An investment horizon is in practice not frequently known with certainty at the initial investment date. This paper addresses the problem of pricing and hedging a random cash‡ow received at a random date in a general stochastic environment. We ...rst argue that speci...c timing risk is induced by the presence of an uncertain time-horizon if and only if the random time under consideration is not...

In this review paper we summarise several nonparametric methods recently applied to the pricing of financial options. After a short introduction to martingale-based option pricing theory, we focus on two possible fields of application for nonparametric methods: the estimation of risk-neutral probabilities and the estimation of the dynamics of the underlying instruments in order to construct an ...

Using a novel and flexible regression approach that avoids imposing restrictive modeling assumptions, we find evidence of a nonmonotonic relation between conditional volatility and expected stock market returns. At low and medium levels of conditional volatility there is a positive risk-return trade-off, but this relation is inverted at high levels of volatility. This finding helps explain the ...

For the class of noisy time-delay linear consensus networks, we obtain explicit formulae for risk of large fluctuations of a scalar observable as a function of Laplacian spectrum and its eigenvectors. It is shown that there is an intrinsic tradeoff between risk of large fluctuations and effective resistance of the underlying coupling graph of the network. The main implication is that increasing...

In this paper we provide two axiomatizations of the class of idempotent discrete uninorms as conservative binary operations, where an operation is conservative if it always outputs one of its input values. More precisely we first show that the idempotent discrete uninorms are exactly those operations that are conservative, symmetric, and nondecreasing in each variable. Then we show that, in thi...

We describe several analytical and numerical procedures to obtain bounds on the distribution function of a sum of n dependent risks having fixed overlapping marginals. As an application, we produce bounds on quantile-based risk measures for portfolios of financial/actuarial interest.

We study survival, price impact and portfolio impact in heterogeneous economies. We show that, under the equilibrium risk-neutral measure, long-run price impact is in fact equivalent to survival, whereas longrun portfolio impact is equivalent to survival under an agent-specific, wealth-forward measure. These results allow us to show that price impact and portfolio impact are two independent con...

We investigate the existence of affine realizations for Lévy driven interest rate term structure models under the real-world probability measure, which so far has only been studied under an assumed risk-neutral probability measure. For models driven by Wiener processes, all results obtained under the risk-neutral approach concerning the existence of affine realizations are transferred to the ge...

Extending the growing interest in affect in work groups, we propose that groups with distributed information make higher quality decisions when they are in a negative rather than a positive mood, but that these effects are moderated by group members’ trait negative affect. In support of this hypothesis, an experiment (N = 175 groups) showed that positive mood led to lower quality decisions than...