4 papers
Reinforcement Learning for Intra-and-Inter-Bank Borrowing and Lending Mean Field Control Game
Andrea Angiuli, Nils Detering, Jean-Pierre Fouque +2
We propose a mean field control game model for the intra-and-inter-bank borrowing and lending problem. This framework allows to study the competitive game arising between groups of…
Bootstrap Percolation in Random Graphs of Unbounded Rank
Nils Detering, Jimin Lin
Bootstrap percolation in (random) graphs is a contagion dynamic among a set of vertices with certain threshold levels. The process is started by a set of initially infected vertice…
Reinforcement Learning Algorithm for Mixed Mean Field Control Games
Andrea Angiuli, Nils Detering, Jean-Pierre Fouque +2
We present a new combined \textit{mean field control game} (MFCG) problem which can be interpreted as a competitive game between collaborating groups and its solution as a Nash equ…
On Carr and Lee's correlation immunization strategy
Jimin Lin, Matthew Lorig
In their seminal work Carr and Lee (2008) show how to robustly price and replicate a variety of claims written on the quadratic variation of a risky asset under the assumption that…