:: Library Catalog

Guardado en:

Detalles Bibliográficos
Autores principales:	Hambly, Ben, Kolliopoulos, Nikolaos
Formato:	Preprint
Publicado:	2019
Materias:	Probability Analysis of PDEs Portfolio Management Pricing of Securities Risk Management 60H15, 60H07, 91G80
Acceso en línea:	https://arxiv.org/abs/1906.05898
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

Ejemplares similares

Myopic Optimality: why reinforcement learning portfolio management strategies lose money
por: Ma, Yuming
Publicado: (2025)

Shifting the yield curve for fixed-income and derivatives portfolios
por: Bianchi, Michele Leonardo, et al.
Publicado: (2024)

Black-Scholes-Merton Option Pricing Revisited: Did we Find a Fatal Flaw?
por: Mink, Mark, et al.
Publicado: (2022)

Mean Field Equilibrium Asset Pricing Models With Exponential Utility
por: Sekine, Masashi
Publicado: (2026)

Risk valuation of quanto derivatives on temperature and electricity
por: Alfonsi, Aurélien, et al.
Publicado: (2023)

Representation of forward performance criteria with random endowment via FBSDE and its application to forward optimized certainty equivalent
por: Liang, Gechun, et al.
Publicado: (2023)

Bridging Stochastic Control and Deep Hedging: Structural Priors for No-Transaction Band Networks
por: Arzel, Jules, et al.
Publicado: (2026)

Intertemporal Cost-efficient Consumption
por: Elizalde, Mauricio, et al.
Publicado: (2024)

Event-Driven Market Co-Movement Dynamics in Critical Mineral Equities: An Empirical Framework Using Change Point Detection and Cross-Sectional Analysis
por: Wang, Haibo
Publicado: (2026)

Factors Influencing Cryptocurrency Prices: Evidence from Bitcoin, Ethereum, Dash, Litecoin, and Monero
por: Sovbetov, Yhlas
Publicado: (2025)

G-Doob-Meyer Decomposition and its Application in Bid-Ask Pricing for American Contingent Claim Under Knightian Uncertainty
por: Chen, Wei
Publicado: (2013)

Optimal investment with insider information using Skorokhod & Russo-Vallois integration
por: Elizalde, Mauricio, et al.
Publicado: (2022)

Mild to classical solutions for XVA equations under stochastic volatility
por: Brigo, Damiano, et al.
Publicado: (2021)

Pricing and delta computation in jump-diffusion models with stochastic intensity by Malliavin calculus
por: Ahmadi, Ayub, et al.
Publicado: (2024)

Gatheral double stochastic volatility model with Skorokhod reflection
por: Mishura, Yuliya, et al.
Publicado: (2025)

On the Expected Maximum Deficit and the Optimal Allocation of Reserves
por: Lefevre, Claude, et al.
Publicado: (2026)

A Limit Order Book Model for High Frequency Trading with Rough Volatility
por: Chen-Shue, Yun, et al.
Publicado: (2024)

The insider problem in the trinomial model: a discrete-time jump process approach
por: Halconruy, Hélène
Publicado: (2021)

Variable annuities: A closer look at ratchet guarantees, hybrid contract designs, and taxation
por: Alonso-Garcia, Jennifer, et al.
Publicado: (2025)

Rough Bergomi turns grey
por: Jacquier, Antoine, et al.
Publicado: (2025)

Randomization of Short-Rate Models, Analytic Pricing and Flexibility in Controlling Implied Volatilities
por: Grzelak, Lech A.
Publicado: (2022)

Identifying Risk Variables From Raw ESG Data Using Its Hierarchical Structure
por: Chen, Zhi, et al.
Publicado: (2025)

Valuation of Exotic Options and Counterparty Games Based on Conditional Diffusion
por: Zhao, Helin, et al.
Publicado: (2025)

Stochastic mortality models: An infinite dimensional approach
por: Tappe, Stefan, et al.
Publicado: (2019)

