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Contingent claims, high peak, heavy tails, interest rate models, rational expectation, overreaction and underreaction
Markov chains, Large order execution, Electricity trading/production, Partitioning, Quadratic stochastic programming
cumulative prospect theory, portfolio selection, hedge funds, managerial incentive, first-loss scheme
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cumulative prospect theory, portfolio selection, hedge funds, managerial incentive, first‐loss scheme
biotechnology and internet stocks, asset pricing, birth-death process, convergence rate, power-type distribution, regression.
financial regulation, capital requirements, risk measure, scenario analysis, robustness, value-at-risk, expected shortfall, tail conditional expectation
comonotonic independence, Choquet integral, elicitability, robustness, model uncertainty, value-at-risk, median shortfall, backtest
portfolio choices, stochastic volatility, time-varying mean returns, risk aversion recovery
Credit ratings, Structured finance, Dodd-Frank, Axiomatic characterization
Regime-Switching Markov Models; Continuous-Time Markov Chains; First Passage Times; Time Integrals; Generalized Phase-Type Distributions; EM Algorithm
Optimal order execution, order routing, dynamic programming
dynamic pricing, business models, dynamic game, Markov perfect equilibrium, structural properties
EM algorithm, stochastic control, recursive model, dynamic programming, monopoly pricing, real business cycle, numerical methods, stochastic approximation
Non-Concave Utility, Portfolio Constraints, Discontinuous Viscosity Solution
income inequality, top incomes, Gini coefficient, weighted expected utility theory
Exhaustible Resources, Exploration, Production Adjustment Costs
prediction markets, public opinion polls, information aggregation
Dual-purpose Funds, Feynman-Kac Representation, Linear Thermoelasticity, Nonlocal Problems, Parabolic PDEs
quantiles, median, portfolio selection, intra-persional equilibrium, portfolio insurance
