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Zero covariation returns 零共变回报
IF 1.5 2区 数学
Probability Uncertainty and Quantitative Risk Pub Date : 2018-06-05 DOI: 10.1186/s41546-018-0031-1
Dilip B. Madan, Wim Schoutens
{"title":"Zero covariation returns","authors":"Dilip B. Madan, Wim Schoutens","doi":"10.1186/s41546-018-0031-1","DOIUrl":"https://doi.org/10.1186/s41546-018-0031-1","url":null,"abstract":"Asset returns are modeled by locally bilateral gamma processes with zero covariations. Covariances are then observed to be consequences of randomness in variations. Support vector machine regressions on prices are employed to model the implied randomness. The contributions of support vector machine regressions are evaluated using reductions in the economic cost of exposure to prediction residuals. Both local and global mean reversion and momentum are represented by drift dependence on price levels. Optimal portfolios maximize conservative portfolio values calculated as distorted expectations of portfolio returns observed on simulated path spaces. They are also shown to outperform classical alternatives.","PeriodicalId":42330,"journal":{"name":"Probability Uncertainty and Quantitative Risk","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2018-06-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138517147","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Risk excess measures induced by hemi-metrics 半度量诱发的风险过度度量
IF 1.5 2区 数学
Probability Uncertainty and Quantitative Risk Pub Date : 2018-06-05 DOI: 10.1186/S41546-018-0032-0
O. Faugeras, L. Rüschendorf
{"title":"Risk excess measures induced by hemi-metrics","authors":"O. Faugeras, L. Rüschendorf","doi":"10.1186/S41546-018-0032-0","DOIUrl":"https://doi.org/10.1186/S41546-018-0032-0","url":null,"abstract":"","PeriodicalId":42330,"journal":{"name":"Probability Uncertainty and Quantitative Risk","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2018-06-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76724040","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 7
Path-dependent backward stochastic Volterra integral equations with jumps, differentiability and duality principle 具有跳跃、可微性和对偶原理的路径相关倒向随机Volterra积分方程
IF 1.5 2区 数学
Probability Uncertainty and Quantitative Risk Pub Date : 2018-06-05 DOI: 10.1186/s41546-018-0030-2
Ludger Overbeck, Jasmin A. L. Röder
{"title":"Path-dependent backward stochastic Volterra integral equations with jumps, differentiability and duality principle","authors":"Ludger Overbeck, Jasmin A. L. Röder","doi":"10.1186/s41546-018-0030-2","DOIUrl":"https://doi.org/10.1186/s41546-018-0030-2","url":null,"abstract":"We study the existence and uniqueness of a solution to path-dependent backward stochastic Volterra integral equations (BSVIEs) with jumps, where path-dependence means the dependence of the free term and generator of a path of a càdlàg process. Furthermore, we prove path-differentiability of such a solution and establish the duality principle between a linear path-dependent forward stochastic Volterra integral equation (FSVIE) with jumps and a linear path-dependent BSVIE with jumps. As a result of the duality principle we get a comparison theorem and derive a class of dynamic coherent risk measures based on path-dependent BSVIEs with jumps.","PeriodicalId":42330,"journal":{"name":"Probability Uncertainty and Quantitative Risk","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2018-06-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138517131","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Existence, uniqueness and comparison results for BSDEs with Lévy jumps in an extended monotonic generator setting. 扩展单调发电机设置中具有lsamvy跳变的BSDEs的存在唯一性及比较结果。
IF 1.5 2区 数学
Probability Uncertainty and Quantitative Risk Pub Date : 2018-01-01 Epub Date: 2018-12-28 DOI: 10.1186/s41546-018-0034-y
Christel Geiss, Alexander Steinicke
{"title":"Existence, uniqueness and comparison results for BSDEs with Lévy jumps in an extended monotonic generator setting.","authors":"Christel Geiss,&nbsp;Alexander Steinicke","doi":"10.1186/s41546-018-0034-y","DOIUrl":"https://doi.org/10.1186/s41546-018-0034-y","url":null,"abstract":"<p><p>We show that the comparison results for a backward SDE with jumps established in Royer (Stoch. Process. Appl 116: 1358-1376, 2006) and Yin and Mao (J. Math. Anal. Appl 346: 345-358, 2008) hold under more simplified conditions. Moreover, we prove existence and uniqueness allowing the coefficients in the linear growth- and monotonicity-condition for the generator to be random and time-dependent. In the <i>L</i> <sup>2</sup>-case with linear growth, this also generalizes the results of Kruse and Popier (Stochastics 88: 491-539, 2016). For the proof of the comparison result, we introduce an approximation technique: Given a BSDE driven by Brownian motion and Poisson random measure, we approximate it by BSDEs where the Poisson random measure admits only jumps of size larger than 1/<i>n</i>.</p>","PeriodicalId":42330,"journal":{"name":"Probability Uncertainty and Quantitative Risk","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2018-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1186/s41546-018-0034-y","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"37291681","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 9
