6 papers
Optimal Selling of Defaultable Assets using the Distribution Builder
Sixian Jin, Stephan Sturm
We consider the problem of when it is best to sell a risky asset in the framework of the \textit{distribution builder} approach under the consideration of potential ruin. This appr…
When to Sell an Asset? - A Distribution Builder Approach
Peter Carr, Stephan Sturm
We consider the question of the optimal timing of the sale of an asset with stochastic dynamics. Our analysis is based on the method of the distribution builder introduced by Sharp…
Cost-efficiency in Incomplete Markets
Carole Bernard, Stephan Sturm
This paper studies the topic of cost-efficiency in incomplete markets. A payoff is called cost-efficient if it achieves a given probability distribution at some given investment ho…
Risk-indifference Pricing of American-style Contingent Claims
Rohini Kumar, Frederick "Forrest" Miller, Hussein Nasralah +1
This paper studies the pricing of contingent claims of American style, using indifference pricing by fully dynamic convex risk measures. We provide a general definition of risk-ind…
Path Signatures for Feature Extraction. An Introduction to the Mathematics Underpinning an Efficient Machine Learning Technique
Stephan Sturm
We provide an introduction to the topic of path signatures as means of feature extraction for machine learning from data streams. The article stresses the mathematical theory under…
Understanding the Commodity Futures Term Structure Through Signatures
Hari P. Krishnan, Stephan Sturm
Signature methods have been widely and effectively used as a tool for feature extraction in statistical learning methods, notably in mathematical finance. They lack, however, inter…