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Portfolio optimization with insider's initial information and counterparty risk
asymmetric information enlargement of filtrations counterparty risk optimal investment duality dynamic programming.
2012/9/14
We study the gain of an insider having private information which concerns the default risk of a counterparty. More precisely, the default time τ is modelled as the first time a stochastic process hits...
Record statistics and persistence for a random walk with a drift
Record statistics persistence random walk with a drift
2012/9/14
We study the statistics of records of a one-dimensional random walk of nsteps,starting from the origin, and in presence of a constant bias c. At each time-step
the walker makes a random jump of lengt...
Swing options on the gas market are american style option where daily quantities exercices are constrained and global quantities exerciced each year constrained too.The option holder has to decide eac...
Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression
wavelet band spectrum regression corridor implied volatility realized volatility fractional cointegration
2012/9/14
This paper revisits the fractional cointegrating relationship between ex-ante implied volatil-ity and ex-post realized volatility. We argue that the concept of corridor implied volatility (CIV) should...
High-Water Marks and Separation of Private Investments
Hedge Funds Portfolio Choice High-Water Marks Performance Fees.
2012/9/14
A fund manager is paid performance fees with a high-water mark provision, and invests both fund’sassets and private wealth in separate but potentially correlated risky assets, aiming to maximize ex-pe...
Yard-Sale exchange on networks: Wealth sharing and wealth appropriation
Yard-Sale exchange networks Wealth sharing wealth appropriation
2012/9/14
Yard-Sale (YS) is a stochastic multiplicative wealth-exchange model with two phases: a stable one where wealth is shared, and an unstable one where wealth condenses onto one agent. YS is here studied ...
Comparing the performance of FA, DFA and DMA using different synthetic long-range correlated time series
DFA and DMA synthetic long-range time series
2012/9/17
Notwithstanding the signi cant e orts to develop estimators of long-range correlations (LRC) and to compare their performance, no clear consensus exists on what is the best method and under which cond...
Global Stability of Financial Networks Against Contagion: Measure, Evaluation and Implications
financial networks stability financial contagion network models.
2012/9/14
Involvements of major financial institutions in the recent financial crisis have generated renewed interests in fragilities of global financial networks among economists and regulatory authorities. In...
Large liquidity expansion of super-hedging costs
Super-replication liquidity viscosity solutions asymptotic expansions.
2012/9/14
We consider a nancial market with liquidity cost as in C etin, Jarrow and Protter[3] where the supply function S"(s;) depends on a parameter"0 withS0(s;) =s corresponding to the perfect liquid si...
Small time central limit theorems for semimartingales with applications
Small time central limit theorems semimartingale applications
2012/9/17
We give conditions under which the normalized marginal distri-bution of a semimartingale converges to a Gaussian limit law as time tends to zero. In particular, our result is applicable to solutions o...
Modeling and Forecasting Persistent Financial Durations
price durations long memory multifractal models realized volatility Whittle estimation
2012/9/14
This paper introduces the Markov-Switching Multifractal Duration (MSMD) model by adapting the MSM stochastic volatility model of Calvet and Fisher (2004)
to the duration setting. Although the MSMD pr...
A multi-agent nonlinear Markov model of the order book
A multi-agent nonlinear Markov model order book
2012/9/14
We introduce and treat rigorously a new multi-agent model of the limit order book. Our model is designed to explain a behavior of the market when new information a ecting the market arrives. Our model...
Degenerate-elliptic operators in mathematical finance and higher-order regularity for solutions to variational equations
Campanato space degenerate-elliptic di erential operator degenerate di usion process Heston stochastic volatility process Holder regularity mathematical nance Schauder a priori estimate Sobolev regularity variational equation weighted Sobolev space.
2012/9/17
We establish higher-order weighted Sobolev and Holder regularity for solutions to variational equations de ned by the elliptic Heston operator, a linear second-order degenerate-elliptic operator aris...
A Test of the Adaptive Market Hypothesis using Non-Bayesian Time-Varying AR Model in Japan
Adaptive Market Hypothesis Non-Bayesian Time-Varying Autoregressive Model Market Efficiency Long-Run Multipliers Kalman Smoothing
2012/9/14
This paper examines the adaptive market hypothesis of Lo (2004, 2005) using the Ito and Noda’s (2012) non-Bayesian time-varying AR model in Japan. As shown
in Ito and Noda (2012), their degree of mar...
When the full stock of a new product is quickly sold in a few days or weeks, one has the impression that new technologies develop and conquer the market in a very easy way. This may be true for some n...