction through hitting...
Building on the line of work [DIRT15a], [DIRT15b], [NS17a], [DT17], [HLS18], [HS18] we continue the study of particle systems with singular interaction through hitting times. In contrast to the...
View ArticleA Statistical Field Approach to Capital Accumulation. (arXiv:1909.11635v1...
This paper presents a model of capital accumulation for a large number of heterogenous producer-consumers in an exchange space in which interactions depend on agents' positions. Each agent is described...
View ArticleConsidering pricing and uncertainty in designing a reverse logistics network....
Companies try to maximize their profits by recovering returned products of highly uncertain quality and quantity. In this paper, a reverse logistics network for an Original Equipment Manufacturer (OEM)...
View ArticleDeep Neural Network Framework Based on Backward Stochastic Differential...
We propose a deep neural network framework for computing prices and deltas of American options in high dimensions. The architecture of the framework is a sequence of neural networks, where each network...
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