In this paper, we carry out a comprehensive comparison of Gaussian generalized autoregressive conditional heteroskedasticity (GARCH) and autoregressive stochastic volatility (ARSV) models for volatility forecasting using the S&P 500 Index. In particular, we investigate their performance using...

In response to the unprecedented uncertain rare events of the last decade, we derive an optimal portfolio choice problem in a semi-closed form by integrating price diffusion ambiguity, volatility diffusion ambiguity, and jump ambiguity occurring in the traditional stock market and the...

In this paper, we focus on pricing and hedging of Guaranteed Minimum Benefits (GMBs) and we extend the existing framework by assuming the underlying asset dynamics evolve under a regime-switching jump-diffusion environment. Two basic GMB contracts, Guaranteed Minimum Maturity Benefit (GMMB) and...

Capital deficit due to capital constraints is a very common issue in supply chains and suppliers (such as farmers) often face yield uncertainty. A coordination problem for a supply chain with capital constraints and yield uncertainty is considered in this paper. In order to improve the supply...

In risk management, estimating Expected Shortfall (ES), though important and indispensable, is difficult when a sample size is small. This paper makes efforts to create a recipe for such challenge. A tail-based normal approximation with explicit formulas is derived by matching a specific...

We consider a portfolio optimization problem of the Black-Litterman type, in which we use the conditional value-at-risk (CVaR) as the risk measure and we use the multi-variate elliptical distributions, instead of the multi-variate normal distribution, to model the financial asset returns. We...

Credit value adjustment (CVA) is an adjustment added to the fair value of an over-the-counter trade due to the counterparty risk. When the exposure to the counterparty changes in the same direction as the counterparty default risk the so-called wrong-way-risk (WWR) must be taken into account....

We consider a green supply chain that consists of a traditional supplier, a green supplier, and a manufacturer and investigate the optimal strategies the suppliers' raw material prices, and the manufacturer's production and green raw material ordering. In particular, we consider three price...