Stochastic Finance @ Warwick Preprints

2024

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2023 2022

2022/3 When is Recursive Utility Well-Founded? Martin Herdegen, David Hobson and Joseph Jerome SSRN 4217738
2022/2 Vague and weak convergence for signed measures, Martin Herdegen, Gechun Liang and Osian Shelley.arXiv 2205.13207
2022/1 A continuity theorem for generalised signed measures with an application to Karamata's Tauberian theorem, Martin Herdegen, Gechun Liang and Osian Shelley.ArXiv 2205.13075

2021

2021/8 Proper solutions for Epstein-Zin Stochastic Differential Utility, Martin Herdegen, David Hobson and Joseph JeromeArXiv 2112.06708
2021/7 Callable convertible bonds under liquidity constraints. David Hobson, Gechun Liang and Haodong Sun.ArXiV:2111.02554
2021/6 Sensitivity to large losses and ρ-arbitrage for convex risk measures, Martin Herdegen and Nazem Khan SSRN 3925492
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

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. WadearXiv:2001.06685
2020/13 Quantitative stability and numerical analysis of Markovian quadratic BSDEs with reflection, Gechun Liang, Dingqian Sun andShanjian Tang,arXiv:2010.05707Link opens in a new window.
2020/12 Ergodic singular stochastic control motivated by the optimal sustainable exploitation of an ecosystem, Gechun Liang,Mihail Zervos,arXiv:2008.05576Link opens in a new window.
2020/11 Risk-sensitive Dynkin games with heterogeneous Poisson random intervention times, Gechun Liang andHaodong Sun,arXiv:2008.01787Link opens in a new window.
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:2005.10660Link opens in a new window.
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 inReview of Derivatives Research

2020/8 A Dual Characterisation of Regulatory Arbitrage for Coherent Risk measures. M. Herdegen and N. Khan,
arxiv: 2009.05498Link opens in a new window
2020/7 An elementary approach to the Merton problem. M. Herdegen, D. Hobson and J. Jerome,
arxiv: 2006.05260Link opens in a new window
2020/6 Equilbrium Asset Pricing with Transaction Costs. M. Herdegen, D. Possamai and J. Muhle-Karbe,
arXiv:1901.10989Link opens in a new windowTo appear in Finance and Stochastics
2020/5 Constrained optimal stopping, liquidity and effort. D. Hobson and M.Zeng,arXiv:1901.07270To appear in Stochastic Processes and Applications
2020/4 The shape of the value function under Poisson optimal stopping. D. Hobson,arXiv:2003.03834To 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

2019 2018`

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 inStatistics & 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

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:1710.11202Link opens in a new window
2017/3 Robust bounds for the American Put, D. Hobson and D. Norgilas,arXiv:1711.06466Link opens in a new window.
2017/2 Equilibrium Returns with Transaction Costs, B. Bouchard, M. Fukasaw, M. Herdegen and J. Muhle-Karbe,SSRN:3009183Link opens in a new window
2017/1 Stability of Radner Equilibria with Respect to Small Frictions, M. Herdegen and J. Muhle-Karbe,SSRN:2921220Link opens in a new window, To appear in Finance and Stochastics.

2016 2015

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=2596548SSRN Working paper, 20 April,2015.
2015/4 Integrability of solutions of the Skorokhod Embedding Problem for diffusions. D. Hobson.https://projecteuclid.org/euclid.ejp/1465067188Electronic 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. 1067-1088http://arxiv.org/abs/1306.3942arXiv:1306.3942
2015/2 Mimicking martingales. D. Hobson.http://arxiv.org/abs/1505.03709 arXiv:1505.03709To 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/1409.3394To appear in SIAM J Financial Mathematics

2014

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
2014/5On 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.
2014/4A 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:1405.7801To 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.
2014/1Gambling in Contests modelled with diffusions. D. Hobson and H. Feng, To appear in Decisions in Economics and Finance

2013

2013/4 A new look at short-term implied volatility in asset price models with jumps A Mijatovic (with Peter Tankov), Published in Mathematical Financehttp://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 Ocejoarxiv.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. PatiearXiv:1211.2222
2013/1 Gambling in contests with regret. Han Feng and D.HobsonarXiv:1301.0719To appear in Mathematical Finance

2012

2012/3Risk aversion, indivisible timing options, and gambling. V. Henderson, D.Hobson (Published in Operations Research)
2012/2 Fake exponential Brownian motion. D.HobsonarXiv: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

2011/6Implications for Hedging of the choice of driving process for one-factor Markov-functional models, J. E. Kennedy and D. Pham
2011/5asymptotic implied volatility for affine models,A. Jacquier, M. Keller-Ressel and A. Mijatovic
2011/4On representing claims for coherent risk measures, S.D.Jacka and A.Berkaoui
2011/3Game 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

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
2010/4A 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.KlimmekarXiv:1005.0160To appear inStochastics
2010/2 Time homogeneous diffusions with a given marginal at a random time. A.Cox, D.Hobson and J.Obloj.arXiv:0912.1719To appear inESAIM: 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. HobsonarXiv:0903.4833To appear inAnnals of Applied Probability

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