发布求助
文献互助 智能选刊 最新文献

Mathematical Finance最新文献

筛选
英文 中文
Robust distortion risk measures 稳健的失真风险测量
IF 1.6 3区 经济学
Mathematical Finance Pub Date : 2023-07-29 DOI: 10.1111/mafi.12414
Carole Bernard, Silvana M. Pesenti, Steven Vanduffel
{"title":"Robust distortion risk measures","authors":"Carole Bernard,&nbsp;Silvana M. Pesenti,&nbsp;Steven Vanduffel","doi":"10.1111/mafi.12414","DOIUrl":"10.1111/mafi.12414","url":null,"abstract":"<p>The robustness of risk measures to changes in underlying loss distributions (distributional uncertainty) is of crucial importance in making well-informed decisions. In this paper, we quantify, for the class of distortion risk measures with an absolutely continuous distortion function, its robustness to distributional uncertainty by deriving its largest (smallest) value when the underlying loss distribution has a known mean and variance and, furthermore, lies within a ball—specified through the Wasserstein distance—around a reference distribution. We employ the technique of isotonic projections to provide for these distortion risk measures a complete characterization of sharp bounds on their value, and we obtain quasi-explicit bounds in the case of Value-at-Risk and Range-Value-at-Risk. We extend our results to account for uncertainty in the first two moments and provide applications to portfolio optimization and to model risk assessment.</p>","PeriodicalId":49867,"journal":{"name":"Mathematical Finance","volume":null,"pages":null},"PeriodicalIF":1.6,"publicationDate":"2023-07-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/mafi.12414","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134918717","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Insurance–finance arbitrage Insurance-finance套利
IF 1.6 3区 经济学
Mathematical Finance Pub Date : 2023-07-24 DOI: 10.1111/mafi.12412
Philippe Artzner, Karl-Theodor Eisele, Thorsten Schmidt
{"title":"Insurance–finance arbitrage","authors":"Philippe Artzner,&nbsp;Karl-Theodor Eisele,&nbsp;Thorsten Schmidt","doi":"10.1111/mafi.12412","DOIUrl":"10.1111/mafi.12412","url":null,"abstract":"<p>Most insurance contracts are inherently linked to financial markets, be it via interest rates, or—as hybrid products like equity-linked life insurance and variable annuities—directly to stocks or indices. However, insurance contracts are not for trade except sometimes as surrender to the selling office. This excludes the situation of arbitrage by buying and selling insurance contracts at different prices. Furthermore, the insurer uses private information on top of the publicly available one about financial markets. This paper provides a study of the consistency of insurance contracts in connection with trades in the financial market with explicit mention of the information involved.</p><p>By defining strategies on an insurance portfolio and combining them with financial trading strategies, we arrive at the notion of insurance–finance arbitrage (IFA). In analogy to the classical fundamental theorem of asset pricing, we give a fundamental theorem on the absence of IFA, leading to the existence of an insurance–finance-consistent probability. In addition, we study when this probability gives the expected discounted cash-flows required by the EIOPA best estimate.</p><p>The generality of our approach allows to incorporate many important aspects, like mortality risk or general levels of dependence between mortality and stock markets. Utilizing the theory of enlargements of filtrations, we construct a tractable framework for insurance–finance consistent valuation.</p>","PeriodicalId":49867,"journal":{"name":"Mathematical Finance","volume":null,"pages":null},"PeriodicalIF":1.6,"publicationDate":"2023-07-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/mafi.12412","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47100678","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book 深度订单流失衡：从限额订单簿中提取多个层次的阿尔法
IF 1.6 3区 经济学
Mathematical Finance Pub Date : 2023-07-21 DOI: 10.1111/mafi.12413
Petter N. Kolm, Jeremy Turiel, Nicholas Westray
{"title":"Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book","authors":"Petter N. Kolm,&nbsp;Jeremy Turiel,&nbsp;Nicholas Westray","doi":"10.1111/mafi.12413","DOIUrl":"https://doi.org/10.1111/mafi.12413","url":null,"abstract":"<p>We employ deep learning in forecasting high-frequency returns at multiple horizons for 115 stocks traded on Nasdaq using order book information at the most granular level. While raw order book states can be used as input to the forecasting models, we achieve state-of-the-art predictive accuracy by training simpler “off-the-shelf” artificial neural networks on stationary inputs derived from the order book. Specifically, models trained on order flow significantly outperform most models trained directly on order books. Using cross-sectional regressions, we link the forecasting performance of a long short-term memory network to stock characteristics at the market microstructure level, suggesting that “information-rich” stocks can be predicted more accurately. Finally, we demonstrate that the effective horizon of stock specific forecasts is approximately two average price changes.</p>","PeriodicalId":49867,"journal":{"name":"Mathematical Finance","volume":null,"pages":null},"PeriodicalIF":1.6,"publicationDate":"2023-07-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50139989","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 15
Mean–variance hedging of contingent claims with random maturity 随机到期或有索赔的均值-方差套期
IF 1.6 3区 经济学
