40 citations · 123 across the 17 of their papers we have counts for
5 papers · 1 filter
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…
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…
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…
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…