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Analytical valuation of vulnerable derivative claims with bilateral cash flows under credit, funding and wrong-way risk
We characterize the pre-default claim value as the solution to a non-linear Cauchy problem.
Asymptotically Optimal Management of Heterogeneous Collectivised Investment Funds
A collectivised fund is a proposed form of pension investment, in which all investors agree that any funds associated with deceased members should be split among survivors.
Collectivised Pension Investment with Homogeneous Epstein-Zin Preferences
We also compute the optimal strategy for an infinite fund of investors, and prove the convergence of the optimal strategy as $n\to \infty$.
Collectivised Pension Investment with Exponential Kihlstrom--Mirman Preferences
In a collectivised pension fund, investors agree that any money remaining in the fund when they die can be shared among the survivors.
Collectivised Post-Retirement Investment
We quantify the benefit of collectivised investment funds, in which the assets of members who die are shared among the survivors.
Portfolio Optimization for Cointelated Pairs: SDEs vs. Machine Learning
With the recent rise of Machine Learning as a candidate to partially replace classic Financial Mathematics methodologies, we investigate the performances of both in solving the problem of dynamic portfolio optimization in continuous-time, finite-horizon setting for a portfolio of two assets that are intertwined.
