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Optimal investment and pricing in the presence of defaults Early View

  • Journal: Mathematical Finance
  • Authors: Tetsuya Ishikawa, Scott Robertson
  • Published Date: Jul 12, 2019

Abstract We consider the optimal investment problem with random endowment in the presence of defaults. For an investor with constant absolute risk aversion, we identify the certainty equivalent, and...

On the limit theory of the Gaussian SQMLE in the EGARCH(1,1) model Early View

  • Journal: Journal of Time Series Analysis
  • Authors: Stelios Arvanitis, Sofia Anyfantaki
  • Published Date: Jul 11, 2019

We derive the limit theory of the Gaussian stable quasi maximum likelihood estimator for the stationary EGARCH(1,1) model when the squared innovation process has marginals with regularly varying...

Option pricing with orthogonal polynomial expansions Early View

  • Journal: Mathematical Finance
  • Authors: Damien Ackerer, Damir Filipović
  • Published Date: Jul 11, 2019

Abstract We derive analytic series representations for European option prices in polynomial stochastic volatility models. This includes the Jacobi, Heston, Stein–Stein, and Hull–White models, for...

Balancing product differentiation and cost saving in the presence of consumer deliberation Early View

  • Journal: International Transactions in Operational Research
  • Authors: He Xu, Pin Zhou
  • Published Date: Jul 11, 2019

Abstract This paper investigates the manufacturer's optimal product line design under different production strategies when customers with different preference structures (dominating or nondominating)...

Cooperative game‐theoretic features of cost sharing in location‐routing Early View

  • Journal: International Transactions in Operational Research
  • Authors: Ondrej Osicka, Mario Guajardo, Thibault van Oost
  • Published Date: Jul 11, 2019

Abstract While the interest in both collaborative logistics and location‐routing has grown considerably, horizontal cooperation in location‐routing problems remains fairly unattended. This article...

Robust consumption‐investment problem under CRRA and CARA utilities with time‐varying confidence sets Early View

  • Journal: Mathematical Finance
  • Authors: Zongxia Liang, Ming Ma
  • Published Date: Jul 11, 2019

Abstract We consider a robust consumption‐investment problem under constant relative risk aversion and constant absolute risk aversion utilities. The time‐varying confidence sets are specified by Θ, a...

Double continuation regions for American and Swing options with negative discount rate in Lévy models Early View

  • Journal: Mathematical Finance
  • Authors: Marzia De Donno, Zbigniew Palmowski, Joanna Tumilewicz
  • Published Date: Jul 11, 2019

Abstract In this paper, we study perpetual American call and put options in an exponential Lévy model. We consider a negative effective discount rate that arises in a number of financial applications...

Outliers detection using an iterative strategy for semi‐supervised learning Early View

  • Journal: Quality and Reliability Engineering International
  • Authors: Flavia D. Frumosu, Murat Kulahci
  • Published Date: Jul 11, 2019

Abstract As a direct consequence of production systems' digitalization, high‐frequency and high‐dimensional data has become more easily available. In terms of data analysis, latent structures‐based...

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