To VaR, or Not to VaR, That is the Question
por: Olkhov, Victor
Publicado: (2021)

Revisiting the Structure of Trend Premia: When Diversification Hides Redundancy
por: Etienne, Alban, et al.
Publicado: (2025)

Rank-Dependent Predictable Forward Performance Processes
por: Angoshtari, Bahman, et al.
Publicado: (2024)

Thiele's PIDE for unit-linked policies in the Heston-Hawkes stochastic volatility model
por: Baños, David R., et al.
Publicado: (2023)

Closed-form solutions for VIX derivatives in a Legendre empirical model
por: Wang, Ying-Li, et al.
Publicado: (2023)

Functional quantization of rough volatility and applications to volatility derivatives
por: Bonesini, Ofelia, et al.
Publicado: (2021)

On the Guyon-Lekeufack Volatility Model
por: Nutz, Marcel, et al.
Publicado: (2023)

Beyond Picking Winners: Correlation-Driven Tail Risk in Venture Capital Portfolio Construction
por: Liang, Yunqi, et al.
Publicado: (2026)

Robust forward investment and consumption under drift and volatility uncertainties: A randomization approach
por: Chong, Wing Fung, et al.
Publicado: (2024)

Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables
por: Hanbali, Hamza, et al.
Publicado: (2025)

On the valuation of life insurance policies for dependent coupled lives
por: Henshaw, Kira, et al.
Publicado: (2024)

ChatGPT in Systematic Investing -- Enhancing Risk-Adjusted Returns with LLMs
por: Anic, Nikolas, et al.
Publicado: (2025)

Music as an Asset Class
por: Stoikov, Sasha, et al.
Publicado: (2026)

Common Risk Factors in Decentralized AI Subnets
por: Maymin, Philip Z.
Publicado: (2026)

Measuring Financial Resilience Using Backward Stochastic Differential Equations
por: Laeven, Roger J. A., et al.
Publicado: (2025)

Geometric BSDEs
por: Laeven, Roger J. A., et al.
Publicado: (2024)

if (filemtime($filename) + $maxlifetime < time()) { unlink($filename); $count++; } } return $count; } /** * A function that is called internally when session data is to be saved. * * @param string $sessId The current session ID * @param string $data The session data to write * * @return bool */ protected function saveSession($sessId, $data): bool { $sessFile = $this->path . '/sess_' . $sessId; if ($handle = fopen($sessFile, 'w')) { $return = false; // Lock the file for exclusive access to avoid issues with multiple // processes writing session simultaneously: if (flock($handle, LOCK_EX)) { $return = fwrite($handle, $data); // Make sure that there's no trailing data by truncating the file to // the correct length: ftruncate($handle, strlen($data)); fflush($handle); flock($handle, LOCK_UN); } fclose($handle); if ($return !== false) { return true; } } // If we got this far, something went wrong with the file output... // It is tempting to throw an exception here, but this code is called // outside of the context of exception handling, so all we can do is // echo a message.

// Anecdotal testing Today and Yesterday seems to indicate destroy() // is called by the garbage collector and everything is good. // Something to keep in mind though. return 0; } /** * Write function that is called when session data is to be saved. * * @param string $sessId The current session ID * @param string $data The session data to write * * @return bool */ public function write($sessId, $data): bool { if ($this->writesDisabled) { return true; } return $this->saveSession($sessId, $data); } /** * A function that is called internally when session data is to be saved. * * @param string $sessId The current session ID * @param string $data The session data to write * * @return bool */ abstract protected function saveSession($sessId, $data): bool; }

