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Market making, algorithmic trading, options, volatility arbitrage, Hamilton–Jacobi–Bellman equation
Liquidation, bailout, bail-in, asset sale, agency
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agency, asset sale, bail-in, bailout, Liquidation
Prospect theory, behavioral finance, disposition effect, investor trading behavior, probability weighting.
Behavioral economics, prospect theory, probability weighting, randomized strategies
Portfolio selection, S-shaped utility, periodic evaluation, agency, incentive
Dividends, share buybacks, equilibrium
FX Open Forward, American derivative, optimal stopping, free-boundary problem JEL classification: D81, F31, G12
Portfolio selection, contests, relative performance, Nash equilibrium, constant-sum game, martingale duality, reward design. JEL Classification: C72, C73, D81, G11
Market Making, Market Impact, Trading Frictions, Option, Algorithmic Trading, HJB Equation, Approximation
Merton problem, lifetime investment and consumption, transaction costs, Epstein-Zin stochastic differential utility
Dynamic correlation, Extreme dependence, Multivariate GARCH Model, Risk management, Tail dependence coefficient
S-shaped utility, optimal stopping, transaction costs, entry-and-exit strategies
Market-Making, Hawkes Process, Algorithmic Trading, Kernel Decomposition, HJB Equation, Deep Learning, Physics-Informed Neural Network
