From the 1 of 3 linked papers with an AI index.
3 papers
Dam Management in the Era of Climate Change
Cristina Di Girolami, M'hamed Gaïgi, Vathana Ly Vath +1
The paper studies how to optimally control dam water levels under climate‑induced patterns of intense rainfall and long dry spells, using a Hawkes self‑exciting process to model th…
Optimal Execution under Liquidity Uncertainty
Etienne Chevalier, Yadh Hafsi, Vathana Ly Vath +1
We study an optimal execution strategy for purchasing a large block of shares over a fixed time horizon. The execution problem is subject to a general price impact that gradually d…
Tractable bank capital structure: optimal control under Basel III constraints
Erhan Bayraktar, Etienne Chevalier, Vathana Ly Vath +1
Banks must optimize risky investments, dividend payouts, and capital structure under tight Basel III solvency and liquidity constraints, while costly equity issuance serves as a di…