We present a framework for hedging a portfolio of derivatives in the presence of market
frictions such as transaction costs, liquidity constraints or risk limits using modern deep …

Real option models maximize the estimated market value of operational assets, exploiting
the flexibility that decision makers have in managing these assets. Inspired by the valuation …

The theory of Markov decision processes focuses on controlled Markov chains in discrete
time. The authors establish the theory for general state and action spaces and at the same …

A linear backward stochastic differential equation was introduced by Bismut (1973) in an
attempt to solve an optimal stochastic control problem by the maximum principle. The …

Markets are modeled as a counterparty accepting at zero cost a set of cash flows that are
closed under addition, scaling and contain the nonnegative cash flows. Formulas are then …

Weather derivatives provide a tool for weather risk management, and the markets for these
exotic financial products are gradually emerging in size and importance. This unique …

Over the last 10 years or so a mathematical theory of bubbles has emerged, in the spirit of a
martingale theory based on an absence of arbitrage, as opposed to an equilibrium theory …

In this paper, we study the stability and convergence of some general quadratic
semimartingales. Motivated by financial applications, we study simultaneously the …

Automated market makers are algorithmic agents that enable participation and information
elicitation in electronic markets. They have been widely and successfully applied in artificial …

Stochastic optimization models have been extensively applied to financial portfolios and
have proven their effectiveness in asset and asset-liability management. Occasionally …