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Articles 1 - 6 of 6
Full-Text Articles in Control Theory
Portfolio Optimization Analysis In The Family Of 4/2 Stochastic Volatility Models, Yuyang Cheng
Portfolio Optimization Analysis In The Family Of 4/2 Stochastic Volatility Models, Yuyang Cheng
Electronic Thesis and Dissertation Repository
Over the last two decades, trading of financial derivatives has increased significantly along with richer and more complex behaviour/traits on the underlying assets. The need for more advanced models to capture traits and behaviour of risky assets is crucial. In this spirit, the state-of-the-art 4/2 stochastic volatility model was recently proposed by Grasselli in 2017 and has gained great attention ever since. The 4/2 model is a superposition of a Heston (1/2) component and a 3/2 component, which is shown to be able to eliminate the limitations of these two individual models, bringing the best out of each other. Based …
Application Of Stochastic Control To Portfolio Optimization And Energy Finance, Junhe Chen
Application Of Stochastic Control To Portfolio Optimization And Energy Finance, Junhe Chen
Electronic Thesis and Dissertation Repository
In this thesis, we study two continuous-time optimal control problems. The first describes competition in the energy market and the second aims at robust portfolio decisions for commodity markets. Both problems are approached via solutions of Hamilton-Jacobi-Bellman (HJB) and HJB-Isaacs (HJBI) equations.
In the energy market problem, our target is to maximize profits from trading crude oil by determining optimal crude oil production. We determine the optimal crude oil production rate by constructing a differential game between two types of players: a single finite-reserve producer and multiple infinite-reserve producers. We extend the deterministic unbounded-production model and stochastic monopolistic game to …
Some Recent Developments On Pareto-Optimal Reinsurance, Wenjun Jiang
Some Recent Developments On Pareto-Optimal Reinsurance, Wenjun Jiang
Electronic Thesis and Dissertation Repository
This thesis focuses on developing Pareto-optimal reinsurance policy which considers the interests of both the insurer and the reinsurer. The optimal insurance/reinsurance design has been extensively studied in actuarial science literature, while in early years most studies were concentrated on optimizing the insurer’s interests. However, as early as 1960s, Borch argued that “an agreement which is quite attractive to one party may not be acceptable to its counterparty” and he pioneered the study on “fair” risk sharing between the insurer and the reinsurer. Quite recently, the question of how to strike a balance in risk sharing between an insurer and …
P26. Global Exponential Stabilization On So(3), Soulaimane Berkane
P26. Global Exponential Stabilization On So(3), Soulaimane Berkane
Western Research Forum
Global Exponential Stabilization on SO(3)
Approximate Methods For Dynamic Portfolio Allocation Under Transaction Costs, Nabeel Butt
Approximate Methods For Dynamic Portfolio Allocation Under Transaction Costs, Nabeel Butt
Electronic Thesis and Dissertation Repository
The thesis provides robust and efficient lattice based algorithms for solving dynamic portfolio allocation problems under transaction costs. The early part of the thesis concentrates upon developing a toolbox based on multinomial trees. The multinomial trees are shown to provide a reasonable approximation for most popular transaction cost models in the academic literature. The tool, once forged, is implemented in the powerful Mathematica based parallel computing environment. In the second part of the thesis we provide applications of our framework to real world problems. We show re-balancing portfolios is more valuable in an investment environment where the growth and volatility …
Preoperative Planning Of Robotics-Assisted Minimally Invasive Cardiac Surgery Under Uncertainty, Hamidreza Azimian
Preoperative Planning Of Robotics-Assisted Minimally Invasive Cardiac Surgery Under Uncertainty, Hamidreza Azimian
Electronic Thesis and Dissertation Repository
In this thesis, a computational framework for patient-specific preoperative planning of Robotics-Assisted Minimally Invasive Cardiac Surgery (RAMICS) is developed. It is expected that preoperative planning of RAMICS will improve the rate of success by considering robot kinematics, patient-specific thoracic anatomy, and procedure-specific intraoperative conditions. Given the significant anatomical features localized in the preoperative computed tomography images of a patient's thorax, port locations and robot orientations (with respect to the patient's body coordinate frame) are determined to optimize characteristics such as dexterity, reachability, tool approach angles and maneuverability. In this thesis, two approaches for preoperative planning of RAMICS are proposed that …