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Probability Uncertainty and Quantitative Risk最新文献

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Zero covariation returns 零共变回报
IF 1.5 2区 数学 Q3 STATISTICS & PROBABILITY
Probability Uncertainty and Quantitative Risk
Pub Date : 2018-06-05 DOI: 10.1186/s41546-018-0031-1
Dilip B. Madan, Wim Schoutens
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.
资产收益由局部双边零协变伽马过程建模。协方差被认为是变异随机性的结果。支持向量机回归的价格被用来模拟隐含的随机性。支持向量机回归的贡献是通过减少暴露于预测残差的经济成本来评估的。本地和全球均值回归和动量都是由对价格水平的漂移依赖来表示的。最优投资组合将保守投资组合价值最大化，其计算方法是在模拟路径空间上观察到的扭曲的投资组合收益预期。它们的表现也优于传统的另类投资。
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引用次数: 0
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 Q3 STATISTICS & PROBABILITY
Probability Uncertainty and Quantitative Risk
Pub Date : 2018-06-05 DOI: 10.1186/s41546-018-0030-2
Ludger Overbeck, Jasmin A. L. Röder
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.
研究了具有跳变的路径相关倒向随机Volterra积分方程(BSVIEs)解的存在唯一性，其中路径相关是指càdlàg过程的路径自由项与生成项的相关性。进一步证明了该解的路径可微性，并建立了具有跳跃的线性路径相关正随机Volterra积分方程(FSVIE)与具有跳跃的线性路径相关BSVIE之间的对偶原理。利用对偶原理，得到了一个比较定理，并导出了一类基于具有跳跃的路径相关bsvie的动态相干风险测度。
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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 Q3 STATISTICS & PROBABILITY
Probability Uncertainty and Quantitative Risk
Pub Date : 2018-06-05 DOI: 10.1186/S41546-018-0032-0
O. Faugeras, L. Rüschendorf
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引用次数: 7
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 Q3 STATISTICS & PROBABILITY
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

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 L 2-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/n.

我们展示了在Royer (Stoch)中建立跳跃的后向SDE的比较结果。的过程。中国科学:地球科学，2006)。分析的苹果346:345-358,2008)持有更简化的条件。此外，我们还证明了允许发生器线性增长和单调条件下的系数随机且随时间变化的存在唯一性。在线性增长的l2情况下，这也概括了Kruse和Popier的结果(《随机统计学》88:491-539,2016)。为了证明比较结果，我们引入了一种近似技术:给定一个由布朗运动和泊松随机测度驱动的BSDE，我们用泊松随机测度只允许大于1/n的跳变的BSDE来近似它。
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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 Q3 STATISTICS & PROBABILITY
Probability Uncertainty and Quantitative Risk
Pub Date : 2017-12-01 DOI: 10.1186/S41546-017-0023-6
Lijun Bo
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引用次数: 3
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 Q3 STATISTICS & PROBABILITY
Probability Uncertainty and Quantitative Risk
Pub Date : 2017-12-01 DOI: 10.1186/S41546-017-0021-8
D. Madan
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引用次数: 1
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 Q3 STATISTICS & PROBABILITY
Probability Uncertainty and Quantitative Risk
Pub Date : 2017-12-01 DOI: 10.1186/S41546-017-0026-3
F. Biagini, Jacopo Mancin
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引用次数: 7
Zero covariation returns 零共变回报
IF 1.5 2区 数学 Q3 STATISTICS & PROBABILITY
Probability Uncertainty and Quantitative Risk
Pub Date : 2017-11-15 DOI: 10.2139/ssrn.3071735
D. Madan, W. Schoutens
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.
资产收益由局部双边零协变伽马过程建模。协方差被认为是变异随机性的结果。支持向量机回归的价格被用来模拟隐含的随机性。支持向量机回归的贡献是通过减少暴露于预测残差的经济成本来评估的。本地和全球均值回归和动量都是由对价格水平的漂移依赖来表示的。最优投资组合将保守投资组合价值最大化，其计算方法是在模拟路径空间上观察到的扭曲的投资组合收益预期。它们的表现也优于传统的另类投资。
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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 Q3 STATISTICS & PROBABILITY
Probability Uncertainty and Quantitative Risk
Pub Date : 2017-09-11 DOI: 10.1186/S41546-017-0017-4
M. Bedini, R. Buckdahn, H. Engelbert
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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 Q3 STATISTICS & PROBABILITY
Probability Uncertainty and Quantitative Risk
Pub Date : 2017-08-22 DOI: 10.1186/s41546-018-0035-x
Ying Hu, Shanjian Tang
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引用次数: 18
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