2 papers
q-fin.MF2019
A lending scheme for a system of interconnected banks with probabilistic constraints of failure
Francesco Cordoni, Luca Di Persio, Luca Prezioso
We derive a closed form solution for an optimal control problem related to an interbank lending schemes subject to terminal probability constraints on the failure of banks which ar…
q-fin.PR2019
Closed-End Formula for options linked to Target Volatility Strategies
Luca Di Persio, Luca Prezioso, Kai Wallbaum
Recent years have seen an emerging class of structured financial products based on options linked to dynamic asset allocation strategies. One of the most chosen approach is the so-…