11 papers
Signature Methods for Optimal Market Making
Alberto Gennaro, Thibaut Mastrolia, Francesca Primavera
We propose a signature-based method to solve the optimal market-making problem under a mean-variance criterion. By exploiting signature linearization techniques, we reduce the mark…
Optimal Impulse Control for Cyber Risk Management
Caroline Hillairet, Thibaut Mastrolia, Wissal Sabbagh
We explore an optimal impulse control problem wherein an electronic device owner strategically calibrates protection levels against cyber attacks. Utilizing epidemiological compart…
Optimal Rebate Design: Incentives, Competition and Efficiency in Auction Markets
Thibaut Mastrolia, Tianrui Xu
This study explores the design of an efficient rebate policy in auction markets, focusing on a continuous-time setting with competition among market participants. In this model, a…
2BSDE with uncertain horizon and application to stochastic control in erratic environments
Alberto Gennaro, Thibaut Mastrolia
We investigate the existence and uniqueness of non-Markovian second-order backward stochastic differential equations with an uncertain terminal horizon and establish comparison pri…
Delegated portfolio management with random default
Alberto Gennaro, Thibaut Mastrolia
We are considering the problem of optimal portfolio delegation between an investor and a portfolio manager under a random default time. We focus on a novel variation of the Princip…
Deep ZakaiJ: Structured Filtering for Jump-Diffusion Time Series Forecasting
Yan Leng, Thibaut Mastrolia, Hao Wang
Time series driven by unobserved latent states frequently exhibit abrupt jump discontinuities whose timing and magnitude cannot be predicted from observed history alone. Classical…