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X-WR-CALNAME:Mathematical Finance
X-ORIGINAL-URL:https://www.math.ttu.edu/mathematicalfinance
X-WR-CALDESC:Events for Mathematical Finance
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TZOFFSETFROM:-0600
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DTSTART:20240310T080000
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DTSTART:20241103T070000
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DTSTART;TZID=America/Chicago:20240209T140000
DTEND;TZID=America/Chicago:20240209T150000
DTSTAMP:20260430T053144
CREATED:20230809T162110Z
LAST-MODIFIED:20231128T225520Z
UID:1140-1707487200-1707490800@www.math.ttu.edu
SUMMARY:Good for the Planet\, Good for the Wallet: The ESG Impact on Financial Performance in India
DESCRIPTION:Speaker: Prof. Tauhidul Islam Tanin\, EGADE Business School\, Technologico de Monterrey \nAbstract: We examine the impact of ESG practices on financial performance among Nifty 50 companies in India from 2015 to 2022. Utilizing fixed-effects panel quantile regression\, we observe that the relationship between ESG practices and financial profitability varies across the ROE distribution. While the environmental pillar score and the governance pillar score negatively impact ROE across almost all quantiles with high statistical significance\, the social pillar score exhibits mostly an insignificant relationship. Its impact is negative\, but only mildly statistically significant at the lower end of the ROE distribution. The findings and their implications are important for investors\, corporate executives\, and policymakers.
URL:https://www.math.ttu.edu/mathematicalfinance/event/good-for-the-planet-good-for-the-wallet-the-esg-impact-on-financial-performance-in-india/
LOCATION:Department of Mathematics & Statistics\, TTU
CATEGORIES:Seminars,Spring 2024
ATTACH;FMTTYPE=image/png:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/08/Tauhidul-Islam-TANIN.png
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DTSTART;TZID=America/Chicago:20240216T120000
DTEND;TZID=America/Chicago:20240216T130000
DTSTAMP:20260430T053144
CREATED:20231114T173843Z
LAST-MODIFIED:20231116T214834Z
UID:1217-1708084800-1708088400@www.math.ttu.edu
SUMMARY:On the implied volatility of European and Asian call options under the stochastic volatility Bachelier model
DESCRIPTION:Speaker: Makar Pravosud\, Department of Economics and Business\, Universitat Pompeu Fabra \nAbstract:  In this paper we study the short-time behavior of the at-the-money implied volatility for European and arithmetic Asian call options with fixed strike price. The asset price is assumed to follow the Bachelier model with a general stochastic volatility process. Using techniques of the Malliavin calculus such as the anticipating Itô’s formula we first compute the level of the implied volatility when the maturity converges to zero. Then\, we find a short maturity asymptotic formula for the skew of the implied volatility that depends on the roughness of the volatility model. We apply our general results to the SABR and fractional Bergomi models\, and provide some numerical simulations that confirm the accurateness of the asymptotic formula for the skew.
URL:https://www.math.ttu.edu/mathematicalfinance/event/on-the-implied-volatility-of-european-and-asian-call-options-under-the-stochastic-volatility-bachelier-model/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2024
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/11/Pravosud-1.jpg
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DTSTART;TZID=America/Chicago:20240223T140000
DTEND;TZID=America/Chicago:20240223T150000
DTSTAMP:20260430T053144
CREATED:20231114T173948Z
LAST-MODIFIED:20231115T145502Z
UID:1220-1708696800-1708700400@www.math.ttu.edu
SUMMARY:Unpacking the ESG ratings: Does one size fit all?
DESCRIPTION:Speaker: Prof. Monica Billio\, Department of Economics\, Ca’ Foscari University of Venice \nAbstract: As ESG investing goes mainstream\, investors increasingly rely on ESG ratings when making investment decisions. This study aims to delve into the overall ESG ratings provided by four prominent ESG data providers\, focusing on their accounting methodologies\, the relevance of the three pillars (environment\, social\, and governance)\, and the key performance indicators (KPIs) that drive these ratings. By examining a sample of European and UK companies\, we question the significance of the governance and social pillars in explaining the overall ESG scores. Our findings highlight a subset of indicators that exhibit the highest correlation with ESG scores\, including the presence of external audits\, an environmental supply chain policy\, and target emissions. This letter contributes to the ongoing ESG credibility debate and emphasizes the need for further transparency of ESG ratings.
URL:https://www.math.ttu.edu/mathematicalfinance/event/unpacking-the-esg-ratings-does-one-size-fit-all/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2024
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/11/billio.jpg
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