4 papers
Superhedging under Proportional Transaction Costs in Continuous Time
Atiqah Almuzaini, ÃaÄın Ararat, Jin Ma
We revisit the well-studied superhedging problem under proportional transaction costs in continuous time using the recently developed tools of set-valued stochastic analysis. By re…
Can Nash inform capital requirements? Allocating systemic risk measures
ÃaÄın Ararat, Zachary Feinstein
Systemic risk measures aggregate the risks from multiple financial institutions to find system-wide capital requirements. Though much attention has been given to assessing the leve…
Dual representations for quasiconvex compositions with applications to systemic risk measures
ÃaÄın Ararat, Mücahit Aygün
Motivated by the problem of finding dual representations for quasiconvex systemic risk measures in financial mathematics, we study quasiconvex compositions in an abstract infinite-…
Beyond Grids: Multi-objective Bayesian Optimization With Adaptive Discretization
Andi Nika, Sepehr Elahi, ÃaÄın Ararat +1
We consider the problem of optimizing a vector-valued objective function sampled from a Gaussian Process (GP) whose index set is a well-behaved, compact metric spa…