Mathematical Finance Pub Date : 2023-07-19 DOI: 10.1111/mafi.12411
Kamil Kladívko, Mihail Zervos
{"title":"Mean–variance hedging of contingent claims with random maturity","authors":"Kamil Kladívko,&nbsp;Mihail Zervos","doi":"10.1111/mafi.12411","DOIUrl":"10.1111/mafi.12411","url":null,"abstract":"<p>We study the mean–variance hedging of an American-type contingent claim that is exercised at a random time in a Markovian setting. This problem is motivated by applications in the areas of employee stock option valuation, credit risk, or equity-linked life insurance policies with an underlying risky asset value guarantee. Our analysis is based on dynamic programming and uses PDE techniques. In particular, we prove that the complete solution to the problem can be expressed in terms of the solution to a system of one quasi-linear parabolic PDE and two linear parabolic PDEs. Using a suitable iterative scheme involving linear parabolic PDEs and Schauder's interior estimates for parabolic PDEs, we show that each of these PDEs has a classical <i>C</i><sup>1, 2</sup> solution. Using these results, we express the claim's mean–variance hedging value that we derive as its expected discounted payoff with respect to an equivalent martingale measure that does not coincide with the minimal martingale measure, which, in the context that we consider, identifies with the minimum entropy martingale measure as well as the variance-optimal martingale measure. Furthermore, we present a numerical study that illustrates aspects of our theoretical results.</p>","PeriodicalId":49867,"journal":{"name":"Mathematical Finance","volume":null,"pages":null},"PeriodicalIF":1.6,"publicationDate":"2023-07-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/mafi.12411","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44211737","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Crypto quanto and inverse options 加密货币和反向期权
IF 1.6 3区 经济学
Mathematical Finance Pub Date : 2023-07-11 DOI: 10.1111/mafi.12410
Carol Alexander, Ding Chen, Arben Imeraj
{"title":"Crypto quanto and inverse options","authors":"Carol Alexander,&nbsp;Ding Chen,&nbsp;Arben Imeraj","doi":"10.1111/mafi.12410","DOIUrl":"10.1111/mafi.12410","url":null,"abstract":"<p>Over 90% of exchange trading on crypto options has always been on the Deribit platform. This centralized crypto exchange only lists inverse products because they do not accept fiat currency. Likewise, other major crypto options platforms only list crypto–stablecoin trading pairs in so-called <i>direct</i> options, which are similar to the standard crypto options listed by the CME except the US dollar is replaced by a stablecoin version. Until now a clear mathematical exposition of these products has been lacking. We discuss the sources of market incompleteness in direct and inverse options and compare their pricing and hedging characteristics. Then we discuss the useful applications of currency protected “quanto” direct and inverse options for fiat-based traders and describe their pricing and hedging characteristics, all in the Black–Scholes setting.</p>","PeriodicalId":49867,"journal":{"name":"Mathematical Finance","volume":null,"pages":null},"PeriodicalIF":1.6,"publicationDate":"2023-07-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/mafi.12410","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45020205","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Closed-loop Nash competition for liquidity 流动性的闭环纳什竞争
IF 1.6 3区 经济学
Mathematical Finance Pub Date : 2023-07-10 DOI: 10.1111/mafi.12409
Alessandro Micheli, Johannes Muhle-Karbe, Eyal Neuman
{"title":"Closed-loop Nash competition for liquidity","authors":"Alessandro Micheli,&nbsp;Johannes Muhle-Karbe,&nbsp;Eyal Neuman","doi":"10.1111/mafi.12409","DOIUrl":"https://doi.org/10.1111/mafi.12409","url":null,"abstract":"<p>We study a multiplayer stochastic differential game, where agents interact through their joint price impact on an asset that they trade to exploit a common trading signal. In this context, we prove that a <i>closed-loop</i> Nash equilibrium exists if the price impact parameter is small enough. Compared to the corresponding open-loop Nash equilibrium, both the agents' optimal trading rates and their performance move towards the central-planner solution, in that excessive trading due to lack of coordination is reduced. However, the size of this effect is modest for plausible parameter values.</p>","PeriodicalId":49867,"journal":{"name":"Mathematical Finance","volume":null,"pages":null},"PeriodicalIF":1.6,"publicationDate":"2023-07-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/mafi.12409","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50127287","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 7
Predictable forward performance processes: Infrequent evaluation and applications to human-machine interactions 可预测的正向性能过程：人机交互的罕见评估和应用
IF 1.6 3区 经济学
Mathematical Finance Pub Date : 2023-07-02 DOI: 10.1111/mafi.12408
Gechun Liang, Moris S. Strub, Yuwei Wang
