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...

We complete the investigation on the asymptotic behavior of the drift burst test statistic devised in Christensen, Oomen and Ren\`o (2020). They analysed it for an Ito semimartingale containing a Brownian component and finite variation jumps. We also account for infinite variation jumps.We show...

Uncertainty finance presents alternative models for derivative valuation relevant to markets willing to consider subjective information or expert criterium in their operation. This paper proposes a methodology based on experimental data for comparing the prices and the delta and vega risks for...

It is common practice to split time-series into in-sample and pseudo out-of-sample segments and to estimate the out-of-sample loss of a given statistical model by evaluating forecasting performance over the pseudo out-of-sample segment. We propose an alternative estimator of the out-of-sample...

We introduce a software generator for a class of colored (self-correlated) and non-Gaussian noise, whose statistics and spectrum depend on two param- eters, q and τ. Inspired by Tsallis’ nonextensive formulation of statistical physics, the so-called q-distribution is a handy source of...