This paper examines variance swap pricing using a model that integrates three major features of financial assets, namely the mean reversion in asset price, multi-factor stochastic volatility (SV) and simultaneous jumps in prices and volatility factors. Closed-form solutions are derived for...

This paper studies a multi-period mean-variance (MV) portfolio selection problem in a market of one risk-free asset and one risky asset traded with proportional transaction costs and no-shorting constraint. A particular interest of this study is to investigate the time consistency in efficiency...

This paper explores ways to improve the existing systemic risk measures by incorporating machine learning algorithms into the measurement. We aim to overcome the shortcomings of existing methods that rely on restricted modeling and are difficult to tap into various data resources. To this end,...

We prove the well-posedness results, i.e. existence, uniqueness, and stability, of the solutions to a class of nonlocal fully nonlinear parabolic partial differential equations (PDEs), where there is an external time parameter $t$ on top of the temporal and spatial variables $(s,y)$ and thus the...

Purpose The purpose of this paper is to develop a coiling robot in the production of coated elevator compensation chains to replace the manual coiling operations and improve the quality of compensation chains. Design/methodology/approach This paper introduces both mechanical and servo control...

The Merton problem determines the optimal intertemporal portfolio choice by maximizing the expected utility, and is the basis of modern portfolio theory in continuous-time finance. However, its empirical performance is disappointing. The estimation errors of the expected rates of returns make...