The Multivariate Kyle Model: More is Different
We reconsider the multivariate Kyle model in a risk-neutral setting with a single, perfectly informed rational insider and a rational competitive market maker, setting the price of $n$ securities. We prove the unicity of a symmetric, positive definite ...
Multiperiod Mean Conditional Value at Risk Asset Allocation: Is It Advantageous to Be Time Consistent?
We formulate the multiperiod, time consistent mean-CVAR (conditional value at risk) asset allocation problem in a form amenable to numerical computation. Our numerical algorithm can impose realistic constraints such as no shorting, no leverage, and discrete ...
A Risk-Sharing Framework of Bilateral Contracts
We introduce a two-agent problem which is inspired by price asymmetry arising from funding difference. When two parties have different funding rates, the two parties deduce different fair prices for derivative contracts even under the same pricing ...
An Optimal Investment Problem with Nonsmooth and Nonconcave Utility over a Finite Time Horizon
In this paper, we study a class of optimal investment problems with a nonsmooth and nonconcave utility function, where the value function is the expected utility determined by the state process and time. We adopt partial differential equation methods to ...
Volatility Options in Rough Volatility Models
We discuss the pricing and hedging of volatility options in some rough volatility models. First, we develop efficient Monte Carlo methods and asymptotic approximations for computing option prices and hedge ratios in models where log volatility follows a ...
Optimal Execution with Rough Path Signatures
We present a method for obtaining approximate solutions to the problem of optimal execution, based on a signature method. The framework is general, only requiring that the price process is a geometric rough path and the price impact function is a ...
Black's Inverse Investment Problem and Forward Criteria with Consumption
We study an inverse investment problem proposed by Black and provide necessary and sufficient conditions for a given function to be an admissible indirect utility function in a log-normal market; we also show how to recover the associated utility function. ...
Risk-Dependent Centrality in Economic and Financial Networks
Node centrality is one of the most important and widely used concepts in the study of complex networks. Here, we extend the paradigm of node centrality in financial and economic networks to consider the changes of node “importance” produced not only by the ...
An Analytical Valuation Framework for Financial Assets with Trading Suspensions
In this paper we propose a derivative valuation framework based on Lévy processes which takes into account the possibility that the underlying asset is subject to information-related trading halts/suspensions. Since such assets are not traded at all times,...
Deep-Learning Solution to Portfolio Selection with Serially Dependent Returns
This paper investigates a deep-learning solution to high-dimensional multiperiod portfolio optimization problems with bounding constraints on the control. We propose a deep neural network (DNN) architecture to describe the underlying control process. The ...
Fully-Dynamic Risk-Indifference Pricing and No-Good-Deal Bounds
The seller's risk-indifference price evaluation is studied. We propose a dynamic risk-indifference pricing criterion derived from fully-dynamic risk measures on the $L_p$-spaces for $p\in [1,\infty]$. The concept of fully-dynamic risk measures extends the ...