We maximize the expected utility from terminal wealth for an HARA investor when the market price of risk is an unobservable random variable. We compute the optimal portfolio explicitly and explore the effects of learning by comparing it with the corresponding myopic policy. In particular, we...

Any solvency regime for financial institutions should be aligned with the two fundamental objectives of regulation: protecting liability holders and securing the stability of the financial system. From these objectives we derive two normative requirements for capital adequacy tests, called...

We study the probability mass at the origin in the SABR stochastic volatility model, and derive several tractable expressions for it, in particular when time becomes small or large. In the uncorrelated case, tedious saddlepoint expansions allow for (semi) closed-form asymptotic formulae. As an...

This paper solves a utility maximization problem under utility-based shortfall risk constraint, by proposing an approach using Lagrange multiplier and convex duality. Under mild conditions on the asymptotic elasticity of the utility function and the loss function, we find an optimal wealth...

Particle Metropolis-Hastings enables Bayesian parameter inference in general nonlinear state space models (SSMs). However, in many implementations a random walk proposal is used and this can result in poor mixing if not tuned correctly using tedious pilot runs. Therefore, we consider a new...

We provide an extension of the explicit solution of a mixed optimal stopping-optimal stochastic control problem introduced by Henderson and Hobson. The problem examines wether the optimal investment problem on a local martingale financial market is affected by the optimal liquidation of an...

We unify and extend a number of approaches related to constructing multivariate Variance-Gamma (V.G.) models for option pricing. An overarching model is derived by subordinating multivariate Brownian motion to a subordinator from the Thorin (1977) class of generalised Gamma convolution...

The diffusion of electric vehicles (EVs) is studied in a two-sided market framework consisting of EVs on the one side and EV charging stations (EVCSs) on the other. A sequential game is introduced as a model for the interactions between an EVCS investor and EV consumers. A consumer chooses to...

We show that the jumps correlation matrix of a multivariate Hawkes process is related to the Hawkes kernel matrix through a system of Wiener-Hopf integral equations. A Wiener-Hopf argument allows one to prove that this system (in which the kernel matrix is the unknown) possesses a unique causal...

In this paper, we develop a Markovian model that deals with the volume offered at the best quote of an electronic order book. The volume of the first limit is a stochastic process whose paths are periodically interrupted and reset to a new value, either by a new limit order submitted inside the...