341 Mansfield Road U1009
Department of Mathematics
Storrs, CT 06269-1069
United States
University of Connecticut - Department of Mathematics
Cryptocurrency; Leverage; Liquidation; Perpetual Swap; Extreme Value Theorem
Bitcoin; Inverse Futures; Optimal Investment; Utility Maximization
Bitcoin, Inverse futures, Minimum-variance hedging, High-order risk
Clearing Counterparty (CCP), Clearing Fee, Optimization, Shortfall, Systemic Risk
Long-term growth; Continuous-time Markov chain; Moving average; Optimal investment; Ornstein-Uhlenbeck process; Partial information; Simulation; Utility maximization
Bitcoin, Futures, Hedging efficiency, Risk management
Bitcoin, Downside risk, Futures, Volatility JEL Classification: G32, G11
HJB equation; optimization; Poisson process; sports betting; stochastic control; utility
Stackelberg differential game, Insurance, Ambiguity, Mean-variance premium principle, Random time horizon
Automatic Market Making, Uniswap, Liquidity Strategy, Decentralized Exchanges
Barrier strategy, Free boundary, Hamilton-Jacobi-Bellman equation, Quasi-variational inequalities, Reflected stochastic differential equations
credit risk; collateral default obligation (CDO); Markov chain; jump diffusion; tranche spread
Game theory, Stackelberg differential game, non-cooperative Nash game, Optimal reinsurance, Ambiguity
Barrier strategy, bonus-malus system, exponential utility, moral hazard
Knightian uncertainty, Ambiguity, mean-variance premium principle, Stackelberg differential game, Reinsurance
G14, G15
Co-opetition, Risk sharing, Pareto optimality, Stackelberg reinsurance game, Nash equilibrium
Bond, Pricing, Risk Neutral, Stochastic Interest, Yield
Stackelberg differential game, Insurance, Ambiguity, Expected-value premium principle, Random time horizon
moral hazard, underreporting losses, deductible insurance, bonus-malus system, Nash equilibrium
Optimal insurance, numerical algorithm, convex premium functional
JEL classification: C61, G22 barrier strategies, insurance, loss reporting, mean-variance,
telematics insurance, usage based insurance (UBI), insurance regulations, machine learning, risk score, generalized linear models (GLMs)
Game theory, Stackelberg game, Non-cooperative Nash game, Optimal reinsurance, Relative performance