Speaker: Prof. Andrey Itkin, Department of Risk and Financial Engineering, Tandon School of Engineering, NYU Abstract: In this paper we propose a semi-analytic approach to pricing American options for some time-dependent jump-diffusions models. The idea of the method is to further generalize our approach developed for pricing barrier, , and American, , options in various […]

Speaker: Prof. Abderrahim Taamouti, Management School, University of Liverpool Abstract: The Sharpe-ratio-maximizing portfolio becomes questionable under non-Gaussian returns, and it rules out, by construction, systemic risk, which can negatively affect its out-of-sample performance. In the present work, we develop a new performance ratio that simultaneously addresses these two problems when building optimal portfolios. To robustify […]