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q-fin.MF2025
Three-level qualitative classification of financial risks under varying conditions through first passage times
Carlos Bouthelier-Madre, Carlos Escudero
This work focuses on financial risks from a probabilistic point of view. The value of a firm is described as a geometric Brownian motion and default emerges as a first passage time…
q-fin.MF2024
Time evaluation of portfolio for asymmetrically informed traders
Bernardo D'Auria, Carlos Escudero
We study the anticipating version of the classical portfolio optimization problem in a financial market with the presence of a trader who possesses privileged information about the…