OPER: Analytical (Topic)最新文献_第2页

On Incomplete Learning and Certainty-Equivalence Control 不完全学习与确定性等价控制

OPER: Analytical (Topic) Pub Date : 2017-11-17 DOI: 10.2139/ssrn.2984088

N. B. Keskin, A. Zeevi

引用次数: 28

A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors 多期限利率期限结构的一致随机模型

OPER: Analytical (Topic) Pub Date : 2017-05-22 DOI: 10.2139/ssrn.2972428

Mesias Alfeus, M. Grasselli, Erik Schlogl

{"title":"A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors","authors":"Mesias Alfeus, M. Grasselli, Erik Schlogl","doi":"10.2139/ssrn.2972428","DOIUrl":"https://doi.org/10.2139/ssrn.2972428","url":null,"abstract":"Explicitly taking into account the risk incurred when borrowing at a shorter tenor versus lending at a longer tenor (\"roll-over risk\"), we construct a stochastic model framework for the term structure of interest rates in which a frequency basis (i.e. a spread applied to one leg of a swap to exchange one floating interest rate for another of a different tenor in the same currency) arises endogenously. This roll-over risk consists of two components, a credit risk component due to the possibility of being downgraded and thus facing a higher credit spread when attempting to roll over short-term borrowing, and a component reflecting the (systemic) possibility of being unable to roll over short-term borrowing at the reference rate (e.g., LIBOR) due to an absence of liquidity in the market. The modelling framework is of \"reduced form\" in the sense that (similar to the credit risk literature) the source of credit risk is not modelled (nor is the source of liquidity risk). However, the framework has more structure than the literature seeking to simply model a different term structure of interest rates for each tenor frequency, since relationships between rates for all tenor frequencies are established based on the modelled roll-over risk. We proceed to consider a specific case within this framework, where the dynamics of interest rate and roll-over risk are driven by a multifactor Cox/Ingersoll/Ross-type process, show how such model can be calibrated to market data, and used for relative pricing of interest rate derivatives, including bespoke tenor frequencies not liquidly traded in the market.","PeriodicalId":103032,"journal":{"name":"OPER: Analytical (Topic)","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-05-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114510351","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 16

A Non Convex Singular Stochastic Control Problem and Its Related Optimal Stopping Boundaries 一类非凸奇异随机控制问题及其最优停止边界

OPER: Analytical (Topic) Pub Date : 2014-05-05 DOI: 10.2139/ssrn.2435375

T. Angelis, Giorgio Ferrari, J. Moriarty

引用次数: 23

Endemic SIR Model in Random Media 随机介质中的地方性SIR模型

OPER: Analytical (Topic) Pub Date : 2013-05-01 DOI: 10.2139/ssrn.2272922

M. Svishchuk

引用次数: 2

Fixed-Dimensional Stochastic Dynamic Programs: An Approximation Scheme and an Inventory Application 固定维随机动态规划:一种近似格式及其库存应用

OPER: Analytical (Topic) Pub Date : 2012-12-22 DOI: 10.2139/ssrn.2193021

Wei Chen, Milind Dawande, G. Janakiraman

{"title":"Fixed-Dimensional Stochastic Dynamic Programs: An Approximation Scheme and an Inventory Application","authors":"Wei Chen, Milind Dawande, G. Janakiraman","doi":"10.2139/ssrn.2193021","DOIUrl":"https://doi.org/10.2139/ssrn.2193021","url":null,"abstract":"We study fixed-dimensional stochastic dynamic programs in a discrete setting over a finite horizon. Under the primary assumption that the cost-to-go functions are discrete L -convex, we propose a pseudo-polynomial time approximation scheme that solves this problem to within an arbitrary prespecified additive error of e > 0. The proposed approximation algorithm is a generalization of the explicit-enumeration algorithm and offers us full control in the trade-off between accuracy and running time. \u0000 \u0000The main technique we develop for obtaining our scheme is approximation of a fixed-dimensional L -convex function on a bounded rectangular set, using only a selected number of points in its domain. Furthermore, we prove that the approximation function preserves L -convexity. Finally, to apply the approximate functions in a dynamic program, we bound the error propagation of the approximation. Our approximation scheme is illustrated on a well-known problem in inventory theory, the single-product problem with lost sales and lead times. We demonstrate the practical value of our scheme by implementing our approximation scheme and the explicit-enumeration algorithm on instances of this inventory problem.","PeriodicalId":103032,"journal":{"name":"OPER: Analytical (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-12-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129157939","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 28

Integrality in Stochastic Inventory Models 随机库存模型的完整性

OPER: Analytical (Topic) Pub Date : 2012-12-22 DOI: 10.2139/ssrn.2193015

Wei Chen, Milind Dawande, G. Janakiraman

{"title":"Integrality in Stochastic Inventory Models","authors":"Wei Chen, Milind Dawande, G. Janakiraman","doi":"10.2139/ssrn.2193015","DOIUrl":"https://doi.org/10.2139/ssrn.2193015","url":null,"abstract":"We study several finite-horizon, discrete-time, dynamic, stochastic inventory control models with integer demands: the newsvendor model, its multi-period extension, and a single-product, multi-echelon assembly model. Equivalent linear programs are formulated for the corresponding stochastic dynamic programs, and integrality results are derived based on the total unimodularity of the constraint matrices. Specifically, for all these models, starting with integer inventory levels, we show that there exist optimal policies that are integral. For the most general single-product, multi-echelon assembly system model, integrality results are also derived for a practical alternative to stochastic dynamic programming, namely, rolling-horizon optimization by a similar argument. We also present a different approach to prove integrality results for stochastic inventory models. This new approach is based on a generalization we propose for the one-dimensional notion of piecewise linearity with integer breakpoints to higher dimensions. The usefulness of this new approach is illustrated by establishing the integrality of both the dynamic programming and rolling-horizon optimization models of a two-product capacitated stochastic inventory control system.","PeriodicalId":103032,"journal":{"name":"OPER: Analytical (Topic)","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-12-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116948493","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 8

Modelling Dependence in Insurance Claims Processes with Lévy Copulas 基于lsamvy copula的保险索赔过程依赖性建模

OPER: Analytical (Topic) Pub Date : 2011-02-08 DOI: 10.2139/ssrn.1757461

Benjamin Avanzi, Luke Cameron Cassar, Bernard Wong

引用次数: 19

Lp Solutions of Backward Stochastic Differential Equations with Jumps 带跳跃的倒向随机微分方程的Lp解

OPER: Analytical (Topic) Pub Date : 2010-07-13 DOI: 10.2139/ssrn.2806567

Song Yao

引用次数: 21

Convergence Rates for Diffusions on Continuous-Time Lattices 连续时间格上扩散的收敛速率

OPER: Analytical (Topic) Pub Date : 2007-10-02 DOI: 10.2139/ssrn.1018609

C. Albanese, A. Mijatović