Portfolio optimization of credit swap under funding costs 融资成本下信用互换的投资组合优化
IF 1.5 2区 数学
Probability Uncertainty and Quantitative Risk Pub Date : 2017-12-01 DOI: 10.1186/S41546-017-0023-6
Lijun Bo
{"title":"Portfolio optimization of credit swap under funding costs","authors":"Lijun Bo","doi":"10.1186/S41546-017-0023-6","DOIUrl":"https://doi.org/10.1186/S41546-017-0023-6","url":null,"abstract":"","PeriodicalId":42330,"journal":{"name":"Probability Uncertainty and Quantitative Risk","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2017-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"72927698","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Financial asset price bubbles under model uncertainty 模型不确定性下的金融资产价格泡沫
IF 1.5 2区 数学
Probability Uncertainty and Quantitative Risk Pub Date : 2017-12-01 DOI: 10.1186/S41546-017-0026-3
F. Biagini, Jacopo Mancin
{"title":"Financial asset price bubbles under model uncertainty","authors":"F. Biagini, Jacopo Mancin","doi":"10.1186/S41546-017-0026-3","DOIUrl":"https://doi.org/10.1186/S41546-017-0026-3","url":null,"abstract":"","PeriodicalId":42330,"journal":{"name":"Probability Uncertainty and Quantitative Risk","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2017-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82941226","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 7
Measure distorted arrival rate risks and their rewards 衡量扭曲的到达率风险及其回报
IF 1.5 2区 数学
Probability Uncertainty and Quantitative Risk Pub Date : 2017-12-01 DOI: 10.1186/S41546-017-0021-8
D. Madan
{"title":"Measure distorted arrival rate risks and their rewards","authors":"D. Madan","doi":"10.1186/S41546-017-0021-8","DOIUrl":"https://doi.org/10.1186/S41546-017-0021-8","url":null,"abstract":"","PeriodicalId":42330,"journal":{"name":"Probability Uncertainty and Quantitative Risk","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2017-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87187028","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Zero covariation returns 零共变回报
IF 1.5 2区 数学
Probability Uncertainty and Quantitative Risk Pub Date : 2017-11-15 DOI: 10.2139/ssrn.3071735
D. Madan, W. Schoutens
{"title":"Zero covariation returns","authors":"D. Madan, W. Schoutens","doi":"10.2139/ssrn.3071735","DOIUrl":"https://doi.org/10.2139/ssrn.3071735","url":null,"abstract":"Asset returns are modeled by locally bilateral gamma processes with zero covariations. Covariances are then observed to be consequences of randomness in variations. Support vector machine regressions on prices are employed to model the implied randomness. The contributions of support vector machine regressions are evaluated using reductions in the economic cost of exposure to prediction residuals. Both local and global mean reversion and momentum are represented by drift dependence on price levels. Optimal portfolios maximize conservative portfolio values calculated as distorted expectations of portfolio returns observed on simulated path spaces. They are also shown to outperform classical alternatives.","PeriodicalId":42330,"journal":{"name":"Probability Uncertainty and Quantitative Risk","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2017-11-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83800858","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
On the compensator of the default process in an information-based model 基于信息模型的默认过程补偿器研究
IF 1.5 2区 数学
Probability Uncertainty and Quantitative Risk Pub Date : 2017-09-11 DOI: 10.1186/S41546-017-0017-4
M. Bedini, R. Buckdahn, H. Engelbert
{"title":"On the compensator of the default process in an information-based model","authors":"M. Bedini, R. Buckdahn, H. Engelbert","doi":"10.1186/S41546-017-0017-4","DOIUrl":"https://doi.org/10.1186/S41546-017-0017-4","url":null,"abstract":"","PeriodicalId":42330,"journal":{"name":"Probability Uncertainty and Quantitative Risk","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2017-09-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83558936","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Mixed deterministic and random optimal control of linear stochastic systems with quadratic costs 二次代价线性随机系统的混合确定性与随机最优控制
IF 1.5 2区 数学
Probability Uncertainty and Quantitative Risk Pub Date : 2017-08-22 DOI: 10.1186/s41546-018-0035-x
Ying Hu, Shanjian Tang
{"title":"Mixed deterministic and random optimal control of linear stochastic systems with quadratic costs","authors":"Ying Hu, Shanjian Tang","doi":"10.1186/s41546-018-0035-x","DOIUrl":"https://doi.org/10.1186/s41546-018-0035-x","url":null,"abstract":"","PeriodicalId":42330,"journal":{"name":"Probability Uncertainty and Quantitative Risk","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2017-08-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80527387","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 18
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