Results 231 to 240 of about 173,975,381 (346)

Relative Arbitrage Opportunities With Interactions Among N Investors

Mathematical Finance, EarlyView.
ABSTRACT The relative arbitrage portfolio outperforms a benchmark portfolio over a given time‐horizon with probability one. With market price of risk processes depending on the market portfolio and investors, this paper analyzes the multi‐agent optimization of relative arbitrage opportunities in the coupled system of market and wealth dynamics.
Tomoyuki Ichiba, Nicole Tianjiao Yang
wiley   +1 more source

Novel Phosphodiesterase‑2 Inhibitors Discovered via Structure-Based Virtual Screening Targeting the Allosteric GAF‑B Domain. [PDF]

ACS Med Chem Lett
Adeniran C, Myratgeldiyev G, Zheng F, Zhan CG.   +3 more
europepmc   +1 more source

Error Analysis of the Dynamically Orthogonal Approximation of Time Dependent Random PDEs

SIAM Journal on Scientific Computing, 2015
Eleonora Musharbash, F. Nobile, Tao Zhou
semanticscholar   +1 more source

Market Making With Fads, Informed, and Uninformed Traders

Mathematical Finance, EarlyView.
ABSTRACT We characterize the solution to a continuous‐time optimal liquidity provision problem in a market populated by informed and uninformed traders. In our model, the asset price exhibits fads —these are short‐term deviations from the fundamental value of the asset.
Emilio Barucci, Adrien Mathieu, Leandro Sánchez‐Betancourt   +2 more
wiley   +1 more source

Characterisation of Bespoke Patient-Derived In Vitro Models of Ewing Sarcoma. [PDF]

Cancers (Basel)
Roundhill EA, Vasconcelos EJR, Davies J, Burchill SA.   +3 more
europepmc   +1 more source

Information‐Theoretic Approach to Financial Market Modeling

Mathematical Finance, EarlyView.
ABSTRACT The paper treats the financial market as a communication system, using four information‐theoretic assumptions to derive an idealized model with only one parameter. State variables are scalar stationary diffusions. The model maximizes the surprisal of the market and minimizes the Kullback–Leibler divergence between the benchmark‐neutral pricing
Eckhard Platen
wiley   +1 more source

Volumetric Ablation of Phenolic Resin in Extreme Environments: A Variable-Property Physics-Informed Neural Network Framework. [PDF]

Polymers (Basel)
Du W, Ma T, Song H.
europepmc   +1 more source

Representation of Forward Performance Criteria with Random Endowment via FBSDE and Its Application to Forward Optimized Certainty Equivalent

Mathematical Finance, EarlyView.
ABSTRACT We extend the notion of forward performance criteria to settings with random endowment in incomplete markets. Building on these results, we introduce and develop the novel concept of forward optimized certainty equivalent (forward OCE), which offers a genuinely dynamic valuation mechanism that accommodates progressively adaptive market model ...
Gechun Liang, Yifan Sun, Thaleia Zariphopoulou   +2 more
wiley   +1 more source

Oxygenation and Spatial Heterogeneity Shape Radiotherapy Protocol Ranking Through Phenotypic Adaptation. [PDF]

Bull Math Biol
Albanese F, Chiari G, Delitala ME.
europepmc   +1 more source

On Short‐Term Behavior of Implied Volatility for Index Options

Mathematical Finance, EarlyView.
ABSTRACT This paper investigates short‐term behavior of implied volatility of derivatives written on a market index when the index is constructed using a ranking procedure. Even when stock prices follow geometric Brownian motion dynamics, the ranking mechanism can lead to the observed term structure of at‐the‐money (ATM) implied volatility skew for ...
Huy N. Chau, Duy Nguyen, Thai Nguyen
wiley   +1 more source