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
Clearing Counterparty (CCP), Clearing Fee, Optimization, Shortfall, Systemic Risk
Bitcoin, Inverse futures, Minimum-variance hedging, High-order risk
Bitcoin, Futures, Hedging efficiency, Risk management
Bitcoin, Downside Risk, Futures, Volatility
Long-term growth; Continuous-time Markov chain; Moving average; Optimal investment; Ornstein-Uhlenbeck process; Partial information; Simulation; Utility maximization
Barrier strategy, Free boundary, Hamilton-Jacobi-Bellman equation, Quasi-variational inequalities, Reflected stochastic differential equations
HJB equation; optimization; Poisson process; sports betting; stochastic control; utility
Stackelberg differential game, Insurance, Ambiguity, Mean-variance premium principle, Random time horizon
Bond, Pricing, Risk Neutral, Stochastic Interest, Yield
credit risk; collateral default obligation (CDO); Markov chain; jump diffusion; tranche spread
Knightian uncertainty, Ambiguity, mean-variance premium principle, Stackelberg differential game, Reinsurance
Stackelberg differential game, Insurance, Ambiguity, Expected-value premium principle, Random time horizon