{"title":"Predictable forward performance processes: Infrequent evaluation and applications to human-machine interactions","authors":"Gechun Liang,&nbsp;Moris S. Strub,&nbsp;Yuwei Wang","doi":"10.1111/mafi.12408","DOIUrl":"10.1111/mafi.12408","url":null,"abstract":"<p>We study discrete-time predictable forward processes when trading times do not coincide with performance evaluation times in a binomial tree model for the financial market. The key step in the construction of these processes is to solve a linear functional equation of higher order associated with the inverse problem driving the evolution of the predictable forward process. We provide sufficient conditions for the existence and uniqueness and an explicit construction of the predictable forward process under these conditions. Furthermore, we find that these processes are inherently myopic in the sense that optimal strategies do not make use of future model parameters even if these are known. Finally, we argue that predictable forward preferences are a viable framework to model human-machine interactions occurring in automated trading or robo-advising. For both applications, we determine an optimal interaction schedule of a human agent interacting infrequently with a machine that is in charge of trading.</p>","PeriodicalId":49867,"journal":{"name":"Mathematical Finance","volume":null,"pages":null},"PeriodicalIF":1.6,"publicationDate":"2023-07-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/mafi.12408","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41686764","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Clustering heterogeneous financial networks 异构金融网络聚类
IF 1.6 3区 经济学
Mathematical Finance Pub Date : 2023-06-20 DOI: 10.1111/mafi.12407
Hamed Amini, Yudong Chen, Andreea Minca, Xin Qian
{"title":"Clustering heterogeneous financial networks","authors":"Hamed Amini,&nbsp;Yudong Chen,&nbsp;Andreea Minca,&nbsp;Xin Qian","doi":"10.1111/mafi.12407","DOIUrl":"10.1111/mafi.12407","url":null,"abstract":"<p>We develop a convex-optimization clustering algorithm for heterogeneous financial networks, in the presence of arbitrary or even adversarial outliers. In the stochastic block model with heterogeneity parameters, we penalize nodes whose degree exhibit unusual behavior beyond inlier heterogeneity. We prove that under mild conditions, this method achieves exact recovery of the underlying clusters. In absence of any assumption on outliers, they are shown not to hinder the clustering of the inliers. We test the performance of the algorithm on semi-synthetic heterogenous networks reconstructed to match aggregate data on the Korean financial sector. Our method allows for recovery of sub-sectors with significantly lower error rates compared to existing algorithms. For overlapping portfolio networks, we uncover a clustering structure supporting diversification effects in investment management.</p>","PeriodicalId":49867,"journal":{"name":"Mathematical Finance","volume":null,"pages":null},"PeriodicalIF":1.6,"publicationDate":"2023-06-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135187746","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Discrete-time risk sensitive portfolio optimization with proportional transaction costs 具有比例交易成本的离散时间风险敏感投资组合优化
IF 1.6 3区 经济学
Mathematical Finance Pub Date : 2023-06-06 DOI: 10.1111/mafi.12406
Marcin Pitera, Łukasz Stettner
{"title":"Discrete-time risk sensitive portfolio optimization with proportional transaction costs","authors":"Marcin Pitera,&nbsp;Łukasz Stettner","doi":"10.1111/mafi.12406","DOIUrl":"10.1111/mafi.12406","url":null,"abstract":"<p>In this paper we consider a discrete-time risk sensitive portfolio optimization over a long time horizon with proportional transaction costs. We show that within the log-return i.i.d. framework the solution to a suitable Bellman equation exists under minimal assumptions and can be used to characterize the optimal strategies for both risk-averse and risk-seeking cases. Moreover, using numerical examples, we show how a Bellman equation analysis can be used to construct or refine optimal trading strategies in the presence of transaction costs.</p>","PeriodicalId":49867,"journal":{"name":"Mathematical Finance","volume":null,"pages":null},"PeriodicalIF":1.6,"publicationDate":"2023-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49569892","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Learning equilibrium mean-variance strategy 学习均衡均值方差策略
IF 1.6 3区 经济学
Mathematical Finance Pub Date : 2023-06-04 DOI: 10.1111/mafi.12402
Min Dai, Yuchao Dong, Yanwei Jia
{"title":"Learning equilibrium mean-variance strategy","authors":"Min Dai,&nbsp;Yuchao Dong,&nbsp;Yanwei Jia","doi":"10.1111/mafi.12402","DOIUrl":"https://doi.org/10.1111/mafi.12402","url":null,"abstract":"<p>We study a dynamic mean-variance portfolio optimization problem under the reinforcement learning framework, where an entropy regularizer is introduced to induce exploration. Due to the time–inconsistency involved in a mean-variance criterion, we aim to learn an equilibrium policy. Under an incomplete market setting, we obtain a semi-analytical, exploratory, equilibrium mean-variance policy that turns out to follow a Gaussian distribution. We then focus on a Gaussian mean return model and propose a reinforcement learning algorithm to find the equilibrium policy. Thanks to a thoroughly designed policy iteration procedure in our algorithm, we prove the convergence of our algorithm under mild conditions, despite that dynamic programming principle and the usual policy improvement theorem failing to hold for an equilibrium policy. Numerical experiments are given to demonstrate our algorithm. The design and implementation of our reinforcement learning algorithm apply to a general market setup.</p>","PeriodicalId":49867,"journal":{"name":"Mathematical Finance","volume":null,"pages":null},"PeriodicalIF":1.6,"publicationDate":"2023-06-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50120656","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 7
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