Drawing on statistical learning theory, we derive out-of-sample and optimality guarantees about the investment strategy obtained from a regularized portfoli...

We consider several time series and for each of them, we fit an appropriate dynamic parametric model. This produces serially independent error terms for each...

For nearest neighbor univariate random walks in a periodic environment, where the probability of moving depends on a periodic function, we show how to estim...

Given \(n\) points, a symmetric dissimilarity matrix \(D\) of dimensions \(n\times n\) and an integer \(p\geq 2\), the \(p\)-dispersion problem (pD...

Operations Research (OR) has a very important role to play in credit scoring for building models that can help the lending organization to make a good decisi...

In this paper, we propose an intuitive way to couple several dynamic time series models even when there are no innovations. This extends previous work for m...

In its reform of the US bankruptcy procedure, the American Bankruptcy Institute (ABI) is proposing to grant a redemption option to junior creditors and let...

In this paper, we consider non-stationary response variables and covariates, where the marginal distributions and the associated copula may be time-dependent...

Generally, the semiclosed-form option pricing formula for complex financial models depends on unobservable factors such as stochastic volatility and jump int...

Wrong-way risk arises when the value of a financial transaction is adversely correlated with the creditworthiness of the counterparty. This paper investiga...

The third installment of the Basel Accords advocates a capital charge against Credit Valuation Adjustment (CVA) variability. We propose an efficient numeri...

We analyze a transboundary pollution differential game where, in addition to the standard temporal dimension, a spatial dimension is introduced to capture th...

Parrondo's paradox is extended to regime switching random walks in random environments. The paradoxical behavior of the resulting random walk is explained...

We use NORTA (NORmal To Anything) to enhance normal credit-risk factor settings in modeling common risk factors and capturing contagion effects...

The survivorship bias in credit risk modeling is the bias that results in parameter estimates when the survival of a company is ignored. We study the statist...

We analyze the effect of non-constant discounting on economic growth and social welfare in an endogenous growth model with pollution externalities. For ti...

This note revisits the problem of how to select an equilibrium in a differential game in the case of multiplicity of Nash equilibria. Most of the previous ap...

Partially observed major minor LQG mean field game theory is applied to an optimal execution problem in finance; following standard financial models, control...

We examine the stability of international environmental agreements when they include both adaptation and mitigation policies. We assume that adaptation req...

We propose an analytical formula for the evaluation of compound options when the underlying asset is described by a two-states Markov regime-switching log-...