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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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TZID:America/Chicago
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TZOFFSETFROM:-0600
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DTSTART:20230312T080000
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DTSTART:20231105T070000
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DTSTART;TZID=America/Chicago:20231103T140000
DTEND;TZID=America/Chicago:20231103T150000
DTSTAMP:20260417T060451
CREATED:20230828T193650Z
LAST-MODIFIED:20230828T193650Z
UID:1175-1699020000-1699023600@www.math.ttu.edu
SUMMARY:When ESG talks: ESG tone of 10-K reports and its significance to stock markets
DESCRIPTION:Speaker: Dr. Konstantin Ignatov\, WHU – Otto Beisheim School of Management \nAbstract Since the ESG topic consistently gains on importance in the investment universe\, companies provide investors with information regarding recent and future ESG activities through different reporting channels. The most recent research finds relevance of ESG-related corporate activities for formation of investors’ opinion regarding companies’ valuations and growth prospects. Based on a sample of more than seventeen thousand unique 10-K reports of US companies filed with SEC in period 2013 to 2019 and the word-power methodology proposed by Jegadeesh and Wu (2013)\, this study also shows evidence for significant relation of ESG textual tone of 10-K reports to stock market returns of filing companies around the report filing dates. Using the ESG linguistic dictionary recently proposed by Baier\, Berninger\, and Kiesel (2020)\, this study shows evidence for significant relation of social and governance-related topics disclosure to stock returns\, while environmental narratives being ignored by the markets. When looking at individual words from the ESG lexicon\, such words as “community”\, “health”\, “control” imply positive reaction of markets\, while “discrimination”\, “embezzlement”\, and “crime” are related to negative returns. The robustness analysis based on the inverse document frequency word weightings and actual ESG performance scores confirms the significance of ESG information disclosure of 10-K reports for investors. Thus\, this study sheds light on the mechanics of ESG information perception and its influence on capital markets.
URL:https://www.math.ttu.edu/mathematicalfinance/event/when-esg-talks-esg-tone-of-10-k-reports-and-its-significance-to-stock-markets/
LOCATION:via Zoom
CATEGORIES:Fall 2023,Seminars
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/08/ignatov.jpg
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DTSTART;TZID=America/Chicago:20231108T140000
DTEND;TZID=America/Chicago:20231108T150000
DTSTAMP:20260417T060451
CREATED:20231027T153049Z
LAST-MODIFIED:20231031T180108Z
UID:1197-1699452000-1699455600@www.math.ttu.edu
SUMMARY:Modeling Bitcoin Volatility: A Dual Perspective Analysis
DESCRIPTION:Speaker: Prof. Abootaleb Shirvani\, Dept. of Mathematical Sciences\, Kean University \nAbstract: Understanding the volatility of speculative assets is critical for investment decisions. Given that Bitcoin is considered\, at least by some\, a potential alternative to fiat money\, its volatility characteristics are of particular concern. It is\, therefore\, essential to comprehend and appropriately model the process governing Bitcoin’s volatility. \nIn this presentation\, we offer two perspectives for analyzing Bitcoin’s volatility. First\, we introduce a doubly subordinated Levy process called the Normal Double Inverse Gaussian to model the time series properties of the cryptocurrency Bitcoin. We also developed an arbitrage-free option pricing model based on the NDIG process\, providing a fresh perspective on Bitcoin valuation. \nWithin this model\, we derive two distinct measures of Bitcoin volatility. The first measure combines NDIG option pricing with the Chicago Board Options Exchange VIX model to compute an implied volatility measure that reflects the viewpoints of options traders. The second measure investigates implied volatility in the real world\, considering the perspectives of spot traders and utilizing an intrinsic time formulation. \nBoth volatility measures are compared to a historical standard deviation-based volatility. With appropriate linear scaling\, the NDIG process perfectly captures the observed in-sample volatility.
URL:https://www.math.ttu.edu/mathematicalfinance/event/title-tba/
LOCATION:via Zoom
CATEGORIES:Fall 2023,Seminars
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2021/06/Screen-Shot-2021-06-29-at-10.26.22-PM.jpg
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BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20231110T120000
DTEND;TZID=America/Chicago:20231110T130000
DTSTAMP:20260417T060451
CREATED:20230809T170959Z
LAST-MODIFIED:20230817T183926Z
UID:1146-1699617600-1699621200@www.math.ttu.edu
SUMMARY:Optimal Portfolio with Sustainable Attitudes under Cumulative Prospect Theory
DESCRIPTION:Speaker: Prof. Massimiliano Kaucic\, Department of Economics\, Business\, Mathematics & Statistical Sciences\, University of Trieste \nAbstract: In the last five years\, extreme events such as the COVID-19 pandemic and the Ukrainian crisis have highlighted the importance of corporate social responsibility and sustainable principles. Consequently\, the investment process is changing toward more ethical choices. In this context\, we extend the classical optimization framework under the cumulative prospect theory (CPT) in two directions. We first consider an agent who maximizes a financial CPT-value function preselecting the assets to be included in the portfolio based on their environmental\, social\, and governance (ESG) scores. Then\, we develop a bi-objective model that optimizes financial and sustainable CPT-value functions at the same time. Numerical results obtained on an investable universe from the constituents of the STOXX Europe 600 show that introducing ESG information improves the portfolio’s financial performance.
URL:https://www.math.ttu.edu/mathematicalfinance/event/esg-ratings-and-portfolio-optimization-a-real-world-analysis-on-euro-stoxx/
LOCATION:via Zoom
CATEGORIES:Fall 2023,Seminars
ATTACH;FMTTYPE=image/png:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/08/Kaucic.png
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BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20231124T140000
DTEND;TZID=America/Chicago:20231124T150000
DTSTAMP:20260417T060451
CREATED:20230809T172746Z
LAST-MODIFIED:20230809T172941Z
UID:1149-1700834400-1700838000@www.math.ttu.edu
SUMMARY:No Math Finance seminar - Thanksgiving break
DESCRIPTION:
URL:https://www.math.ttu.edu/mathematicalfinance/event/no-math-finance-seminar-thanksgiving-break/
CATEGORIES:Fall 2023,Seminars
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/01/unhappy.jpg
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