Stochastic Finance @ Warwick Preprints
Preprints by members of SF@W
- 2021/5 A monotone scheme for nonlinear partial integro-differential equations with the convergence rate of alpha-stable limit theorem under sublinear expectation, Mingshang Hu, Lianzi Jiang, Gechun Liang, arXiv:2107.11076
- 2021/4 Liquidity Provision with Adverse Selection and Inventory Costs, Martin Herdegen, Johannes Muhle-Karbe and Florian Stebegg, arXiv:2107.12094
- 2021/3 Bubbles in discrete time modelsss, Martin Herdegen and Dörte Kreher, arXiv:2104.12740
- 2021/2 The Infinite Horizon Investment-Consumption Problem for Epstein-Zin Stochastic Differential Utility, Martin Herdegen, David Hobson and Joseph Jerome, arXiv:2107.06593
- 2021/1 A construction of the left-curtain coupling, David Hobson, Dominykas Norgilas, arXiv:2102.10549
- 2020/16 Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation, Jorge González Cázares and Aleksandar Mijatović, arXiv:2011.06618
- 2020/15 Joint density of a stable process and its supremum: regularity and upper bounds, Jorge González Cázares, Arturo Kohatsu-Higa and Aleksandar Mijatović, arXiv:2008.01894
- 2020/14 Reflecting random walks in curvilinear wedges,Mikhail V. Menshikov, Aleksandar Mijatović and Andrew R. Wade arXiv:2001.06685
2020/13 Quantitative stability and numerical analysis of Markovian quadratic BSDEs with reflection, Gechun Liang, Dingqian Sun and Shanjian Tang, arXiv:2010.05707.
2020/12 Ergodic singular stochastic control motivated by the optimal sustainable exploitation of an ecosystem, Gechun Liang, Mihail Zervos, arXiv:2008.05576.
2020/11 Risk-sensitive Dynkin games with heterogeneous Poisson random intervention times, Gechun Liang and Haodong Sun, arXiv:2008.01787.
2020/10 A game theoretical approach to homothetic robust forward investment performance processes in stochastic factor models, Juan Li, Wenqiang Li and Gechun Liang, arXiv:2005.10660 .
- 2020/9 Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes, Gechun Liang and Xingchun Wang, arXiv:2001.09443, To appear in Review of Derivatives Research
- 2020/8 A Dual Characterisation of Regulatory Arbitrage for Coherent Risk measures. M. Herdegen and N. Khan,
- 2020/7 An elementary approach to the Merton problem. M. Herdegen, D. Hobson and J. Jerome,
- 2020/6 Equilbrium Asset Pricing with Transaction Costs. M. Herdegen, D. Possamai and J. Muhle-Karbe,
arXiv:1901.10989 To appear in Finance and Stochastics
- 2020/5 Constrained optimal stopping, liquidity and effort. D. Hobson and M.Zeng, arXiv:1901.07270 To appear in Stochastic Processes and Applications
- 2020/4 The shape of the value function under Poisson optimal stopping. D. Hobson, arXiv:2003.03834 To appear in Stochastic Processes and Applications
- 2020/3 Cautious stochastic choice, optimal stopping and deliberate randomization. V.Henderson, D. Hobson and M.Zeng. SSRN Working Paper
- 2020/2 The potential of the shadow measure. M. Beiglboeck, D. Hobson and D. Norgilas. ArXiV:2008.09936
- 2020/1 Pricing and Hedging the No-Negative-Equity Guarantee in Equity-Release Mortgages. K. Engelbrecht and S. Jacka, arXiv:2010.02511
- 2018/16 On finiteness and tails of perpetuities under a Lamperti-Kiu MAP, Larbi Alili & David Woodford, arXiv:1811.10286
- 2018/15 On the semi-group of a scaled skew Bessel process, Larbi Alili, Andrew Aylwin, to appear in Statistics & Probability Letters
- 2018/14 Stability of overshoots of zero mean random walks, Aleksandar Mijatović, Vladislav Vysotsky, arXiv:1812.05909
- 2018/13 A note on the exact simulation of spherical Brownian motion, Aleksandar Mijatović, Veno Mramor, Gerónimo Uribe Bravo, arXiv:1811.12107
- 2018/12 Geometrically Convergent Simulation of the Extrema of Lévy Processes, Jorge González Cázares, Aleksandar Mijatović, Gerónimo Uribe Bravo, arXiv:1810.11039
