In this paper we solve the discrete time mean-variance hedging problem when asset returns follow a multivariate autoregressive hidden Markov model. Time dep...

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...

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...

Unlike delta-hedging or similar methods based on Greeks, global hedging is an approach optimizing some terminal criterion that depends on the difference be...

Most structural models for valuing corporate securities assume a geometric-Brownian motion to describe the firm's assets value. However, this does not reflec...

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...

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...

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...

We analyze a transboundary pollution differential game where pollution control is spatially distributed among a number of agents with predetermined spatial r...

Lévy processes provide a solution to overcome the shortcomings of the lognormal hypothesis. A growing literature proposes the use of pure-jump Lévy processe...

We consider a dynamic game with a corrupt government and multiple civil society organizations as the players. We characterize feedback Stackelberg equilibr...

We propose the option realized variance as a new observable covariate that integrates high frequency option prices in the inference of option pricing models....

Security prices are important inputs for estimating credit risk models. Yet, to obtain an accurate firm-specific credit risk assessment, one needs a reliable...

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...

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...

The recent disappearance of a five-year-maturity gap from the set of Treasury bonds deliverable into the Chicago Board of Trade Treasury bond futures has res...

For a Neoclassical growth model, exponential discounting is observationally equivalent to quasi-hyperbolic discounting, if the instantaneous discount rate ...

Traditionally, claim counts and amounts are assumed to be independent in non-life insurance. This paper explores how this oft unwarranted assumption can be r...

In order to determine the risk capital for their aggregate portfolio, property and casualty insurance companies must fit a multivariate model to the loss tri...