Partial liquidation under reference-dependent preferences
Abstract We propose a multiple optimal stopping model where an investor can sell a divisible asset position at times of her choosing. Investors have (S)-shaped reference-dependent preferences, whereby...
View ArticleHow much has changed since 2008?
How much has changed since 2008? https://t.co/Sxgx7vZWoQ â David R. Koenig (@davidrkoenig) March 15, 2020
View ArticleA class of recursive optimal stopping problems with applications to stock...
In this paper we introduce and solve a class of optimal stopping problems of recursive type. In particular, the stopping payoff depends directly on the value function of the problem itself. In a...
View ArticleRealized volatility and parametric estimation of Heston SDEs....
We present a detailed analysis of emph{observable} moments based parameter estimators for the Heston SDEs jointly driving the rate of returns $R_t$ and the squared volatilities $V_t$. Since...
View ArticleApplication of Deep Q-Network in Portfolio Management. (arXiv:2003.06365v1...
Machine Learning algorithms and Neural Networks are widely applied to many different areas such as stock market prediction, face recognition and population analysis. This paper will introduce a...
View ArticleOptimal hedging of a perpetual American put with a single trade....
It is well-known that using delta hedging to hedge financial options is not feasible in practice. Traders often rely on discrete-time hedging strategies based on fixed trading times or fixed trading...
View ArticleAsymptotic expansion for the transition densities of stochastic differential...
In this paper, enlightened by the asymptotic expansion methodology developed by Li(2013b) and Li and Chen (2016), we propose a Taylor-type approximation for the transition densities of the stochastic...
View ArticleCoronavirus and oil price crash: A note. (arXiv:2003.06184v1 [q-fin.ST])
Coronavirus (COVID-19) creates fear and uncertainty, hitting the global economy and amplifying the financial markets volatility. The oil price reaction to COVID-19 was gradually accommodated until...
View ArticleDisturbing the Peace: Anatomy of the Hostile Takeover of China Vanke Co....
Wang Shi, a business mogul who created his empire of wealth from scratch, relished in his fame and basked in the glory of his affluent business. Nothing lasts forever! After mastering the turbulent...
View ArticleOptimal market making with persistent order flow. (arXiv:2003.05958v1...
We address the issue of market making on electronic markets when taking into account the self exciting property of market order flow. We consider a market with order flows driven by Hawkes processes...
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The Mathematics of Ted Kaczynski
“Showed amazing potential. Then he moved to Montana, and blew the competition away.” — Sean MaguireContinue reading on Cantorâs Paradise »
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