发布求助
文献互助 智能选刊 最新文献

Applied Mathematical Finance最新文献

筛选
英文 中文
Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies 退休储蓄的最优资产配置:确定性与时间一致的自适应策略
Applied Mathematical Finance Pub Date : 2019-01-02 DOI: 10.1080/1350486X.2019.1584534
P. Forsyth, K. Vetzal
{"title":"Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies","authors":"P. Forsyth, K. Vetzal","doi":"10.1080/1350486X.2019.1584534","DOIUrl":"https://doi.org/10.1080/1350486X.2019.1584534","url":null,"abstract":"ABSTRACT We consider optimal asset allocation for an investor saving for retirement. The portfolio contains a bond index and a stock index. We use multi-period criteria and explore two types of strategies: deterministic strategies are based only on the time remaining until the anticipated retirement date, while adaptive strategies also consider the investor’s accumulated wealth. The vast majority of financial products designed for retirement saving use deterministic strategies (e.g., target date funds). In the deterministic case, we determine an optimal open loop control using mean-variance criteria. In the adaptive case, we use time consistent mean-variance and quadratic shortfall objectives. Tests based on both a synthetic market where the stock index is modelled by a jump-diffusion process and also on bootstrap resampling of long-term historical data show that the optimal adaptive strategies significantly outperform the optimal deterministic strategy. This suggests that investors are not being well served by the strategies currently dominating the marketplace.","PeriodicalId":35818,"journal":{"name":"Applied Mathematical Finance","volume":"50 1","pages":"1 - 37"},"PeriodicalIF":0.0,"publicationDate":"2019-01-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87599024","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: 18
Network Effects in Default Clustering for Large Systems 大型系统默认集群中的网络效应
Applied Mathematical Finance Pub Date : 2018-12-18 DOI: 10.1080/1350486X.2020.1724804
K. Spiliopoulos, Jia Yang
{"title":"Network Effects in Default Clustering for Large Systems","authors":"K. Spiliopoulos, Jia Yang","doi":"10.1080/1350486X.2020.1724804","DOIUrl":"https://doi.org/10.1080/1350486X.2020.1724804","url":null,"abstract":"ABSTRACT We consider a large collection of dynamically interacting components defined on a weighted-directed graph determining the impact of the default of one component to another one. We prove a law of large numbers for the empirical measure capturing the evolution of the different components in the pool and from this we extract important information for quantities such as the loss rate in the overall pool as well as the mean impact on a given component from system-wide defaults. A singular value decomposition of the adjacency matrix of the graph allows to coarse-grain the system by focusing on the highest eigenvalues which also correspond to the components with the highest contagion impact on the pool. Numerical simulations demonstrate the theoretical findings.","PeriodicalId":35818,"journal":{"name":"Applied Mathematical Finance","volume":"40 1","pages":"523 - 582"},"PeriodicalIF":0.0,"publicationDate":"2018-12-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78112500","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: 7
Double Deep Q-Learning for Optimal Execution 双深度q -学习优化执行
Applied Mathematical Finance Pub Date : 2018-12-17 DOI: 10.1080/1350486X.2022.2077783
Brian Ning, Franco Ho Ting Ling, S. Jaimungal
{"title":"Double Deep Q-Learning for Optimal Execution","authors":"Brian Ning, Franco Ho Ting Ling, S. Jaimungal","doi":"10.1080/1350486X.2022.2077783","DOIUrl":"https://doi.org/10.1080/1350486X.2022.2077783","url":null,"abstract":"ABSTRACT Optimal trade execution is an important problem faced by essentially all traders. Much research into optimal execution uses stringent model assumptions and applies continuous time stochastic control to solve them. Here, we instead take a model free approach and develop a variation of Deep Q-Learning to estimate the optimal actions of a trader. The model is a fully connected Neural Network trained using Experience Replay and Double DQN with input features given by the current state of the limit order book, other trading signals, and available execution actions, while the output is the Q-value function estimating the future rewards under an arbitrary action. We apply our model to nine different stocks and find that it outperforms the standard benchmark approach on most stocks using the measures of (i) mean and median out-performance, (ii) probability of out-performance, and (iii) gain-loss ratios.","PeriodicalId":35818,"journal":{"name":"Applied Mathematical Finance","volume":"1 1","pages":"361 - 380"},"PeriodicalIF":0.0,"publicationDate":"2018-12-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90838879","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: 52
Optimal Market Making under Partial Information with General Intensities 一般强度下部分信息下最优做市
Applied Mathematical Finance Pub Date : 2018-12-01 DOI: 10.2139/ssrn.3530446
L. Campi, Diego Zabaljauregui