- 2018/11 Non-asymptotic bounds for sampling algorithms without log-concavity, Mateusz B. Majka, Aleksandar Mijatović, Lukasz Szpruch, arXiv:1808.07105
- 2018/10 Stationarity of entrance Markov chains and overshoots of random walks, Aleksandar Mijatović, Vladislav Vysotsky, arXiv:1808.05010
- 2018/9 Exact Simulation of the Extrema of Stable Processes, Jorge Ignacio González Cázares, Aleksandar Mijatović, Gerónimo Uribe Bravo, arXiv:1806.01870
- 2018/8 Projections of spherical Brownian motion, Aleksandar Mijatović, Veno Mramor, Gerónimo Uribe Bravo, arXiv:1806.00266
- 2018/7 Invariance principle for non-homogeneous random walks, Nicholas Georgiou, Aleksandar Mijatović, Andrew R. Wade, arXiv:1801.07882
- 2018/6 Trading with small nonlinear price impact, T. Cayé, M.Herdegen and J. Muhle-Karbe, SSRN:3067040
- 2018/5 Systems of ergodic BSDE arising in regime switching forward performance processes, Y. Hu, G. Liang and S. Tang, arXiv:1807.01816
- 2018/4 Optimal investment and consumption with forward preferences and uncertain parameters, W. F. Chong and G. Liang, arXiv:1807.01186
- 2018/3 Dynkin games with Poisson random intervention times, G .Liang and H. Sun, arXiv:1803.00329
- 2018/2 An approximation scheme for semilinear parabolic PDEs with convex and coercive Hamiltonians, S. Huang G. Liang and T. Zariphopoulou, arXiv:1801.00583
- 2018/1 The left-curtain martingale coupling in the presence of atoms, D. Hobson and D. Norgilas, arXiv:1802:08337.
- 2017/5 Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs, G. Liang, Z. Yang and C. Zhou, arXiv:1711.02939. To appear in Mathematics and Financial Economics.
- 2017/4 Scaling Limits of Processes with Fast Nonlinear Mean Reversion, T. Cayé, M. Herdegen and J. Muhle-Karbe, arXiv:1710.11202
- 2017/3 Robust bounds for the American Put, D. Hobson and D. Norgilas, arXiv:1711.06466.
- 2017/2 Equilibrium Returns with Transaction Costs, B. Bouchard, M. Fukasaw, M. Herdegen and J. Muhle-Karbe, SSRN:3009183
- 2017/1 Stability of Radner Equilibria with Respect to Small Frictions, M. Herdegen and J. Muhle-Karbe, SSRN:2921220, To appear in Finance and Stochastics.
- 2016/7 A multi-asset investment and consumption problem with transaction costs, D. Hobson, A. S-L. Tse and Y. Zhu, arXiv:1612.01327.
- 2016/6 Optinal consumption and investment with transaction costs, D. Hobson, A.S-L. Tse and Y. Zhu,
- 2016/5 A Market Driver Volatility Model via Policy Improvement Algorithm, J.Maeda and S. D. Jacka,
- 2016/4 Minimal Conditions for Implications of Gronwall-Bellman Type, M. Herdegen and S. Herrmann, arXiv:1605.09298, To appear in Journal of Mathematical Analysis and Applications.
- 2016/3 On the value of being American. D. Hobson and Anthony Neuberger, arXiv:1604.02269, To appear in Finance and Stochastics.
- 2016/2 More on the heging of American options under model uncertainty, D. Hobson and A. Neuberger, arXiv:1604.02274.
- 2016/1 Can Probability Weighting Help Prospect Theory Explain the Disposition Effect? V. Henderson , D. Hobson, and A.S.L. Tse, SSRN:2823449.
- 2015/5 The Value of Being Lucky: Option Backdating and Non-Diversifiable Risk. Henderson V, Sun J. and A.E. Whalley, http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2596548 SSRN Working paper, 20 April,2015.
- 2015/4 Integrability of solutions of the Skorokhod Embedding Problem for diffusions. D. Hobson. https://projecteuclid.org/euclid.ejp/1465067188 Electronic J.Probability 20, #83 1-26, 2015. DOI:10.1214/EJP.v20-4121
- 2015/3 Finite, integrable and bounded time embeddings for diffusions. S. Ankirchner, D. Hobson and P.Strack. Bernoulli. 21(2), May 2015. 1067-1088 http://arxiv.org/abs/1306.3942 arXiv:1306.3942
- 2015/2 Mimicking martingales. D. Hobson. http://arxiv.org/abs/1505.03709 arXiv:1505.03709 To appear in Annals of Applied Probability.
