Seminar Cancelled
via ZoomTitle: Time changes, Fourier transforms and the joint calibration to the S&P500/VIX smiles Speaker: Prof. Laura Ballotta, Bayes Business School, City University of London Abstract: We develop a model based […]
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Elicitability and identifiability of tail risk measures
via ZoomSpeaker: Dr. Tobias Fissler, Department of Mathematics, ETH Zurich Abstract: Tail risk measures are fully determined by the distribution of the underlying loss beyond its quantile at a certain level, […]
Estimation and backtesting of risk measures with emphasis on distortion risk measures
via ZoomSpeaker: Prof. Hideatsu Tsukahara, Dept.. of Economics, Seijo University, Tokyo Abstract: Statistical methodology has an important role to play in risk measurement. In this paper, we will review and discuss […]
Pricing options with a new hybrid neural network model
via ZoomSpeaker: Dr. Yossi Shvimer, Research Associate, School of Finance and Management, SOAS University of London Abstract: A novel hybrid option pricing model using a deep learning neural network has been […]
Stochastic dominance, stochastic volatility, and jump risk: new theory interprets old results
via ZoomSpeaker: Prof Stylianos Perrakis, John Molson School of Business, Concordia Univ, Montreal Abstract: The stochastic dominance (SD) approach is applied to the valuation of index options in frictionless markets for […]
Inverse Problem for Forecasting Stock Options Prices
via ZoomSpeaker: Dr. Kirill Golubnichiy, Dept of Math & Statistics, Texas Tech University Abstract: We present a new heuristic mathematical model for accurate forecasting of prices of stock options for 1-2 […]