Finance and Stochastics最新文献_第2页

Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies 在市场影响较小和投资组合清算的情况下，利用半鞅策略实现最优交易执行

IF 1.7 2区经济学

Finance and Stochastics Pub Date : 2024-06-14 DOI: 10.1007/s00780-024-00536-2

Ulrich Horst, Evgueni Kivman

引用次数: 0

Duality in optimal consumption–investment problems with alternative data 具有替代数据的最优消费-投资问题中的二元性

IF 1.7 2区经济学

Finance and Stochastics Pub Date : 2024-06-14 DOI: 10.1007/s00780-024-00535-3

Kexin Chen, Hoi Ying Wong

{"title":"Duality in optimal consumption–investment problems with alternative data","authors":"Kexin Chen, Hoi Ying Wong","doi":"10.1007/s00780-024-00535-3","DOIUrl":"https://doi.org/10.1007/s00780-024-00535-3","url":null,"abstract":"This study investigates an optimal consumption–investment problem in which the unobserved stock trend is modulated by a hidden Markov chain that represents different economic regimes. In the classic approach, the hidden state is estimated using historical asset prices, but recent technological advances now enable investors to consider alternative data in their decision-making. These data, such as social media commentary, expert opinions, COVID-19 pandemic data and GPS data, come from sources other than standard market data sources but are useful for predicting stock trends. We develop a novel duality theory for this problem and consider a jump-diffusion process for alternative data series. This theory helps investors identify “useful” alternative data for dynamic decision-making by providing conditions for the filter equation that enable the use of a control approach based on the dynamic programming principle. We apply our theory to provide a unique smooth solution for an agent with constant relative risk aversion once the distributions of the signals generated from alternative data satisfy a bounded likelihood ratio condition. In doing so, we obtain an explicit consumption–investment strategy that takes advantage of different types of alternative data that have not been addressed in the literature.","PeriodicalId":50447,"journal":{"name":"Finance and Stochastics","volume":"24 1","pages":""},"PeriodicalIF":1.7,"publicationDate":"2024-06-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141500699","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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

Deep neural network expressivity for optimal stopping problems 最优停止问题的深度神经网络表现力

IF 1.7 2区经济学

Finance and Stochastics Pub Date : 2024-06-14 DOI: 10.1007/s00780-024-00538-0

Lukas Gonon

引用次数: 0

Speeding up the Euler scheme for killed diffusions 加速被杀扩散的欧拉方案

IF 1.7 2区经济学

Finance and Stochastics Pub Date : 2024-05-29 DOI: 10.1007/s00780-024-00534-4

Umut Çetin, Julien Hok

引用次数: 0

Functional central limit theorems for rough volatility 粗糙波动的函数中心极限定理

IF 1.7 2区经济学

Finance and Stochastics Pub Date : 2024-04-16 DOI: 10.1007/s00780-024-00533-5

Blanka Horvath, Antoine Jacquier, Aitor Muguruza, Andreas Søjmark

{"title":"Functional central limit theorems for rough volatility","authors":"Blanka Horvath, Antoine Jacquier, Aitor Muguruza, Andreas Søjmark","doi":"10.1007/s00780-024-00533-5","DOIUrl":"https://doi.org/10.1007/s00780-024-00533-5","url":null,"abstract":"The non-Markovian nature of rough volatility makes Monte Carlo methods challenging, and it is in fact a major challenge to develop fast and accurate simulation algorithms. We provide an efficient one for stochastic Volterra processes, based on an extension of Donsker’s approximation of Brownian motion to the fractional Brownian case with arbitrary Hurst exponent (H in (0,1)). Some of the most relevant consequences of this ‘rough Donsker (rDonsker) theorem’ are functional weak convergence results in Skorokhod space for discrete approximations of a large class of rough stochastic volatility models. This justifies the validity of simple and easy-to-implement Monte Carlo methods, for which we provide detailed numerical recipes. We test these against the current benchmark hybrid scheme and find remarkable agreement (for a large range of values of (H)). Our rDonsker theorem further provides a weak convergence proof for the hybrid scheme itself and allows constructing binomial trees for rough volatility models, the first available scheme (in the rough volatility context) for early exercise options such as American or Bermudan options.","PeriodicalId":50447,"journal":{"name":"Finance and Stochastics","volume":"38 1","pages":""},"PeriodicalIF":1.7,"publicationDate":"2024-04-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140600643","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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

Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model 最优投资的二次展开与半马丁模型的扰动有关

IF 1.7 2区经济学

Finance and Stochastics Pub Date : 2024-03-27 DOI: 10.1007/s00780-024-00532-6

Oleksii Mostovyi, Mihai Sîrbu

引用次数: 0

Hedging with physical or cash settlement under transient multiplicative price impact 瞬时价格乘数影响下的实物或现金结算套期保值

IF 1.7 2区经济学

Finance and Stochastics Pub Date : 2024-03-15 DOI: 10.1007/s00780-024-00531-7

Dirk Becherer, Todor Bilarev

{"title":"Hedging with physical or cash settlement under transient multiplicative price impact","authors":"Dirk Becherer, Todor Bilarev","doi":"10.1007/s00780-024-00531-7","DOIUrl":"https://doi.org/10.1007/s00780-024-00531-7","url":null,"abstract":"We solve the superhedging problem for European options in an illiquid extension of the Black–Scholes model, in which transactions have transient price impact and the costs and strategies for hedging are affected by physical or cash settlement requirements at maturity. Our analysis is based on a convenient choice of reduced effective coordinates of magnitudes at liquidation for geometric dynamic programming. The price impact is transient over time and multiplicative, ensuring nonnegativity of underlying asset prices while maintaining an arbitrage-free model. The basic (log-)linear example is a Black–Scholes model with a relative price impact proportional to the volume of shares traded, where the transience for impact on log-prices is modelled like in Obizhaeva and Wang (J. Financ. Mark. 16:1–32, 2013) for nominal prices. More generally, we allow nonlinear price impact and resilience functions. The viscosity solutions describing the minimal superhedging price are governed by the transient character of the price impact and by the physical or cash settlement specifications. The pricing equations under illiquidity extend no-arbitrage pricing à la Black–Scholes for complete markets in a non-paradoxical way (cf. Çetin et al. (Finance Stoch. 14:317–341, 2010)) even without additional frictions, and can recover it in base cases.","PeriodicalId":50447,"journal":{"name":"Finance and Stochastics","volume":"2 1","pages":""},"PeriodicalIF":1.7,"publicationDate":"2024-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140154057","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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

Existence of an equilibrium with limited participation 存在有限参与的均衡状态

IF 1.7 2区经济学

Finance and Stochastics Pub Date : 2024-02-28 DOI: 10.1007/s00780-024-00530-8

Kim Weston

引用次数: 0

A framework for measures of risk under uncertainty 不确定情况下的风险度量框架

IF 1.7 2区经济学

Finance and Stochastics Pub Date : 2024-02-07 DOI: 10.1007/s00780-024-00528-2

Tolulope Fadina, Yang Liu, Ruodu Wang

引用次数: 0

Optimal investment in a large population of competitive and heterogeneous agents 对大量具有竞争力的异质代理人进行最优投资

IF 1.7 2区经济学

Finance and Stochastics Pub Date : 2024-02-05 DOI: 10.1007/s00780-023-00527-9

Ludovic Tangpi, Xuchen Zhou

{"title":"Optimal investment in a large population of competitive and heterogeneous agents","authors":"Ludovic Tangpi, Xuchen Zhou","doi":"10.1007/s00780-023-00527-9","DOIUrl":"https://doi.org/10.1007/s00780-023-00527-9","url":null,"abstract":"This paper studies a stochastic utility maximisation game under relative performance concerns in finite- and infinite-agent settings, where a continuum of agents interact through a graphon (see definition below). We consider an incomplete market model in which agents have CARA utilities, and we obtain characterisations of Nash equilibria in both the finite-agent and graphon paradigms. Under modest assumptions on the denseness of the interaction graph among the agents, we establish convergence results for the Nash equilibria and optimal utilities of the finite-player problem to the infinite-player problem. This result is achieved as an application of a general backward propagation of chaos type result for systems of interacting forward–backward stochastic differential equations, where the interaction is heterogeneous and through the control processes, and the generator is of quadratic growth. In addition, characterising the solution of the graphon game gives rise to a novel form of infinite-dimensional forward–backward stochastic differential equation of McKean–Vlasov type, for which we provide well-posedness results. An interesting consequence of our result is the computation of the competition indifference capital, i.e., the capital making an investor indifferent between whether or not to compete.","PeriodicalId":50447,"journal":{"name":"Finance and Stochastics","volume":"17 1","pages":""},"PeriodicalIF":1.7,"publicationDate":"2024-02-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139769832","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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