The need for the management of risks related to the COVID-19 epidemic in health, economics, finance and insurance became obvious after its outbreak. As a basis for respective quantitative methods, the paper models in a novel manner the dynamics of an epidemic via a four-dimensional stochastic...

Is it possible to achieve almost riskless investment results in the long run through equity investments? The persistence of low interest rates is spurring research on this question, because of the need to increase yields, while limiting variability of investment results. Target date funds aim to...

Recursive marginal quantization (RMQ) allows the construction of optimal discrete grids for approximating solutions to stochastic differential equations in d-dimensions. Product Markovian quantization (PMQ) reduces this problem to d one-dimensional quantization problems by recursively...

A major problem in financial engineering is investing on financial markets for long horizons. At infinite horizons, dynamic versions of the Kelly strategy are mathematically certain to maximize growth, such that these growth-optimal portfolios outperform all other investment strategies. This...