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View article: Gamma hedging and rough paths
Gamma hedging and rough paths Open
We apply rough-path theory to study the discrete-time gamma-hedging strategy. We show that if a trader knows that the market prices of a set of European options are given by a diffusive pricing model, then the discrete-time gamma-hedging s…
View article: Optimal mutual insurance against systematic longevity risk
Optimal mutual insurance against systematic longevity risk Open
View article: Optimal post-retirement investment and consumption under longevity risk in collective funds
Optimal post-retirement investment and consumption under longevity risk in collective funds Open
We study the optimal investment-consumption problem for a homogeneous collective of n individuals subject to longevity risk with Epstein–Zin preferences. Our focus is on longevity risk, so for simplicity, we use the Black–Scholes model for…
View article: A critical analysis of Athena Swan as a policy‐scoring scheme
A critical analysis of Athena Swan as a policy‐scoring scheme Open
Athena Swan was established in 2005 with the goal of advancing the careers of women in STEMM (Science, Technology, Engineering, Mathematics and Medicine) subjects in higher education. Since then, it has expanded its remit in various ways a…
View article: The <scp>QAA</scp>'s subject benchmarks and critical pedagogy: The example of ‘gateway to King's’
The <span>QAA</span>'s subject benchmarks and critical pedagogy: The example of ‘gateway to King's’ Open
The UK's Quality Assurance Association for Higher Education (QAA) recommend that all undergraduate courses at UK universities include in their curricula elements of Equality, Diversity and Inclusion; Enterprise and Entrepreneurship Educati…
View article: LGBT+ representation higher education in England and Wales
LGBT+ representation higher education in England and Wales Open
This paper investigates the level of LGBT+ representation among staff and students in higher education in England and Wales. We compare data from the 2021 England and Wales Census to Higher Education Statistics Agency (HESA) data. We find …
View article: Low-dimensional approximations of the conditional law of Volterra processes: a non-positive curvature approach
Low-dimensional approximations of the conditional law of Volterra processes: a non-positive curvature approach Open
Predicting the conditional evolution of Volterra processes with stochastic volatility is a crucial challenge in mathematical finance. While deep neural network models offer promise in approximating the conditional law of such processes, th…
View article: Scope and Incentives for Risk Selection in Health Insurance Markets With Regulated Competition: A Conceptual Framework and International Comparison
Scope and Incentives for Risk Selection in Health Insurance Markets With Regulated Competition: A Conceptual Framework and International Comparison Open
In health insurance markets with regulated competition, regulators face the challenge of preventing risk selection. This paper provides a framework for analyzing the scope (i.e., potential actions by insurers and consumers) and incentives …
View article: LGBT Representation Higher Education in England and Wales
LGBT Representation Higher Education in England and Wales Open
View article: Performance of non-binary athletes in mass-participation running events
Performance of non-binary athletes in mass-participation running events Open
Objectives To test the hypothesis that, controlling for age, natal-sex differences in running performance are lower among non-binary athletes than in the rest of the population. To test the hypothesis that natal-male non-binary athletes ou…
View article: Gamma Hedging and Rough Paths
Gamma Hedging and Rough Paths Open
We apply rough-path theory to study the discrete-time gamma-hedging strategy. We show that if a trader knows that the market price of a set of European options will be given by a diffusive pricing model, then the discrete-time gamma-hedgin…
View article: Optimal projection filters with information geometry
Optimal projection filters with information geometry Open
View article: The importance of dynamic risk constraints for limited liability operators
The importance of dynamic risk constraints for limited liability operators Open
Previous literature shows that prevalent risk measures such as value at risk or expected shortfall are ineffective to curb excessive risk-taking by a tail-risk-seeking trader with S-shaped utility function in the context of portfolio optim…
View article: Projections of SDEs onto submanifolds
Projections of SDEs onto submanifolds Open
View article: The QAA’s subject benchmarks and critical pedagogy: the example of “Gateway to King’s”
The QAA’s subject benchmarks and critical pedagogy: the example of “Gateway to King’s” Open
