We develop a general class of multi-curve potential models for post-crisis interest rates. Our model features positive stochastic basis spreads, positive term structures, and analytic pricing formulae for interest rate derivatives. Making a quanto interpretation of LIBOR lending transactions, we...

This article provides a rigorous asymptotic analysis of long-term growth rates under both proportional and Morton-Pliska transaction costs. We consider a general incomplete financial market with an unspanned Markov factor process that includes the Heston stochastic volatility model and the...

Building on an abstract framework for dynamic nonlinear expectations that comprises g-, G- and random G-expectations, we develop a theory of backward nonlinear expectation equations. We provide existence, uniqueness, and stability results and establish convergence of the associated discrete-time...

Optimal product management problems with multiple product generations in continuous time lead to the consideration of dynamic optimal control problems that feature both intervention costs and partially controlled regime shifts. We therefore investigate and solve such stochastic impulse control...

We analyze the optimal portfolio choice in a multi-asset Wishart-model in which return variances and correlations are stochastic and subject to jump risk. The optimal portfolio is characterized by the positions in stock diffusion risk, variance-covariance diffusion risk, and jump risk. We find...

This article proposes implied risk aversion as a rating methodology for retail structured products. Implied risk aversion is based on optimal expected utility risk measures (OEU) as introduced by Geissel et al. (2017) and, in contrast to standard V@R-based ratings, takes into account both the...

We formulate and analyze a mathematical framework for continuous-time mean field games with finitely many states and common noise. The key insight is that we can circumvent the master equation and reduce the mean field equilibrium to a system of forward-backward systems of (random) ordinary...

The purpose of this article is to evaluate optimal expected utility risk measures (OEU) in a risk- constrained portfolio optimization context where the expected portfolio return is maximized. We compare the portfolio optimization with OEU constraint to a portfolio selection model using value at...

We solve the optimal portfolio problem of an investor in a complete market who is liable to deferred taxes due on capital gains, irrespective of their origin. In a Brownian framework we explicitly determine optimal strategies. Our analysis is based on a modification of the standard martingale...

We study optimal portfolio decisions for a retail investor that faces proportional costs which are floored and capped at some minimal and maximal cost levels, respectively, in a classical Black-Scholes market. We provide a construction of optimal trading strategies and characterize the value...