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Contingent claims, high peak, heavy tails, interest rate models, rational expectation, overreaction and underreaction
portfolio selection, portfolio management, goal investing, mean-variance, prospect theory
stablecoins, fixed income crypto assets, leveraged return crypto assets, smart contracts
credit ratings, structured finance, Dodd-Frank, axiomatic characterization
portfolio choices, stochastic volatility, time-varying mean returns, risk aversion recovery
Markov chains, Large order execution, Electricity trading/production, Partitioning, Quadratic stochastic programming
Regime-Switching Markov Models; Continuous-Time Markov Chains; First Passage Times; Time Integrals; Generalized Phase-Type Distributions; EM Algorithm
cumulative prospect theory, portfolio selection, hedge funds, managerial incentive, first-loss scheme
Industry Equilibrium, Bitcoin Mining, Climate Damage
Non-Concave Utility, Portfolio Constraints, Discontinuous Viscosity Solution
dynamic pricing, business models, dynamic game, Markov perfect equilibrium, structural properties
Cryptocurrency, bitcoin mining, jump risk, transaction fees, inventory
robo-advising, mean-variance, asset allocation
daily rebalancing, leveraged ETFs, market closure, frictions
financial regulation, capital requirements, risk measure, scenario analysis, robustness, value-at-risk, expected shortfall, tail conditional expectation
prediction markets, public opinion polls, information aggregation
biotechnology and internet stocks, asset pricing, birth-death process, convergence rate, power-type distribution, regression.
comonotonic independence, Choquet integral, elicitability, robustness, model uncertainty, value-at-risk, median shortfall, backtest
quantiles, median, portfolio selection, intra-persional equilibrium, portfolio insurance
Optimal order execution, order routing, dynamic programming
EM algorithm, stochastic control, recursive model, dynamic programming, monopoly pricing, real business cycle, numerical methods, stochastic approximation
Dual-purpose Funds, Feynman-Kac Representation, Linear Thermoelasticity, Nonlocal Problems, Parabolic PDEs
Cryptocurrencies, Jump diffusion models, Bayesian analysis, Asymmetric Laplace distribution
relative errors, importance sampling, geometric $\alpha$-mixing, order statistics, estimation time.
contract design, performance fees, first-loss, liquidation boundary
Exhaustible Resources, Exploration, Production Adjustment Costs
Hidden orders, limit order markets, market liquidity
rare-event simulation, importance sampling, latent Markov processes
