In this paper, we present a generic framework known as the minimal partial proxy simulation scheme. This framework allows for a stable computation of the Monte-Carlo Greeks for financial products with trigger features via finite difference approximation. The minimal partial proxy simulation...

This paper considers the problem of forecasting under continuous and discrete structural breaks and proposes weighting observations to obtain optimal forecasts in the MSFE sense. We derive optimal weights for continuous and discrete break processes. Under continuous breaks, our approach recovers...

We study the maximum weighted independent-set problem on interval graphs with uncertainty on the vertex weights. We use the absolute robustness criterion and the min-max regret criterion to evaluate solutions. For a discrete scenario set, we fi nd that the problem is NP-hard for each of the...

Sparse model estimation is a topic of high importance in modern data analysis due to the increasing availability of data sets with a large number of variables. Another common problem in applied statistics is the presence of outliers in the data. This paper combines robust regression and sparse...

In this paper we estimate the propagation of liquidity shocks through interbank markets when the information about the underlying credit network is incomplete.We show that techniques such as Maximum Entropy currently used to reconstruct credit networks severely underestimate the risk of...

We determine the optimal investment strategy for an ambiguity averse investor in a setting with stochastic interest rates. The investor is assumed to be ambiguous about the expected rate of return of both bonds and stocks, and may have different levels of ambiguity aversion about the two types...

This essay is the introduction for a collection of papers by the two of us on "Robust Mechanism Design" to be published by World Scientific Publishing. The appendix of this essay lists the chapters of the book.The objective of this introductory essay is to provide the reader with an overview of...

We consider a new robust parametric estimation procedure, which minimizes an empirical version of the Havrda-Charvat-Tsallis entropy. The resulting estimator adapts according to the discrepancy between the data and the assumed model by tuning a single constant q, which controls the trade-off...

Recently, independent of each other, there has been interest in (i) time-variation in higher-order moments; (ii) idiosyncratic skewness and predictability of skewness in the asset pricing context; and (iii) robust measures of skewness and kurtosis. The second literature questions the usefulness...