We consider a risk-aware multi-armed bandit framework with the goal of avoiding catastrophic risk. Such a framework has multiple applications in financial risk management. We introduce a new conditional value-at-risk (CVaR) estimation procedure combining extreme value theory with automated...

Much of the classical work on algorithms for multi-armed bandits focuses on rewards that are stationary over time. By contrast, we study multi-armed bandit (MAB) games, where the rewards obtained by an agent also depend on how many other agents choose the same arm (as might be the case in many...

The problem of distributed election majority-winner monitoring for checkpoint-based protocols has been of interest for some time now, and the approach that most of the major algorithms take on this is to employ a center-based pull from all voting sites in conjunction with a count tracker, to...

Insurers issuing segregated fund policies apply dynamic hedging to mitigate risks related to guarantees embedded in such policies. A typical industry practice consists of using fund mapping regressions to represent basis risk stemming from the imperfect correlation between the underlying fund...

Unlike delta-hedging or similar methods based on Greeks, global hedging is an approach that optimizes some terminal criterion that depends on the difference between the value of a derivative security and that of its hedging portfolio at maturity or exercise. Global hedging methods in discrete...

An empirical comparison of prices for two categories of financial derivatives of the NYISO power market, namely Transmission Congestion Contracts (TCCs) and futures contracts, is performed. The objective is to assess whether these two categories of derivatives are priced consistently, as their...

Statistical learning models are proposed for the prediction of the probability of a spike in the electricity DART (day-ahead minus real-time price) spread. Assessing the likelihood of DART spikes is of paramount importance for virtual bidders, among others. The model's performance is evaluated...