I extend traditional projection methods by using neural networks as a function approximator to solve continuous-time models. The method is well-suited for high-dimensional settings such as those that arise in the presence of many assets, and can capture the strong non-linearities that occur for...

We introduce and study the following default cascade process in stochastic financial networks. We consider a finite set of agents, holding claims on each other, who meet and interact pairwise with their counterparties at random times (agents i and j meet at times of a Poisson process) and, upon...

In this paper we propose a stochastic volatility model for crude oil markets that has the particularity to feature a regime-switching price of variance-risk. While preserving tractability, this model allows us to capture the episodes of negative and positive variance risk premium. A two-state...

Contrary to the claims made by several authors, a financial market model in which the price of a risky security follows a reflected geometric Brownian motion is not arbitrage-free. In fact, such a model is unsuitable for contingent claim valuation because it violates even the weakest...

I derive projections of the stochastic discount factor (SDF) in the continuous-time stochastic volatility model by solving a system of partial differential equations. SDF projections are mixtures of exponentially affine functions. Numerical results show that if an SDF projection is U-shaped or...

AdaBoost tweaks the sample weight for each training set used in the iterative process, however, it is demonstrated that it provides more correlated errors as the boosting iteration proceeds if models’ accuracy is high enough. Therefore, in this study, we propose a novel way to improve the...

This paper investigates the operations of a novel service mode, mobile charging, whereby a for-profit platform operator arranges vehicles equipped with charging piles to deliver charging to customers' electric vehicles in low-battery levels. We model the platform-customer interaction with a...

This paper presents the existence and uniqueness results (in the sense of maximally defined regularity) as well as the stability analysis for the solutions to a class of nonlocal fully-nonlinear parabolic systems, where the nonlocality stems from the flow feature (controlled by an external...

Tempered Fractional Lévy Processes incorporating lookback times in forming asset price drifts along with rates of mean reversion to these drifts are employed in studying option markets. The processes have already been observed to deliver perpetually high levels of excess kurtosis in fast...

We show that the stochastic dominance (SD) approach to the valuation of index options in frictionless markets allows the derivation of a unique variance risk premium and price of volatility risk based only on the underlying return and volatility dynamics for a wide class of stochastic volatility...