In this paper, we consider a generic interest rate market in the presence of roll-over risk, which generates spreads in spot/forward term rates. We do not require classical absence of arbitrage and rely instead on a minimal market viability assumption, which enables us to work in the context of...

Operational models often balance assignment and capacity decisions under data uncertainty. For example, in operating room scheduling the decision maker must define appropriate limits for personnel overtime while accounting for random surgery durations. Typical approaches to hedge against...

AMMs represent a class of decentralized exchange mechanisms that rely on a fixed mathematical formula to price assets. Popular AMM protocols utilize a constant function approach which is deterministic in design. However, these designs are plagued with issues such as impermanent loss, slippage...

This paper deals with weighted utility, optimism vs. pessimism, and subjective valuation of European and American options. What connects these subjects is stochastic dominance and its behavioral effects. We show that one probability distribution likelihood-ratio dominates another distribution if...

We provide a procedure to identify the number of latent factors of stochastic volatility models. The methodology relies on the non-parametric Fourier estimation method introduced by [Malliavin and Mancino, 2002] and applies to high-frequency data. Based on the Fourier analysis, we first estimate...

We study continuous stochastic games with inhomogeneous mean field interactions on large networks and explore their graphon limits. We consider a model with a continuum of players, where each player's dynamics involve not only mean field interactions but also individual jumps induced by a...

We find the asymptotics of the value function maximizing the expected utility of discounted dividend payments of an insurance company whose reserves are modeled as a classical Cramér risk process, with exponentially distributed claims, when the initial reserves tend to infinity. We focus on the...

Our study investigates the optimal dividend strategy for a bank, taking into account the potential for government capital injections. We explore different types of government interventions, such as liberal, transparent, or uncertain strategies, and consider both single and multiple types of...