The call auction is a widely used trading mechanism, especially during the opening and closing periods of financial markets. In this paper, we study a standard call auction problem where orders are submitted according to Poisson processes, with random prices distributed according to a general...

In Bender and Dokuchaev (2013), we studied a control problem related to swing option pricing in a general non-Markovian setting. The main result there shows that the value process of this control problem can be uniquely characterized in terms of a first order backward SPDE and a pathwise...

At the heart of technology transitions lie complex processes of social and industrial dynamics. The quantitative study of sustainability transitions requires modelling work, which necessitates a theory of technology substitution. Many, if not most, contemporary modelling approaches for future...

We examine the possibility of incorporating information or views of market movements during the holding period of a portfolio, in the hedging of European options with respect to the underlying. Given a holding period interval that is bounded below, we explore whether it is possible to adjust the...

We establish a stochastic maximum principle (SMP) for control problems of partially observed diffusions of mean-field type with risk-sensitive performance functionals.

We introduce a simple stochastic volatility model, which takes into account hitting times of the asset price, and study the optimal stopping problem corresponding to a put option whose time horizon (after the asset price hits a certain level) is exponentially distributed. We obtain explicit...

In stochastic portfolio theory, a relative arbitrage is an equity portfolio which is guaranteed to outperform a benchmark portfolio over a finite horizon. When the market is diverse and sufficiently volatile, and the benchmark is the market or a buy-and-hold portfolio, functionally generated...

We derive a forward equation for arbitrage-free barrier option prices, in terms of Markovian projections of the stochastic volatility process, in continuous semi-martingale models. This provides a Dupire-type formula for the coefficient derived by Brunick and Shreve for their mimicking diffusion...

This paper studies the properties of discrete time stochastic optimal control problems associated with portfolio selection. We investigate if optimal continuous time strategies can be used effectively for a discrete time market after a straightforward discretization. We found that Merton's...

We introduce and study three classes of over-the-counter markets specified by systems of Ordinary Differential Equations (ODE's), in the spirit of Duffie-G\^{a}rleanu-Pedersen, Over-the-Counter markets, Econometrica, 73 (2005). The key innovation is allowing for multiple assets. We compute the...