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Recursive utility using the stochastic maximum principle

Aase, Knut K. - In: Quantitative economics : QE ; journal of the … 7 (2016) 3, pp. 859-887

Motivated by the problems of the conventional model in rationalizing market data, we derive the equilibrium interest rate and risk premiums using recursive utility in a continuous-time model. We use the stochastic maximum principle to analyze the model. This method uses forward/backward...

Persistent link: https://www.econbiz.de/10011800871

Weak approximation of G-expectations

Dolinsky, Yan; Nutz, Marcel; Soner, Halil Mete - 2011

We introduce a notion of volatility uncertainty in discrete time and define the corresponding analogue of Pengs G … as a Donsker-type result for the G-Brownian motion. G-expectation, volatility uncertainty, weak limit theorem …

Persistent link: https://www.econbiz.de/10009009518

Intraday power trading : toward an arms race in weather forecasting?

Kuppelwieser, Thomas; Wozabal, David - In: OR spectrum : quantitative approaches in management 45 (2023) 1, pp. 57-83

Persistent link: https://www.econbiz.de/10014226371

Optimizing the Compression Cycle : Algorithms for Multilateral Netting in OTC Derivatives Markets

O'Kane, Dominic - 2014

credit derivatives market, although the five methods considered here can also be used in other OTC derivative markets such as … maintaining the added benefit of netting across all mutual ISDA derivative contracts …

Persistent link: https://www.econbiz.de/10013063807

An Artificial Intelligence Approach to the Valuation of American-style Derivatives : A Use of Particle Swarm Optimization

Chen, Ren-Raw - 2020

. Specifically we use swarm intelligence to find the optimal exercise boundary for an American-style derivative. Swarm intelligence …

Persistent link: https://www.econbiz.de/10012825647

Extensions on Stochastic Dominance Efficiency Tests

Kallio, Markku - 2018

We consider second, third, fourth and fifth order stochastic dominance (SSD, TSD, FOSD and FISD, respectively) as well as decreasing absolute risk aversion (DARA) stochastic dominance (DSD). For comparison with DSD we also consider stochastic dominance (ESD) based on CARA utility functions....

Persistent link: https://www.econbiz.de/10012928166