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Hawkes-based cryptocurrency forecasting via Limit Order Book data
Accurately forecasting the direction of financial returns poses a formidable challenge, given the inherent unpredictability of financial time series.
Sensitivity of Optimal Retirement Problem to Liquidity Constraints
In this work we analytically solve an optimal retirement problem, in which the agent optimally allocates the risky investment, consumption and leisure rate to maximise a gain function characterised by a power utility function of consumption and leisure, through the duality method.
Effect of Labour Income on the Optimal Bankruptcy Problem
In our framework, the agent is endowed by an initial debt, and she is required to repay her debt continuously.
Pricing methods for $α$-quantile and perpetual early exercise options based on Spitzer identities
We present new numerical schemes for pricing perpetual Bermudan and American options as well as $\alpha$-quantile options.
