no code implementations • 13 Sep 2019 • Arash Fahim, Yu-Jui Huang, Saeed Khalili
In a discrete-time financial market, a generalized duality is established for model-free superhedging, given marginal distributions of the underlying asset.
no code implementations • 13 Jan 2016 • Arash Fahim, Lingjiong Zhu
The dual risk model is a popular model in finance and insurance, which is often used to model the wealth process of a venture capital or high tech company.
no code implementations • 16 Oct 2015 • Arash Fahim, Lingjiong Zhu
In this paper, we propose to study the optimal investment strategy on research and development for the dual risk models to minimize the ruin probability of the underlying company.
