Never, Ever Getting Started: On Prospect Theory Without Commitment
Mathematical Finance, EarlyView.ABSTRACT Prospect theory is arguably the most prominent alternative to expected utility theory. We study the investment or gambling behavior of a prospect theory decision maker who is aware of his time‐inconsistency but lacks commitment. For the empirically relevant prospect theory specifications, we obtain the extreme prediction that such a decision ...
Sebastian Ebert, Philipp Strack
wiley +1 more source
Equilibrium Reward for Liquidity Providers in Automated Market Makers
Mathematical Finance, EarlyView.ABSTRACT We find the equilibrium contract that an automated market maker (AMM) offers to their strategic liquidity providers (LPs) in order to maximize the order flow that gets processed by the venue. Our model is formulated as a leader–follower stochastic game, where the venue is the leader and a representative LP is the follower.
Alif Aqsha +2 more
wiley +1 more source
Void-Assisted Extrinsic Charge Trapping Governs Hole Transport in Organic Semiconductors. [PDF]
Small SciMolecular dynamics simulation reveals a higher population of large voids in BZCz2 than in BZCz, as shown by the cumulative void number density. Bulky substituents disrupt molecular packing and promote void formation, potentially facilitating water‐cluster incorporation during vacuum deposition and increasing extrinsic hole trapping.
Ishii K +4 more
europepmc +2 more sources
On the Exact Limiting Distribution of a Volatility Target Index
Mathematical Finance, EarlyView.ABSTRACT Assuming a lognormal distribution for the underlying risky asset, we study the limiting distribution of a volatility target index as the rebalancing time step approaches zero. Two limit theorems (a strong law of large numbers and a central limit theorem) are established, and as an application, the exact limiting distribution is derived.
Xuan Liu, Michel Gauthier
wiley +1 more source
Multiscale Brownian dynamics simulations reveal effects of macromolecular crowding on protein-ligand association. [PDF]
Proc Natl Acad Sci U S ABeccaria R, Muñiz-Chicharro A, Wade RC.
europepmc +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 +2 more
wiley +1 more source
Simulating Dilute-Solution Properties and Behavior of Flexible Macromolecules: A Review of Brownian Dynamics, Monte Carlo Methods, and Computational Tools (SIMUFLEX and MONTEHYDRO) with Applications to Biomacromolecules and Selected Synthetic Polymers. [PDF]
Int J Mol SciGarcía de la Torre J +1 more
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
Modeling constrained tumor evolution through hybrid Ornstein-Uhlenbeck and branching dynamics. [PDF]
iScienceKim SH.
europepmc +1 more source
Coordinating Bank Dividend and Capital Regulation
Mathematical Finance, EarlyView.ABSTRACT This paper examines how state‐dependent dividend restrictions (taxes and bans) and capital requirements influence a bank's capital buffer accumulation and risk‐taking decisions. In the model, the bank distributes dividends and issues costly equity to maximise shareholder value, while its loans generate stochastic income under time‐varying ...
Salvatore Federico +2 more
wiley +1 more source