3 papers
q-fin.MF2026
High-Order Expansions of the Optimizer Map via Bell Polynomials
Oleksii Mostovyi, Thaleia Zariphopoulou
Completely monotonic inverse marginal (CMIM) utilities, introduced in [MSZ24], constitute a tractable class of preferences that includes many of the most important utility function…
q-fin.MF2025
The value of partial information
Philip A. Ernst, Oleksii Mostovyi
We investigate a pricing rule that is applicable for streams of income or contingent claim liabilities and study how this rule changes under additional insider-type information tha…
q-fin.MF2024
The indifference value of the weak information
Fabrice Baudoin, Oleksii Mostovyi
We propose indifference pricing to estimate the value of the weak information. Our framework allows for tractability, quantifying the amount of additional information, and permits…