View article: A Time-Series Analysis of the Impact of Athena Swan on the Representation of Women in Senior Roles
A Time-Series Analysis of the Impact of Athena Swan on the Representation of Women in Senior Roles Open
View article: A Critical Analysis of Athena Swan as a Policy-Scoring Scheme
A Critical Analysis of Athena Swan as a Policy-Scoring Scheme Open
View article: Anomalous recurrence of Markov chains on negatively curved manifolds
Anomalous recurrence of Markov chains on negatively curved manifolds Open
We present a recurrence–transience classification for discrete-time Markov chains on manifolds with negative curvature. Our classification depends only on geometric quantities associated to the increments of the chain, defined via the Riem…
View article: Non‐geometric rough paths on manifolds
Non‐geometric rough paths on manifolds Open
We provide a theory of manifold-valued rough paths of bounded 3 >p-variation, which we do not assume to be geometric. Rough paths are defined in charts, relying on the vector space-valued theory of [FH14FH14], and coordinate-free (but conn…
View article: Kepler_PRSA from Curved schemes for stochastic differential equations on, or near, manifolds
Kepler_PRSA from Curved schemes for stochastic differential equations on, or near, manifolds Open
Code used to produce Kepler graph and table in paper
View article: MonteCarlo_PRSA from Curved schemes for stochastic differential equations on, or near, manifolds
MonteCarlo_PRSA from Curved schemes for stochastic differential equations on, or near, manifolds Open
Code used to produce graphs for Monte Carlo examples in paper
View article: Duffing_PRSA from Curved schemes for stochastic differential equations on, or near, manifolds
Duffing_PRSA from Curved schemes for stochastic differential equations on, or near, manifolds Open
Code used to produce Duffing graph and table in paper
View article: Investment Choice in Collectivised Pensions
Investment Choice in Collectivised Pensions Open
View article: Extra_Examples_PRSA from Curved schemes for stochastic differential equations on, or near, manifolds
Extra_Examples_PRSA from Curved schemes for stochastic differential equations on, or near, manifolds Open
Code used to produce graphs for BM on sphere and Hamiltonian
View article: The Bank of Canada's New Quarterly Projection Model, Part 2. A Robust Method for Simulating Forward-Looking Models
The Bank of Canada's New Quarterly Projection Model, Part 2. A Robust Method for Simulating Forward-Looking Models Open
In this report, we describe methods for solving economic models when expectations are presumed to have at least some element of consistency with the predictions of the model itself. We present analytical results that establish the converge…
View article: Option pricing models without probability: a rough paths approach
Option pricing models without probability: a rough paths approach Open
We describe the pricing and hedging of financial options without the use of probability using rough paths. By encoding the volatility of assets in an enhancement of the price trajectory, we give a pathwise presentation of the replication o…
View article: Stochastic modeling of assets and liabilities with mortality risk
Stochastic modeling of assets and liabilities with mortality risk Open
This paper describes a general approach for stochastic modeling of assets returns and liability cash-flows of a typical pensions insurer. On the asset side, we model the investment returns on equities and various classes of fixed-income in…
View article: Anomalous Recurrence Properties of Markov Chains on Manifolds of Negative Curvature
Anomalous Recurrence Properties of Markov Chains on Manifolds of Negative Curvature Open
We present a recurrence-transience classification for discrete-time Markov chains on manifolds with negative curvature. Our classification depends only on geometric quantities associated to the increments of the chain, defined via the Riem…
View article: The importance of dynamic risk constraints for limited liability\n operators
The importance of dynamic risk constraints for limited liability\n operators Open
Previous literature shows that prevalent risk measures such as Value at Risk\nor Expected Shortfall are ineffective to curb excessive risk-taking by a\ntail-risk-seeking trader with S-shaped utility function in the context of\nportfolio op…
View article: The importance of dynamic risk constraints for limited liability operators
The importance of dynamic risk constraints for limited liability operators Open
Previous literature shows that prevalent risk measures such as Value at Risk or Expected Shortfall are ineffective to curb excessive risk-taking by a tail-risk-seeking trader with S-shaped utility function in the context of portfolio optim…