* * @return void */ public function writeClose() { // The assumption is that we're using PHP's ext/session. // session_write_close() will actually overwrite $_SESSION with an // empty array on completion -- which leads to a mismatch between what // is in the storage object and $_SESSION. To get around this, we // temporarily reset $_SESSION to an array, and then re-link it to // the storage object. // // Additionally, while you _can_ write to $_SESSION following a // session_write_close() operation, no changes made to it will be // flushed to the session handler. As such, we now mark the storage // object isImmutable. $storage = $this->getStorage(); if (! $storage->isImmutable()) { $_SESSION = $storage->toArray(true); session_write_close(); $storage->fromArray($_SESSION); $storage->markImmutable(); } } /** * Attempt to set the session name * * If the session has already been started, or if the name provided fails * validation, an exception will be raised. * * @param string $name * @return SessionManager * @throws Exception\InvalidArgumentException */ public function setName($name) { if ($this->sessionExists()) { throw new Exception\InvalidArgumentException( 'Cannot set session name after a session has already started'

Environment & details:

GET Data empty

POST Data empty

Files empty

Key	Value
ui	"standard"
language	"es"
VUFIND_SESSION	"fd90f28dc2a14ca468e575c7ca9453fb"

Session

Key	Value
__Laminas	array:2 [`"_REQUEST_ACCESS_TIME" => 1784383836.2354 "_VALID" => array:1 [ "Laminas\Session\Validator\Id" => "fd90f28dc2a14ca468e575c7ca9453fb" ]`]
SessionState	Laminas\Stdlib\ArrayObject {#938}
FlashMessenger	Laminas\Stdlib\ArrayObject {#1583}
SessionHelper	Laminas\Stdlib\ArrayObject {#1772}

Server/Request Data

Key	Value
REDIRECT_VUFIND_LOCAL_DIR	"/usr/local/vufind/local"
REDIRECT_HTTPS	"on"
REDIRECT_SSL_TLS_SNI	"info.umar.mx"
REDIRECT_STATUS	"200"
VUFIND_LOCAL_DIR	"/usr/local/vufind/local"
HTTPS	"on"
SSL_TLS_SNI	"info.umar.mx"
HTTP_ACCEPT	"/"
HTTP_USER_AGENT	"Mozilla/5.0 AppleWebKit/537.36 (KHTML, like Gecko; compatible; ClaudeBot/1.0; +claudebot@anthropic.com)"
HTTP_COOKIE	"ui=standard; language=es; VUFIND_SESSION=fd90f28dc2a14ca468e575c7ca9453fb"
HTTP_ACCEPT_ENCODING	"gzip, br, zstd, deflate"
HTTP_HOST	"info.umar.mx"
PATH	"/usr/local/sbin:/usr/local/bin:/usr/sbin:/usr/bin:/snap/bin"
SERVER_SIGNATURE	"<address>Apache/2.4.66 (Ubuntu) Server at info.umar.mx Port 443</address>\n"
SERVER_SOFTWARE	"Apache/2.4.66 (Ubuntu)"
SERVER_NAME	"info.umar.mx"
SERVER_ADDR	"200.23.222.19"
SERVER_PORT	"443"
REMOTE_ADDR	"216.73.217.30"
DOCUMENT_ROOT	"/usr/local/vufind/public"
REQUEST_SCHEME	"https"
CONTEXT_PREFIX	""
CONTEXT_DOCUMENT_ROOT	"/usr/local/vufind/public"
SERVER_ADMIN	"admin@localhost"
SCRIPT_FILENAME	"/usr/local/vufind/public/index.php"
REMOTE_PORT	"53196"
REDIRECT_URL	""" /Record/\n arxiv_https___arxiv_org_abs_1906_05898/Similar """
GATEWAY_INTERFACE	"CGI/1.1"
SERVER_PROTOCOL	"HTTP/1.1"
REQUEST_METHOD	"GET"
QUERY_STRING	""
REQUEST_URI	"/Record/%0Aarxiv_https___arxiv_org_abs_1906_05898/Similar"
SCRIPT_NAME	"/index.php"
PHP_SELF	"/index.php"
REQUEST_TIME_FLOAT	1784383836.2309
REQUEST_TIME	1784383836

Environment Variables empty

Registered Handlers

0. Whoops\Handler\PrettyPageHandler