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Volume 11, Issue 2
Publisher:
  • Society for Industrial and Applied Mathematics
  • 3600 University City Science Center Philadelphia, PA
  • United States
EISSN:1945-497X
Reflects downloads up to 18 Jan 2025Bibliometrics
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research-article
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 ...

research-article
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 ...

research-article
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 ...

research-article
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 ...

research-article
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 ...

research-article
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 ...

research-article
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. ...

research-article
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 ...

research-article
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,...

research-article
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 ...

research-article
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 ...

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