The recent evolution of prudential regulation establishes a new requirement for banks and supervisors to perform reverse stress test exercises in their risk assessment processes, aimed at detecting default or near-default scenarios. We propose a reverse stress test methodology based on a...

We propose a fully data-driven approach to calibrate local stochastic volatility (LSV) models, circumventing in particular the ad hoc interpolation of the volatility surface. To achieve this, we parametrize the leverage function by a family of feed-forward neural networks and learn their...

The stochastic nature of investment process implies that it should be treated not unambiguously. Instead of concentrating only on possible return, it is worth analysing three parameters when we discuss the future investment results. These parameters are return possibility, reliability of this...

Recent literature reviews of empirical models optimizing long-term investments in agriculture see gaps with regard to (i) separating investment and financing decisions, (ii) considering explicitly risk and temporal flexibility, and (iii) accounting for farm-level resource endowments and other...

Islanded microgrids as flexible, adaptive and sustainable smart cells of distribution power systems should be operated in accordance to both techno-economic purposes. Motivated by this need, the microgrid operators are in charge to elevate the active accommodation of both demand-side and...

In this paper we consider a distribution planning problem in a transshipment network under stochastic customer demand, to account for uncertainty faced in real-life applications when planning distribution activities. To date, considerations of randomness in distribution planning networks with...