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We introduce an algorithm able to reconstruct the relevant network structure on which the time evolution of country-product bipartite networks takes place. The significant links are obtained by selecting the largest values of the projected matrix. We first perform a number of tests of this...
Persistent link: https://www.econbiz.de/10011105029
A new asymptotic expansion scheme for backward SDEs (BSDEs) is proposed.The perturbation parameter is introduced just to scale the forward stochastic variables within a BSDE. In contrast to the standard small-diffusion asymptotic expansion method, the dynamics of variables given by the forward...
Persistent link: https://www.econbiz.de/10011105030
In the article a strenthened version of the 'Fundamental Theorem of asset Pricing' for one-period market model is proven. The principal role in this result play total and nonanihilating cones.
Persistent link: https://www.econbiz.de/10011105031
We present a general framework for measuring the liquidity risk. The theoretical framework defines a class of risk measures that incorporate the liquidity risk into the standard risk measures. We consider a one-period risk measurement model. The liquidity risk is defined as the risk that a given...
Persistent link: https://www.econbiz.de/10011105032
Banks must manage their trading books, not just value them. Pricing includes valuation adjustments collectively known as XVA (at least credit, funding, capital and tax), so management must also include XVA. In trading book management we focus on pricing, hedging, and allocation of prices or...
Persistent link: https://www.econbiz.de/10011105033
We revisit the "epsilon-intelligence" model of Toth et al.(2011), that was proposed as a minimal framework to understand the square-root dependence of the impact of meta-orders on volume in financial markets. The basic idea is that most of the daily liquidity is "latent" and furthermore vanishes...
Persistent link: https://www.econbiz.de/10011105034
In recent work, Boltzmann and Fokker-Planck equations were derived for the "Yard-Sale Model" of asset exchange. For the version of the model without redistribution, it was conjectured, based on numerical evidence, that the time-asymptotic state of the model was oligarchy -- complete...
Persistent link: https://www.econbiz.de/10011105035
We study a common-pool resource game where the resource experiences failure with a probability that grows with the aggregate investment in the resource. To capture decision making under such uncertainty, we model each player's risk preference according to the value function from prospect theory....
Persistent link: https://www.econbiz.de/10011105036
We present a modified version of the non parametric Hawkes kernel estimation procedure studied in arXiv:1401.0903 that is adapted to slowly decreasing kernels. We show on numerical simulations involving a reasonable number of events that this method allows us to estimate faithfully a power-law...
Persistent link: https://www.econbiz.de/10011105037
We propose an affine extension of the Linear Gaussian term structure Model (LGM) such that the instantaneous covariation of the factors is given by an affine process on semidefinite positive matrices. First, we set up the model and present some important properties concerning the Laplace...
Persistent link: https://www.econbiz.de/10011105038