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Updated links for two in-advance papers.

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Chen Yang
2022-04-18 22:15:53 +08:00
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@@ -97,7 +97,7 @@ Stochastic Control; Market Frictions; Market Microstructure; FinTech; Deep Learn
</li><br>
<li><b>Leveraged ETFs with Market Closure and Frictions</b> (with <a href="https://sites.google.com/view/mindai/home" target="_blank">Min Dai</a>, <a href="https://www.bu.edu/questrom/profile/steven-kou/" target="_blank">Steven Kou</a> and <a href="https://people.math.ethz.ch/~hmsoner/" target="blank">H. Mete Soner</a>).<br>
<i>Management Science</i>, forthcoming. [<a href="" onclick="toggleAbstract('abs_LETF');return false">Abstract</a>|<a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3856573" target="_blank">SSRN</a>]<br>
<i>Management Science</i>, forthcoming. [<a href="" onclick="toggleAbstract('abs_LETF');return false">Abstract</a>|<a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3856573" target="_blank">SSRN</a>|<a href="https://pubsonline.informs.org/doi/abs/10.1287/mnsc.2022.4407" target="_blank">Article</a>]<br>
<div style="display:none" id="abs_LETF">
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<i>Although leveraged ETFs are popular products for retail investors, how to hedge them poses a great challenge to financial institutions. We develop an optimal rebalancing (hedging) model for leveraged ETFs in a comprehensive setting, including overnight market closure and market frictions. The model allows for an analytical optimal rebalancing strategy.
@@ -106,7 +106,7 @@ Stochastic Control; Market Frictions; Market Microstructure; FinTech; Deep Learn
</li><br>
<li><b>A Stochastic Representation for Nonlocal Parabolic PDEs with Applications</b> (with <a href="https://sites.google.com/view/mindai/home" target="_blank">Min Dai</a> and <a href="https://www.bu.edu/questrom/profile/steven-kou/" target="_blank">Steven Kou</a>).<br>
<i>Mathematics of Operations Research</i>, forthcoming. [<a href="" onclick="toggleAbstract('abs_FK');return false">Abstract</a>|<a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3541591" target="_blank">SSRN</a>]<br>
<i>Mathematics of Operations Research</i>, forthcoming. [<a href="" onclick="toggleAbstract('abs_FK');return false">Abstract</a>|<a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3541591" target="_blank">SSRN</a>|<a href="https://pubsonline.informs.org/doi/abs/10.1287/moor.2020.1061" target="_blank">Article</a>]<br>
<div style="display:none" id="abs_FK">
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<i>We establish a stochastic representation for a class of nonlocal parabolic terminal-boundary value problems, whose terminal and boundary conditions depend on the solution in the interior domain; in particular, the solution is represented as the expectation of functionals of a diffusion process with random jumps from boundaries. We discuss three applications of the representation, the first one on the pricing of dual-purpose funds, the second one on the connection to regenerative processes, and the third one on modeling the entropy on a one-dimensional non-rigid body.</i>