- 2015/1Optimal consumption and sale strategies for a risk averse agent. D. Hobson and Yeqi Zhu. https://arxiv.org/abs/1409.3394 To appear in SIAM J Financial Mathematics
- 2014/7 Henderson V, Hobson D, and A.S.L. Tse, 2014, Randomized Strategies and Prospect Theory in a Dynamic Context, SSRN Working paper, 27 Nov, 2014
- 2014/6 On Trading American Put Options with Interactive Volatility, S. Assing and Y. Zhao. arxiv:1411.6938
- 2014/5 On Managerial Risk-taking Incentives when Compensation may be Hedged Against. J Cvitanic, V Henderson and A Lazrak. Mathematics and Financial Economics, 8 (4), 453-471, 2014.
- 2014/4 A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk. V Henderson and G Liang. SIAM Journal on Control and Optimization, 54(2), 690717, 2016.
- 2014/3 Gambling in contests with random initial law. D. Hobson and H. Feng. arXiv:1405.7801 To appear in Annals of Applied Probability
- 2014/2 Robust price bounds for the forward starting straddle, D. Hobson and M. Klimmek, arXiv:1304.2141, To appear in Finance and Stochastics.
- 2014/1 Gambling in Contests modelled with diffusions. D. Hobson and H. Feng, To appear in Decisions in Economics and Finance
- 2013/4 A new look at short-term implied volatility in asset price models with jumps A Mijatovic (with Peter Tankov), Published in Mathematical Finance http://arxiv.org/abs/1207.0843)
- 2013/3 Monotonicity of the value function for a two-dimensional optimal stopping problem. S Assing, SD Jacka and A Ocejo arxiv.org/pdf/1309.1404 (Published in Annals of Applied Probability)
- 2013/2 Boundary crossing identities for Brownian motion and some nonlinear ode's. L. Alili and P. Patie arXiv:1211.2222
- 2013/1 Gambling in contests with regret. Han Feng and D.Hobson arXiv:1301.0719 To appear in Mathematical Finance
- 2012/3 Risk aversion, indivisible timing options, and gambling. V. Henderson, D.Hobson (Published in Operations Research)
- 2012/2 Fake exponential Brownian motion. D.Hobson arXiv:1210.1391 (Published in Statistics and Probability Letters)
- 2012/1 On inversions and Doob h-transforms of linear diffusions, L. Alili, P. Graczyk, T. Zak. Arxiv:1209-5322
- 2011/6 Implications for Hedging of the choice of driving process for one-factor Markov-functional models, J. E. Kennedy and D. Pham
2011/5 asymptotic implied volatility for affine models, A. Jacquier, M. Keller-Ressel and A. Mijatovic
- 2011/4 On representing claims for coherent risk measures, S.D.Jacka and A.Berkaoui
- 2011/3 Game theoretic analysis of incomplete markets: emergence of probabilities, nonlinear and fractional Black-Scholes equations, V. Kolokoltsov
- 2011/2 A note on essential smoothness in the Heston model (M. Forde, A. Jacquier and A. Mijatovic), to appear in Finance & Stochastics, http://www.mth.kcl.ac.uk/~fordem/HestonEssentialSmoothness.pdf
- 2011/1 Utility theory front to back - inferring utility from agents' choices. A.M.G. Cox, D.Hobson and J. Obloj. arXiv:1101.3572
- 2010/5 Maximising functionals of the joint law of the maximum and terminal value in the Skorokhod embedding problem. D.Hobson and M. Klimmek. arXiv:1012.3909
- 2010/4 A simple proof of Kramkov's result on uniform supermartingale decompositions, S.D.Jacka
- 2010/3 Constructing time-homogeneous generalised diffusions consistent with optimal stopping values. D.Hobson and M.Klimmek arXiv:1005.0160 To appear in Stochastics
- 2010/2 Time homogeneous diffusions with a given marginal at a random time. A.Cox, D.Hobson and J.Obloj. arXiv:0912.1719 To appear in ESAIM: Probability and Statistics. Special issue in honour of Marc Yor. DOI: 10.1051/ps/2010021
- 2010/1 Recovering a time-homogeneous stock price process from perpetual option prices. E.Ekstrom and D. Hobson arXiv:0903.4833 To appear in Annals of Applied Probability
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