Optimal Control of Prevention and Treatment in a Basic...
We analyze the optimal control of disease prevention and treatment in a basic SIS model. We develop a simple macroeconomic setup in which the social planner determines how to optimally intervene,...
View ArticleVol-of-Vol expansion for (rough) forward variance models. (arXiv:1910.03245v1...
We extend the scope of the vol-of-vol expansion given in [27] from finite dimensional stochastic volatility models to infinite dimensional (rough) forward variance models and provide new explicit...
View ArticleNon-compliance in randomized control trials without exclusion restrictions....
In the context of a randomized experiment with non-compliance, I identify treatment effects without exclusion restrictions. Instead of relying on specific experimental designs, I exploit a baseline...
View ArticleThe Impacts of the Alaska Permanent Fund Dividend on High School Status...
Direct cash transfer programs have shown success as poverty interventions in both the developing and developed world, yet little research exists examining the society-wide outcomes of an unconditional...
View ArticleThe Numerical Simulation of Quanto Option Prices Using Bayesian Statistical...
In the paper, the pricing of Quanto options is studied, where the underlying foreign asset and the exchange rate are correlated with each other. Firstly, we adopt Bayesian methods to estimate unknown...
View ArticleRisk-averse optimal stopping under ambiguity and partial information....
We obtain structural results for non-Markovian optimal stopping problems in discrete time when the decision maker is risk averse and has partial information about the stochastic sequences generating...
View ArticleDistributionally Robust XVA via Wasserstein Distance Part 2: Wrong Way...
This paper investigates calculations of robust funding valuation adjustment (FVA) for over the counter (OTC) derivatives under distributional uncertainty using Wasserstein distance as the ambiguity...
View ArticleQuantifying Life Insurance Risk using Least-Squares Monte Carlo....
This article presents a stochastic framework to quantify the biometric risk of an insurance portfolio in solvency regimes such as Solvency II or the Swiss Solvency Test (SST). The main difficulty in...
View ArticleMost productive scale size of China's regional R&D value chain: A mixed...
This paper offers new mathematical models to measure the most productive scale size (MPSS) of production systems with mixed structure networks (mixed of series and parallel). In the first property, we...
View ArticleArt Pricing with Computer Graphic Techniques. (arXiv:1910.03800v1 [q-fin.GN])
This paper makes the first attempt to introduce the tools from computer graphics into the art pricing research. We argue that the creation of a painting calls for a combination of conceptual effort and...
View ArticleCreating a unique mobile financial services framework for Myanmar: A Review....
Myanmar is languishing at the bottom of key international indexes. United Nations considers the country as a structurally weak and vulnerable economy. Yet, from 2011 when Myanmar ended decades of...
View ArticlePolitical Openness and Armed Conflict: Evidence from Local Councils in...
In this paper, I empirically investigate how the openness of political institutions to diverse representation can impact conflict-related violence. By exploiting plausibly exogenous variations in the...
View ArticleOn the feasibility of parsimonious variable selection for Hotelling's...
Hotelling's $T^2$-test for the mean of a multivariate normal distribution is one of the triumphs of classical multivariate analysis. It is uniformly most powerful among invariant tests, and admissible,...
View ArticleCall for Papers: Low-Carbon Finance and the Sustainable Development Goals
Special issue of: Finance Research Letters (FRL) in cooperation with the Asian Development Bank Institute (ADBI)
View ArticleMomentum Explains a Bunch Of Equity Factors
Financial academics have described so many equity factors that the whole universe of them is sometimes called "factor zoo". Therefore, it is no surprise that there is a quest within an academic...
View ArticleCall for Papers: Special Issue on ‘Financial Technology and Financial...
Guest Editors:Â Johan Sulaeman, National University of Singapore (GFJ Editor) Alistair Milne, Loughborough University Irwan Trinugroho, Universitas Sebelas Maret
View ArticleMoneyScience: MoneyScience's post: A Brief History of Bitcoin and Blockchain...
A Brief History of #Bitcoin and #Blockchain Research (2011-2014) https://t.co/ys7A4isj2O â moneyscience (@moneyscience) October 10, 2019
View ArticleThe lookout on risk management and quant trading
We asked the #quant leaders of tomorrow to explore the biggest disruptors in the industry. Here's what the next generation think -->https://t.co/024DhctWU6â¦
View Article