Reference-dependent asset pricing with a stochastic consumption-dividend ratio

1 code implementation • 23 Jan 2024 • Luca De Gennaro Aquino, Xuedong He, Moris Simon Strub, Yuting Yang

First, we consider a general model in which the agent's preferences include both contemporaneous gain-loss utility, that is, utility from the difference between current consumption and previously held expectations about current consumption, and prospective gain-loss utility, that is, utility from the difference between intertemporal beliefs about future consumption.

MinMax Methods for Optimal Transport and Beyond: Regularization, Approximation and Numerics

2 code implementations • NeurIPS 2020 • Luca De Gennaro Aquino, Stephan Eckstein

We study MinMax solution methods for a general class of optimization problems related to (and including) optimal transport.

Bounds on Multi-asset Derivatives via Neural Networks

1 code implementation • 13 Nov 2019 • Luca De Gennaro Aquino, Carole Bernard

Using neural networks, we compute bounds on the prices of multi-asset derivatives given information on prices of related payoffs.

Math