Economy and finance
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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...
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Partially observed major minor LQG mean field game theory is applied to an optimal execution problem in finance; following standard financial models, control...
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We examine the stability of international environmental agreements when they include both adaptation and mitigation policies. We assume that adaptation req...
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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-...
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In this paper we solve the discrete time mean-variance hedging problem when asset returns follow a multivariate autoregressive hidden Markov model. Time dep...
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In this paper, we first present a review of statistical tools that can be used in asset management either to track financial indexes or to create synthetic o...
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An exchangeable bond is a debt that is convertible into shares of a firm's equity other than the bond's issuer. We evaluate an exchangeable bond within a two...
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Unlike delta-hedging or similar methods based on Greeks, global hedging is an approach optimizing some terminal criterion that depends on the difference be...
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Most structural models for valuing corporate securities assume a geometric-Brownian motion to describe the firm's assets value. However, this does not reflec...
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Recently, two different copula-based approaches have been proposed to estimate the conditional quantile function of a variable \(Y\)
with respect to a vect...
Partially observed Mean Field Game (PO MFG) theory was introduced and developed in (Caines and Kizilkale, 2013, 2014, Şen and Caines 2014, 2015), where it i...
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We develop a general structural model for valuing risky corporate debts that takes into account both default and interest rate risk. We propose a two-dimensi...
BibTeX referenceR&D investments in presence of free riders
It is an established result in the literature that if the knowledge spillover between firms is sufficiently high, then R&D investments are higher when firm...
BibTeX referenceSpatial effects and strategic behaviour in a multiregional transboundary pollution dynamic game
We analyze a transboundary pollution differential game where pollution control is spatially distributed among a number of agents with predetermined spatial r...
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Lévy processes provide a solution to overcome the shortcomings of the lognormal hypothesis. A growing literature proposes the use of pure-jump Lévy processe...
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We consider a dynamic game with a corrupt government and multiple civil society organizations as the players. We characterize feedback Stackelberg equilibr...
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We propose the option realized variance as a new observable covariate that integrates high frequency option prices in the inference of option pricing models....
BibTeX referenceFirm-specific credit risk modelling in the presence of statistical regimes and noisy prices
Security prices are important inputs for estimating credit risk models. Yet, to obtain an accurate firm-specific credit risk assessment, one needs a reliable...
BibTeX referenceDynamic programming and parallel computing for valuing two-dimensional american-style options
We propose a dynamic program coupled with finite elements for valuing two-dimensional American-style options. To speed-up our procedure, we use parallel comp...
BibTeX referenceTime is money: An empirical investigation of delivery behavior in the U.S. T-bond futures market
One of the most complex early-exercise decisions faced by traders in the financial derivatives markets is with T-Bond futures, due to the combination of mu...
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