Optimal Damages in Securities Cases

Optimal investment in derivative securities

We consider the problem of optimal investment in a risky asset, and in derivatives written on the price process of this asset, when the underlying asset price process is a pure jump Lévy process. The duality approach of Karatzas and Shreve is used to derive the optimal consumption and investment plans. In our economy, the optimal derivative payoff can be constructed from dynamic trading in the ...

Big Data Cases in Banking and Securities

Book Review: Cases on Damages

Optimal investment with derivative securities

We study the problem of portfolio optimization in an incomplete market using derivatives as well as basic assets such as stocks. In such markets, an investor may want to use derivatives, as a proxy for trading volatility, for instance, but they should be traded statically, or relatively infrequently, compared with assumed continuous trading of stocks, because of the much larger transaction cost...

Optimal Importance Sampling in Securities Pricing

To reduce variance in estimating security prices via Monte Carlo simulation, we formulate a parametric minimization problem for the optimal importance sampling measure, which is solved using in nitesimal perturbation analysis (IPA) and stochastic approximation (SA). Compared with existing methods, the IPA estimator we derive is more universally applicable and more computationally e cient. Under...