A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Study optimal portfolio selection in a complex market with jumps and regime shifts.
problem Optimal portfolio selection in a market with jumps and regime shifts.
method Modeling a market with Lévy processes and regime switching, using various securities to complete the market, solving the portfolio selection problem for power and logarithmic utilities.
result Conditions for asymptotic-arbitrage-free market and solutions for optimal portfolio selection.
Study optimal portfolios in a non-Markovian regime-switching model with random time horizon.
problem Optimal portfolio selection in a market with non-Markovian regime-switching and random time horizon.
method Formulated as a constrained stochastic linear-quadratic optimal control problem, derived closed-form expressions for optimal portfolios and efficient frontier.
result Closed-form expressions for optimal portfolios and efficient frontier derived under non-Markovian regime-switching and random time horizon.
In this paper, we consider a discrete time economy where we assume that the short term interest rate follows a quadratic term structure of a regime switching asset process. The possible non-linear structure and the fact that the interest rate can have different economic or financial trends justify the interest of Regim…
This project attempts to address the problem of asset pricing in a financial market, where the interest rates and volatilities exhibit regime switching. This is an extension of the Black-Scholes model. Studies of Markov-modulated regime switching models have been well-documented. This project extends that notion to a c…
Regime-switching models, in particular Hidden Markov Models (HMMs) where the switching is driven by an unobservable Markov chain, are widely-used in financial applications, due to their tractability and good econometric properties. In this work we consider HMMs in continuous time with both constant and switching volati…
The paper optimizes portfolios using a new GARCH model with regime switching and tempered stable innovations.
problem Mitigating left tail risk in multi-asset portfolios.
method Proposes a Markov regime-switching GARCH model with multivariate normal tempered stable innovation (MRS-MNTS-GARCH) for portfolio optimization.
result Optimal portfolios with tail risk measures outperform standard deviation-based portfolios and equally weighted portfolios in various performance metrics.
Develops new Markov processes with switching rates and past dependence.
problem Modeling processes with dynamic switching rates and path dependence.
method Introduces a new class of Markov jump processes with regime switching and path dependence. Derives distributional properties and maximum likelihood estimates.
result Maximum likelihood estimates of the process parameters are derived in closed form and have asymptotic normality.
In this paper, we consider the problem of pricing discretely-sampled variance swaps based on a hybrid model of stochastic volatility and stochastic interest rate with regime-switching. Our modelling framework extends the Heston stochastic volatility model by including the CIR stochastic interest rate and model paramete…
In this paper analytic formulas for electricity derivatives are calculated. To this end, we assume that electricity spot prices follow a 3-regime Markov regime-switching model with independent spikes and drops and periodic transition matrix. Since the classical derivatives pricing methodology cannot be used in case of …
This paper studies the pricing of European-style Asian options when the price dynamics of the underlying risky asset are assumed to follow a Markov- modulated geometric Brownian motion; that is, the appreciation rate and the volatility of the underlying risky asset depend on unobservable states of the economy described…
This paper studies the optimal VIX futures trading problems under a regime-switching model. We consider the VIX as mean reversion dynamics with dependence on the regime that switches among a finite number of states. For the trading strategies, we analyze the timings and sequences of the investor's market participation,…
This paper investigates the pricing of European-style lookback options when the price dynamics of the underlying risky asset are assumed to follow a Markov-modulated Geo-metric Brownian motion; that is, the appreciation rate and the volatility of the underlying risky asset depend on unobservable states of the economy d…
We consider option pricing in a regime-switching diffusion market. As the market is incomplete, there is no unique price for a derivative. We apply the good-deal pricing bounds idea to obtain ranges for the price of a derivative. As an illustration, we calculate the good-deal pricing bounds for a European call option a…
Develops identifiability theory for multi-lag regime-switching models.
problem Ensuring interpretability of deep latent variable models with multi-lag dependencies.
method Formulates a general theoretical framework for multi-lag Regime-Switching Models (RSMs), proving identifiability of number of regimes and multi-lag transitions.
result Establishes identifiability conditions for multi-lag regime-switching models, including Markov Switching Models and Switching Dynamical Systems.
Optimal dividends strategy in a two-state regime-switching environment.
problem Maximizing profits from dividends until bankruptcy in a company with fluctuating cash surplus and regime changes in drift, volatility, and bankruptcy levels.
method Analyzes the optimal dividend payout strategy considering four factors: Brownian fluctuations in cash surplus, regime changes in drift, volatility, and bankruptcy levels.
result Rich structure of the optimal strategy, which can be either barrier-type or liquidation-barrier type, depending on model parameters.