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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,
    arxiv: 2009.05498
  • 2020/7 An elementary approach to the Merton problem. M. Herdegen, D. Hobson and J. Jerome,
    arxiv: 2006.05260
  • 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.
  • 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
  • 2013/3 Monotonicity of the value function for a two-dimensional optimal stopping problem. S Assing, SD Jacka and A Ocejo (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
  • 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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