Speaker: Prof. Aaron YS Kim, College of Business, Stony Brook University Abstract: In this study, we discuss a machine learning technique to price exotic options with two underlying assets based on a non-Gaussian Levy process model. We introduce a new multivariate Levy process model named the generalized normal tempered stable (gNTS) process, which is defined […]
Speaker: Prof. Md. Rayfayet Alam, Dept. of Finance and Economics, University of Tennessee at Chattanooga Abstract: This study evaluates the potential of gold-backed cryptocurrencies, such as Tether Gold and PAX Gold, as a hedge and safe haven against global, regional, and categorical financial stresses. Hedge and safe haven properties of gold-backed cryptocurrencies are also compared […]
Speaker: Prof. Ralf Korn, Dept. of Mathematics, RPTU Kaiserslautern-Landau Abstract: Since August 2022 customers have to be asked if they are interested in sustainable investment when entering a pension contract. Hence, the provider has to be prepared to offer suitable investment opportunities. Further, the provider has to manage the new risks and chances of those […]
Speaker: Prof. Agata Kliber, Dept of Applied Mathematics, Poznan University of Economics & Business co-Authors: Prof. Krzysztof Echaust, Dept. of Operations Research & Mathematical Economics, Poznan University of Economics & Business Prof. Małgorzata Just, Dept. of Finance & Accounting, Poznan University of Life Sciences Abstract: The article aims to determine whether any hedging strategy against […]
Speaker: Prof. Seda Erdogan, Dept. International Trade & Finance, Kadir Has University Abstract: This paper investigates the relationship between firms' engagement in environmental, social, and governance (ESG) activities and corporate investment efficiency, using 1,094 firms from 21 countries in Europe, covering the years 2002–2019. We conduct our estimations using fixed effects panel data techniques and […]
Speaker: Prof. Steven P. Clark, Dept. of Finance, UNC Charlotte Abstract: We introduce a novel option pricing model that features stochastic interest rates along with an underlying price process driven by stochastic string shocks combined with pure jump Lévy processes. Substituting the Brownian motion in the Black–Scholes model with a stochastic string leads to a […]
Title: 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 on time changed Lévy processes and study its ability of reproducing the joint S&P500/VIX implied volatility smiles and the VIX futures prices - a problem […]
Speaker: 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, with Value-at-Risk and Expected Shortfall being prime examples. They are induced by law-based risk measures, called their generators, evaluated on the tail distribution. This talk […]
Speaker: 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 some statistical issues on risk measures. Examples we consider are value-at-risk, expected shortfall, expectiles, and distortion risk measures. Several methods of estimating these risk measures […]
Speaker: 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 developed. The hybrid model keeps the traditional option pricing model with the same input parameters while simultaneously adjusting the model with neural network methods to […]
Speaker: 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 a wide class of stochastic volatility (SV) processes. SD allows for the derivation of a unique, exponential option pricing kernel based on the physical underlying […]
Speaker: 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 trading days ahead of the present one. This new technique uses the Black-Scholes equation supplied by new intervals for the underlying stock and new initial […]