Mathematics and Financial Economics
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Risk-minimization for life insurance liabilities with basis risk
Mathematics and Financial Economics - Tập 10 - Trang 151-178 - 2015
In this paper we study the hedging of typical life insurance payment processes
in a general setting by means of the well-known risk-minimization approach. We
find the optimal risk-minimizing strategy in a financial market where we allow
for investments in a hedging instrument based on a longevity index, representing
the systematic mortality risk. Thereby we take into account and model the basis
ri...
Accounting for risk aversion in derivatives purchase timing
Mathematics and Financial Economics - Tập 6 - Trang 363-386 - 2012
We study the problem of optimal timing to buy/sell derivatives by a risk-averse
agent in incomplete markets. Adopting the exponential utility indifference
valuation, we investigate this timing flexibility and the associated delayed
purchase premium. This leads to a stochastic control and optimal stopping
problem that combines the observed market price dynamics and the agent’s risk
preferences. Our...
On the market price of risk
Mathematics and Financial Economics - Tập 15 - Trang 675-718 - 2021
An important parameter describing the state of capital markets, investment
opportunity sets, and asset pricing is the unobservable market risk price. The
estimated risk price depends upon the selected asset set, the number of assets,
the investment horizon, and the sample period. We document the large theoretical
and empirical probability of an unacceptably negative sample estimate for the
unbiase...
Event risk, contingent claims and the temporal resolution of uncertainty
Mathematics and Financial Economics - Tập 8 - Trang 29-69 - 2013
We study the pricing and hedging of contingent claims that are subject to Event
Risk which we define as rare and unpredictable events whose occurrence may be
correlated to, but cannot be hedged perfectly with standard marketed
instruments. The super-replication costs of such event sensitive contingent
claims (ESCC), in general, provide little guidance for the pricing of these
claims. Instead, we s...
Note on multidimensional Breeden–Litzenberger representation for state price densities
Mathematics and Financial Economics - Tập 8 Số 2 - Trang 153-157 - 2014
Optimal collective investment: an analysis of individual welfare
Mathematics and Financial Economics - Tập 17 - Trang 101-125 - 2022
We analyze optimal asset allocation in continuous time for a collective of
tied-together investors. We rely on a specific collective utility function which
dates back to Karatzas et al. (Math Oper Res 15(1):80–128, 1990), by which the
fund manager maximizes the weighted average of expected individual utilities for
the investors in the collective. This problem allows for a closed form solution.
The...
The lifetime of a financial bubble
Mathematics and Financial Economics - - 2016
We combine both a mathematical analysis of financial bubbles and a statistical
procedure for determining when a given stock is in a bubble, with an analysis of
a large data set, in order to compute the empirical distribution of the lifetime
of financial bubbles. We find that it follows a generalized gamma distribution,
and we provide estimates for its parameters. We also perform goodness of fit
te...
Liquidation with self-exciting price impact
Mathematics and Financial Economics - Tập 10 - Trang 15-28 - 2015
We study optimal execution with “self-exciting” price impact, where persistent
trades not only incur price impact but also increase the execution costs for
successive orders. This model is motivated by an equilibrium between fundamental
sellers, market makers, and end users. For risk-neutral investors, it leads to
faster initial trading compared to the constant execution rate of Bertsimas and
Lo [...
Consumption and portfolio decisions with uncertain lifetimes
Mathematics and Financial Economics - Tập 14 Số 3 - Trang 507-545 - 2020
Dynamic Cournot-Nash equilibrium: the non-potential case
Mathematics and Financial Economics - Tập 17 - Trang 153-174 - 2022
We consider a large population dynamic game in discrete time where players are
characterized by time-evolving types. It is a natural assumption that the
players’ actions cannot anticipate future values of their types. Such games go
under the name of dynamic Cournot-Nash equilibria, and were first studied by
Acciaio et al. (SIAM J Control Optim 59:2273–2300, 2021), as a time/information
dependent v...
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