Distributionally Robust XVA via Wasserstein Distance Part 1: Wrong Way...
This paper investigates calculations of robust CVA for OTC derivatives under distributional uncertainty using Wasserstein distance as the ambiguity measure. Wrong way counterparty credit risk can be...
View ArticleUtility-based pricing and hedging of contingent claims in Almgren-Chriss...
In this paper, we construct the utility-based optimal hedging strategy for a European-type option in the Almgren-Chriss model with temporary price impact. The main mathematical challenge of this work...
View ArticleA consistent investment strategy
This paper introduces a consistent performance strategy (CPS), which, if followed, leads to a portfolio having consistently positive returns over time and exhibiting a steady upward trend.
View ArticlePathwise superhedging on prediction sets. (arXiv:1711.02764v3 [q-fin.MF]...
In this paper we provide a pricing-hedging duality for the model-independent superhedging price with respect to a prediction set $Xisubseteq C[0,T]$, where the superhedging property needs to hold...
View ArticleRacial Disparities in Debt Collection. (arXiv:1910.02570v1 [econ.GN])
A distinct set of disadvantages experienced by black Americans increases their likelihood of experiencing negative financial shocks, decreases their ability to mitigate the impact of such shocks, and...
View ArticleA theorem of Kalman and minimal state-space realization of Vector...
We introduce a concept of $autoregressive$ (AR)state-space realization that could be applied to all transfer functions $boldsymbol{T}(L)$ with $boldsymbol{T}(0)$ invertible. We show that a theorem of...
View ArticleResolving asset pricing puzzles with price impact. (arXiv:1910.02466v1...
We solve in closed-form a Nash equilibrium model in which a finite number of exponential investors trade continuously with price-impact over a finite time horizon. By comparing our continuous-time Nash...
View ArticleHierarchical PCA and Applications to Portfolio Management....
It is widely known that the common risk-factors derived from PCA beyond the first eigenportfolio are generally difficult to interpret and thus to use in practical portfolio management. We explore a...
View ArticleConstrained Credit Networks. (arXiv:1910.02194v1 [cs.GT])
The Credit Network is a model for transactions across a network of agents based on bilateral trust between agents. Credit Networks capture many aspects of traditional currencies as well as new virtual...
View ArticleTrading Strategies and Market Color: The Benefits of Friendship with...
This paper acts as a collection of various trading strategies and useful pieces of market information that might help to implement such strategies. This list is meant to be comprehensive (though by no...
View ArticleMicrofoundations of Discounting. (arXiv:1910.02137v1 [econ.TH])
An important question in economics is how people choose between different payments in the future. The classical normative model predicts that a decision maker discounts a later payment relative to an...
View ArticleCall for Papers: Special Issue on ‘Behavioural Finance: A Global...
Guest Editors: Arman Eshraghi, Cardiff University
View ArticleAlbina Danilova: On pricing rules and optimal strategies in general Kyle-Back...
London School of Economics and Political Science12 Feb 2020 to 12 Feb 2020, Weeks Hall - G03 Seminar Room
View ArticleSEC Names Katharine E. Zoladz as Associate Regional Director in Los Angeles...
The Securities and Exchange Commission today announced that Katharine E. Zoladz has been named Associate Regional Director for enforcement in the Los Angeles Regional Office. Ms. Zoladz succeeds John...
View ArticleStatic and dynamic risk capital allocations with the Euler rule
This paper studies the volatility of the Euler rule for capital allocation in static and dynamic empirical applications with a simulated history.
View ArticleAgencies Finalize Changes to Simplify Volcker Rule
Five federal financial regulatory agencies on Tuesday announced that they finalized revisions to simplify compliance requirements relating to the âVolcker rule.â By statute, the Volcker rule...
View ArticleDivestitures and Carve-outs in the Top Middle Market Deals
Private equity middle market deal-making did well in the first half of 2019, matching the pace of 2018, which was a record-setting year, according to a new report from The authors credit the usual...
View ArticlePredicting Auction Price of Vehicle License Plate with Deep Recurrent Neural...
In Chinese societies, superstition is of paramount importance, and vehicle license plates with desirable numbers can fetch very high prices in auctions. Unlike other valuable items, license plates are...
View ArticleEstimating and decomposing most productive scale size in parallel DEA...
Recently (Assani et al. 2018) introduced the concept of the most productive scale size (MPSS) for multi-stage data envelopment analysis (DEA) systems which are connected in series. However, some...
View Article