We test the robustness of the regime switching model for pegged markets introduced in S. Drapeau, T. Wang, T. Wang (2021). In particular, two disputable underlying assumptions: 1) A Black and Scholes model with low volatility for the pre-depegging regime. 2) A thin tail distribution - Poisson...

This paper provides a unified framework, which allows, in particular, to study the structure of dynamic monetary risk measures and dynamic acceptability indices. The main mathematical tool, which we use here, and which allows us to significantly generalize existing results is the theory of...

We consider the class of risk measures associated with optimized certainty equivalents. This class includes several popular examples, such as CV@R and monotone mean-variance. Numerical schemes are developed for the computation of these risk measures using Fourier transform methods. This leads,...

This work provides an axiomatic framework to the concept of conditional preference orders based on conditional sets. Conditional numerical representations of such preference orders are introduced and a conditional version of the theorems of Debreu about the existence of such numerical...

In this paper we derive a numerical representation for general complete preferences respecting the following two principles: a) more is better than less, b) averages are better than extremes. To be able to distinguish between risk and ambiguity we work in an Anscombe-Aumann framework. Our main...

This work provides an axiomatic framework to the concept of conditional preference orders based on conditional sets. Conditional numerical representations of such preference orders are introduced and a conditional version of the theorems of Debreu about the existence of such numerical...

In the paradigm of von Neumann-Morgenstern, a representation of affine preferences in terms of an expected utility can be obtained under the assumption of weak continuity. Since the weak topology is coarse, this requirement is a priori far from being negligible. In this work, we replace the...

In this paper, we study the prices of the options on Hong Kong's linked exchange rate. The study was motivated by the apparent contradiction that options with strike prices outside the narrow trading band have positive prices. We developed a simple regime-switching model of the exchange rate and...

Spoofing is an illegal act of artificially modifying the supply to drive temporarily prices in a given direction for profit. In practice, detection of such an act is challenging due to the complexity of modern electronic platforms and the high frequency at which orders are channeled. We present...