We extend the branching diffusion Monte Carlo method of Henry-Labordère e.a. [2019] to the case of parabolic PDEs with mixed local-nonlocal analytic nonlinearities. We investigate branching diffusion representations of classical solutions, and we provide sufficient conditions under which the...

We investigate the optimal asset allocation of an investor who can invest in a fixed-term security that is only traded at time 0. Using a generalized martingale approach, we solve the investor's optimal portfolio problem, determine the optimal allocation to fixed-term securities, and provide a...

We develop and showcase a simple no-arbitrage methodology for the prediction of discrete dividend payments, based exclusively on market prices of options via the put-call parity. Our approach integrates all available option market data and simultaneously calibrates the market-implied discount...

We develop a class of rational term structure models in the framework of the potential approach, based upon a family of positive supermartingales that are driven by an affine Markov process. These models generally feature non-negative interest rates and analytic pricing formulae for zero bonds,...

The application of mathematical finance to unit-linked life insurance is unified with the theory of distribution of surplus in life and pensioninsurance. The unification is based on a contractualization of the dis-tribution of surplus...

"What is complicated is not necessarily insightful and what is insightful is not necessarily complicated: Risks welcomes simple manuscripts that contribute with insight, outlook, understanding and overview"-a quote from the first editorial of this journal [1]. Good articles are not characterized...