{"title":"Optimal Market Making under Partial Information with General Intensities","authors":"L. Campi, Diego Zabaljauregui","doi":"10.2139/ssrn.3530446","DOIUrl":"https://doi.org/10.2139/ssrn.3530446","url":null,"abstract":"ABSTRACT Starting from the Avellaneda–Stoikov framework, we consider a market maker who wants to optimally set bid/ask quotes over a finite time horizon, to maximize her expected utility. The intensities of the orders she receives depend not only on the spreads she quotes but also on unobservable factors modelled by a hidden Markov chain. We tackle this stochastic control problem under partial information with a model that unifies and generalizes many existing ones under full information, combining several risk metrics and constraints, and using general decreasing intensity functionals. We use stochastic filtering, control and piecewise-deterministic Markov processes theory, to reduce the dimensionality of the problem and characterize the reduced value function as the unique continuous viscosity solution of its dynamic programming equation. We then solve the analogous full information problem and compare the results numerically through a concrete example. We show that the optimal full information spreads are biased when the exact market regime is unknown, and the market maker needs to adjust for additional regime uncertainty in terms of P&L sensitivity and observed order flow volatility. This effect becomes higher, the longer the waiting time in between orders.","PeriodicalId":35818,"journal":{"name":"Applied Mathematical Finance","volume":"4 1","pages":"1 - 45"},"PeriodicalIF":0.0,"publicationDate":"2018-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79111390","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: 4
Log-Optimal Portfolios with Memory Effect 具有记忆效应的对数最优投资组合
Applied Mathematical Finance Pub Date : 2018-11-02 DOI: 10.1080/1350486X.2018.1542323
Zsolt Nika, M. Rásonyi
{"title":"Log-Optimal Portfolios with Memory Effect","authors":"Zsolt Nika, M. Rásonyi","doi":"10.1080/1350486X.2018.1542323","DOIUrl":"https://doi.org/10.1080/1350486X.2018.1542323","url":null,"abstract":"ABSTRACT In portfolio optimization a classical problem is to trade with assets so as to maximize some kind of utility of the investor. In our paper this problem is investigated for assets whose prices depend on their past values in a non-Markovian way. Such models incorporate several features of real price processes better than Markov processes do. Our utility function is the widespread logarithmic utility, the formulation of the model is discrete in time. Despite the problem being a well-known one, there are few results where memory is treated systematically in a parametric model. Our algorithm is optimal and this optimality is guaranteed for a rich class of model specifications. Moreover, the algorithm runs online, i.e., the optimal investment is achieved in a day-by-day manner, using simple numerical integration, without Monte-Carlo simulations. Theoretical results are demonstrated by numerical experiments as well.","PeriodicalId":35818,"journal":{"name":"Applied Mathematical Finance","volume":"11 1","pages":"557 - 585"},"PeriodicalIF":0.0,"publicationDate":"2018-11-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81816088","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: 6
Hybrid Lévy Models: Design and Computational Aspects 混合lsamvy模型:设计和计算方面
Applied Mathematical Finance Pub Date : 2018-10-30 DOI: 10.1080/1350486X.2018.1536523
E. Eberlein, Marcus Rudmann
{"title":"Hybrid Lévy Models: Design and Computational Aspects","authors":"E. Eberlein, Marcus Rudmann","doi":"10.1080/1350486X.2018.1536523","DOIUrl":"https://doi.org/10.1080/1350486X.2018.1536523","url":null,"abstract":"ABSTRACT A hybrid model is a model, where two markets are studied jointly such that stochastic dependence can be taken into account. Such a dependence is well known for equity and interest rate markets on which we focus here. Other pairs can be considered in a similar way. Two different versions of a hybrid approach are developed. Independent time-inhomogeneous Lévy processes are used as the drivers of the dynamics of interest rates and equity. In both versions, the dynamics of the interest rate side is described by an equation for the instantaneous forward rate. Dependence between the markets is generated by introducing the driver of the interest rate market as an additional term into the dynamics of equity in the first version. The second version starts with the equity dynamics and uses a corresponding construction for the interest rate side. Dependence can be quantified in both cases by a single parameter. Numerically efficient valuation formulas for interest rate and equity derivatives are developed. Using market quotes for liquidly traded assets we show that the hybrid approach can be successfully calibrated.","PeriodicalId":35818,"journal":{"name":"Applied Mathematical Finance","volume":"21 1","pages":"533 - 556"},"PeriodicalIF":0.0,"publicationDate":"2018-10-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78650737","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: 3
Unbiased Deep Solvers for Linear Parametric PDEs 线性参数偏微分方程的无偏深度解
Applied Mathematical Finance Pub Date : 2018-10-11 DOI: 10.1080/1350486X.2022.2030773
Marc Sabate Vidales, D. Šiška, L. Szpruch
{"title":"Unbiased Deep Solvers for Linear Parametric PDEs","authors":"Marc Sabate Vidales, D. Šiška, L. Szpruch","doi":"10.1080/1350486X.2022.2030773","DOIUrl":"https://doi.org/10.1080/1350486X.2022.2030773","url":null,"abstract":"We develop several deep learning algorithms for approximating families of parametric PDE solutions. The proposed algorithms approximate solutions together with their gradients, which in the context of mathematical finance means that the derivative prices and hedging strategies are computed simultaneously. Having approximated the gradient of the solution, one can combine it with a Monte Carlo simulation to remove the bias in the deep network approximation of the PDE solution (derivative price). This is achieved by leveraging the Martingale Representation Theorem and combining the Monte Carlo simulation with the neural network. The resulting algorithm is robust with respect to the quality of the neural network approximation and consequently can be used as a black box in case only limited a-priori information about the underlying problem is available. We believe this is important as neural network-based algorithms often require fair amount of tuning to produce satisfactory results. The methods are empirically shown to work for high-dimensional problems (e.g., 100 dimensions). We provide diagnostics that shed light on appropriate network architectures.","PeriodicalId":35818,"journal":{"name":"Applied Mathematical Finance","volume":"224 1","pages":"299 - 329"},"PeriodicalIF":0.0,"publicationDate":"2018-10-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85558194","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: 3
