40 citations · 123 across the 17 of their papers we have counts for
20 papers
Optimal Selling of Defaultable Assets using the Distribution Builder
Sixian Jin, Stephan Sturm
We consider the problem of when it is best to sell a risky asset in the \textit{distribution builder} framework under the consideration of potential ruin. This approach allows inve…
When to Sell an Asset? - A Distribution Builder Approach
Peter Carr, Stephan Sturm
We consider the question of the optimal timing of the sale of an asset with stochastic dynamics. Our analysis is based on the method of the distribution builder introduced by Sharp…
Path Signatures for Feature Extraction. An Introduction to the Mathematics Underpinning an Efficient Machine Learning Technique
Stephan Sturm
We provide an introduction to the topic of path signatures as means of feature extraction for machine learning from data streams. The article stresses the mathematical theory under…
Understanding the Commodity Futures Term Structure Through Signatures
Hari P. Krishnan, Stephan Sturm
Signature methods have been widely and effectively used as a tool for feature extraction in statistical learning methods, notably in mathematical finance. They lack, however, inter…
Risk-indifference Pricing of American-style Contingent Claims
Rohini Kumar, Frederick "Forrest" Miller, Hussein Nasralah +1
This paper studies the pricing of contingent claims of American style, using indifference pricing by fully dynamic convex risk measures. We provide a general definition of risk-ind…
Examples and Counterexamples of Cost-efficiency in Incomplete Markets
Carole Bernard, Stephan Sturm
We present a number of examples and counterexamples to illustrate the results on cost-efficiency in an incomplete market obtained in [BS24]. These examples and counterexamples do n…
Intertemporal Cost-efficient Consumption
Mauricio Elizalde, Stephan Sturm
We aim to provide an intertemporal, cost-efficient consumption model that extends the consumption optimization inspired by the Distribution Builder, a tool developed by Sharpe, Joh…
Cost-efficiency in Incomplete Markets
Carole Bernard, Stephan Sturm
This paper studies the topic of cost-efficiency in incomplete markets. A payoff is called cost-efficient if it achieves a given probability distribution at some given investment ho…
XVA Valuation under Market Illiquidity
Weijie Pang, Stephan Sturm
Before the 2008 financial crisis, most research in financial mathematics focused on pricing options without considering the effects of counterparties' defaults, illiquidity problem…
A sensitivity analysis of the long-term expected utility of optimal portfolios
Hyungbin Park, Stephan Sturm
This paper discusses the sensitivity of the long-term expected utility of optimal portfolios for an investor with constant relative risk aversion. Under an incomplete market given…
A Risk-Sharing Framework of Bilateral Contracts
Junbeom Lee, Stephan Sturm, Chao Zhou
We introduce a two-agent problem which is inspired by price asymmetry arising from funding difference. When two parties have different funding rates, the two parties deduce differe…
Robust XVA
Maxim Bichuch, Agostino Capponi, Stephan Sturm
We introduce an arbitrage-free framework for robust valuation adjustments. An investor trades a credit default swap portfolio with a risky counterparty, and hedges credit risk by t…
Sensitivity of the Eisenberg-Noe clearing vector to individual interbank liabilities
Zachary Feinstein, Weijie Pang, Birgit Rudloff +3
We quantify the sensitivity of the Eisenberg-Noe clearing vector to estimation errors in the bilateral liabilities of a financial system in a stylized setting. The interbank liabil…
Arbitrage-Free XVA
Maxim Bichuch, Agostino Capponi, Stephan Sturm
We develop a framework for computing the total valuation adjustment (XVA) of a European claim accounting for funding costs, counterparty credit risk, and collateralization. Based o…
Arbitrage-Free Pricing of XVA - Part II: PDE Representation and Numerical Analysis
Maxim Bichuch, Agostino Capponi, Stephan Sturm
We study the semilinear partial differential equation (PDE) associated with the non-linear BSDE characterizing buyer's and seller's XVA in a framework that allows for asymmetries i…
Arbitrage-Free Pricing of XVA -- Part I: Framework and Explicit Examples
Maxim Bichuch, Agostino Capponi, Stephan Sturm
We develop a novel framework for computing the total valuation adjustment (XVA) of a European claim accounting for funding costs, counterparty credit risk, and collateralization. B…
Portfolio Optimization under Convex Incentive Schemes
Maxim Bichuch, Stephan Sturm
We consider the terminal wealth utility maximization problem from the point of view of a portfolio manager who is paid by an incentive scheme, which is given as a convex function $…
From Smile Asymptotics to Market Risk Measures
Ronnie Sircar, Stephan Sturm
The left tail of the implied volatility skew, coming from quotes on out-of-the-money put options, can be thought to reflect the market's assessment of the risk of a huge drop in st…
Is the minimum value of an option on variance generated by local volatility?
Mathias Beiglboeck, Peter Friz, Stephan Sturm
We discuss the possibility of obtaining model-free bounds on volatility derivatives, given present market data in the form of a calibrated local volatility model. A counter-example…
On refined volatility smile expansion in the Heston model
P. Friz, S. Gerhold, A. Gulisashvili +1
It is known that Heston's stochastic volatility model exhibits moment explosion, and that the critical moment can be obtained by solving (numerically) a simple equation. This…