We investigate a portfolio optimization problem for an agent who invests in two assets, a risk-free and a risky asset modeled by a geometric Brownian motion. The investor faces both fixed and proportional transaction costs and liquidity constraints. His objective is to maximize the expected...

The aim of this work is to present a Matlab implementation of different methods for estimating the term structure of interest rate. More precisely, we implement the exponential functional form of Nelson-Siegel and polynomial spline methods (with or without penalty term), considering both coupon...

We investigate asset management in a regime switching framework when the fund manager aims to beat a certain target for the assets under management over an infinite horizon or over a finite horizon. We consider both a full information and a partial information setting. In a full information...

Distributed Ledger Technology (DLT) is in a very early stage of development. Sometimes confused with the blockchain technology underlying bitcoin, it is supposed to be its evolution designed to avoid the architectural choices that make bitcoin and blockchain unsuitable for securities settlement...

In this paper, we present a transform-based algorithm for pricing discretely monitored arithmetic Asian options with remarkable accuracy in a general stochastic volatility framework, including affine models and time-changed Lévy processes. The accuracy is justified both theoretically and...

In this article we present a new class of pricing models that extend the application of Wishart processes to the so-called stochastic local volatility (or hybrid) pricing paradigm. This approach combines the advantages of local and stochastic volatility models. Despite the growing interest on...