Closed-form Approximations in Multi-asset Market Making 多资产做市中的封闭逼近
Applied Mathematical Finance Pub Date : 2018-10-10 DOI: 10.1080/1350486X.2021.1949359
Philippe Bergault, David Evangelista, Olivier Gu'eant, Douglas A. G. Vieira
{"title":"Closed-form Approximations in Multi-asset Market Making","authors":"Philippe Bergault, David Evangelista, Olivier Gu'eant, Douglas A. G. Vieira","doi":"10.1080/1350486X.2021.1949359","DOIUrl":"https://doi.org/10.1080/1350486X.2021.1949359","url":null,"abstract":"ABSTRACT A large proportion of market making models derive from the seminal model of Avellaneda and Stoikov. The numerical approximation of the value function and the optimal quotes in these models remains a challenge when the number of assets is large. In this article, we propose closed-form approximations for the value functions of many multi-asset extensions of the Avellaneda–Stoikov model. These approximations or proxies can be used (i) as heuristic evaluation functions, (ii) as initial value functions in reinforcement learning algorithms, and/or (iii) directly to design quoting strategies through a greedy approach. Regarding the latter, our results lead to new and easily interpretable closed-form approximations for the optimal quotes, both in the finite-horizon case and in the asymptotic (ergodic) regime.","PeriodicalId":35818,"journal":{"name":"Applied Mathematical Finance","volume":"42 1","pages":"101 - 142"},"PeriodicalIF":0.0,"publicationDate":"2018-10-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78548810","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: 18
Diffusion Equations: Convergence of the Functional Scheme Derived from the Binomial Tree with Local Volatility for Non Smooth Payoff Functions 扩散方程:非光滑收益函数的局部波动二叉树泛函格式的收敛性
Applied Mathematical Finance Pub Date : 2018-10-04 DOI: 10.1080/1350486X.2018.1513806
Julien Baptiste, E. Lépinette
{"title":"Diffusion Equations: Convergence of the Functional Scheme Derived from the Binomial Tree with Local Volatility for Non Smooth Payoff Functions","authors":"Julien Baptiste, E. Lépinette","doi":"10.1080/1350486X.2018.1513806","DOIUrl":"https://doi.org/10.1080/1350486X.2018.1513806","url":null,"abstract":"ABSTRACT The function solution to the functional scheme derived from the binomial tree financial model with local volatility converges to the solution of a diffusion equation of type as the number of discrete dates . Contrarily to classical numerical methods, in particular finite difference methods, the principle behind the functional scheme is only based on a discretization in time. We establish the uniform convergence in time of the scheme and provide the rate of convergence when the payoff function is not necessarily smooth as in finance. We illustrate the convergence result and compare its performance to the finite difference and finite element methods by numerical examples.","PeriodicalId":35818,"journal":{"name":"Applied Mathematical Finance","volume":"26 1","pages":"511 - 532"},"PeriodicalIF":0.0,"publicationDate":"2018-10-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74736791","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: 1
On Carr and Lee’s Correlation Immunization Strategy 卡尔和李的相关免疫策略
Applied Mathematical Finance Pub Date : 2018-09-26 DOI: 10.1080/1350486X.2019.1598276
Jimin Lin, Matthew J. Lorig
{"title":"On Carr and Lee’s Correlation Immunization Strategy","authors":"Jimin Lin, Matthew J. Lorig","doi":"10.1080/1350486X.2019.1598276","DOIUrl":"https://doi.org/10.1080/1350486X.2019.1598276","url":null,"abstract":"ABSTRACT In their seminal work Robust Replication of Volatility Derivatives, Carr and Lee show how to robustly price and replicate a variety of claims written on the quadratic variation of a risky asset under the assumption that the asset’s volatility process is independent of the Brownian motion that drives the asset’s price. Additionally, they propose a correlation immunization strategy that minimizes the pricing and hedging error that results when the correlation between the risky asset’s price and volatility is non-zero. In this paper, we show that the correlation immunization strategy is the only strategy among the class of strategies discussed in Carr and Lee's paper that results in real-valued hedging portfolios when the correlation between the asset’s price and volatility is non-zero. Additionally, we perform a number of Monte Carlo experiments to test the effectiveness of Carr and Lee’s immunization strategy. Our results indicate that the correlation immunization method is an effective means of reducing pricing and hedging errors that result from a non-zero correlation.","PeriodicalId":35818,"journal":{"name":"Applied Mathematical Finance","volume":"478 1-2 1","pages":"131 - 152"},"PeriodicalIF":0.0,"publicationDate":"2018-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77852629","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: 1
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：481959085
Book学术官方微信