The primary challenge of market making in spot precious metals is navigating the liquidity that is mainly provided by futures contracts. The Exchange for Physical (EFP) spread, which is the price difference between futures and spot, plays a pivotal role and exhibits multiple modes of relaxation corresponding to the diverse trading horizons of marke...
We consider the Fourier-Laplace transforms of a {broad} class of polynomial Ornstein-Uhlenbeck (OU) volatility models, including the well-known Stein-Stein, Schöbel-Zhu, one-factor Bergomi, and the recently introduced Quintic OU models motivated by the SPX-VIX joint calibration problem. We show the connection between the joint {Fourier-Laplace} fun...
We provide examples of foliations on the complex projective plane CP² carrying positive foliated harmonic currents whose supports coincide with singular Levi-flats which, in turn, can be chosen real-analytic (but non-algebraic) or merely continuous with fractal transverse nature. Furthermore, non-trivial examples (as above) can already be found amo...
Published in IEEE transactions on cybernetics
In this article, a novel integral reinforcement learning (RL)-based nonfragile output feedback tracking control algorithm is proposed for uncertain Markov jump nonlinear systems presented by the Takagi-Sugeno fuzzy model. The problem of nonfragile control is converted into solving the zero-sum games, where the control input and uncertain disturbanc...
Abstract In this article we consider the estimation of the log-normalization constant associated to a class of continuous-time filtering models. In particular, we consider ensemble Kalman–Bucy filter estimates based upon several nonlinear Kalman–Bucy diffusions. Using new conditional bias results for the mean of the aforementioned methods, we analy...
In FX cash markets, market makers provide liquidity to clients for a wide variety of currency pairs. Because of flow uncertainty and market volatility, they face inventory risk. To mitigate this risk, they typically skew their prices to attract or divert the flow and trade with their peers on the dealer-to-dealer segment of the market for hedging p...
We propose a model where a producer and a consumer can affect the price dynamics of some commodity controlling drift and volatility of, respectively, the production rate and the consumption rate. We assume that the producer has a short position in a forward contract on λ units of the underlying at a fixed price F, while the consumer has the corresp...
Published in Journal of Systems Science and Complexity
This paper studies an asymptotic solvability problem for linear quadratic (LQ) mean field games with controlled diffusions and indefinite weights for the state and control in the costs. The authors employ a rescaling approach to derive a low dimensional Riccati ordinary differential equation (ODE) system, which characterizes a necessary and suffici...
Sufficient conditions for existence and uniqueness of solutions for a coupled system of homogeneous equations defining dynamics of the gain and observer for ODEs obtained as a Galerkin projection of homogeneous PDEs are proposed. The conditions rely upon fundamental concept of uniform complete observability which is also used to design an exponenti...
In this article we consider the estimation of the log-normalization constant associated to a class of continuous-time filtering models. In particular, we consider ensemble Kalman-Bucy filter based estimates based upon several nonlinear Kalman-Bucy diffusions. Based upon new conditional bias results for the mean of the afore-mentioned methods, we an...
