凸风险测度下基于变分偏好的最优对冲

无限期界最优消费：Epstein-Zin偏好下的跨期对冲

Infinite Horizon Optimal Consumption: Intertemporal Hedging under Epstein-Zin Preferences

针对Epstein-Zin随机微分效用下的无限期界消费-投资问题，通过变分刻画价值函数并证明其存在性与正则性，结合测度变换与BSDE唯一性给出最优策略的反馈表示。

Forward indifference valuation and hedging of basis risk under partial information

We study the hedging and valuation of European and American claims on a non-traded asset $Y$, when a traded stock $S$ is available for hedging, with $S$ and $Y$ following correlated geometric Brownian motions. This is an incomplete market, often called a basis risk model. The market agent's risk preferences are modelled using a so-called forward performance process (forward utility), which is a time-decreasing utility of exponential type. Moreover, the market agent (investor) does not know with certainty the values of the asset price drifts. This market setting with drift parameter uncertainty…

Robust deep hedging

We study pricing and hedging under parameter uncertainty for a class of Markov processes which we call generalized affine processes and which includes the Black-Scholes model as well as the constant elasticity of variance (CEV) model as special cases. Based on a general dynamic programming principle, we are able to link the associated nonlinear expectation to a variational form of the Kolmogorov equation which opens the door for fast numerical pricing in the robust framework. The main novelty of the paper is that we propose a deep hedging approach which efficiently solves the hedging problem u…

不完备市场中衍生品证券的最优头寸配置

Optimal positioning in derivative securities in incomplete markets

本文研究不完备市场中基于单一标的普通期权的两资产静态对冲问题，将其建模为效用最大化，并给出多种效用下的半解析解及 Lipschitz 不动点收敛结论。

动态偏好不确定性下的均衡投资

Equilibrium investment under dynamic preference uncertainty

本文研究了在动态偏好不确定性下，通过一般均衡框架和扩展的哈密尔顿-雅可比-贝尔曼系统，分析了投资者的均衡投资策略，并提出了半显式的投资策略表示。

Optimal Investment, Demand and Arbitrage under Price Impact

This paper studies the optimal investment problem with random endowment in an inventory-based price impact model with competitive market makers. Our goal is to analyze how price impact affects optimal policies, as well as both pricing rules and demand schedules for contingent claims. For exponential market makers preferences, we establish two effects due to price impact: constrained trading, and non-linear hedging costs. To the former, wealth processes in the impact model are identified with those in a model without impact, but with constrained trading, where the (random) constraint set is gen…