Speaker: Prof. Ruiqi Liu, Department of Mathematics & Statistics, Texas Tech University Abstract: This paper introduces a novel approach for estimating structural break ratios in the factor loadings of high-dimensional […]
Speaker: Massimo Guidolin, Department of Finance, Bocconi University, Milan, Italy Abstract: We test the performance of two ESG score-driven quantitative signals on a large, multi-national crosssection of European stock returns. […]
Speaker: Prof. Lorenzo Mercuri, Dept. of Economics, Management & Quantitative Finance Methods, University of Milan Abstract: The paper investigates the effect of the label green in bond markets from the […]
Speaker: Dr. Konstantin Ignatov, WHU - Otto Beisheim School of Management Abstract Since the ESG topic consistently gains on importance in the investment universe, companies provide investors with information regarding […]
Speaker: Prof. Abootaleb Shirvani, Dept. of Mathematical Sciences, Kean University Abstract: Understanding the volatility of speculative assets is critical for investment decisions. Given that Bitcoin is considered, at least by […]
Speaker: Prof. Massimiliano Kaucic, Department of Economics, Business, Mathematics & Statistical Sciences, University of Trieste Abstract: In the last five years, extreme events such as the COVID-19 pandemic and the […]
Speaker Dr. Gudmund Pammer, Dept. of Mathematics, ETH Zürich Abstract: The Bass local volatility model introduced by Backhoff-Veraguas–Beiglböck–Huesmann–Källblad is a Markov model perfectly calibrated to vanilla options at finitely many […]
Speaker: Prof. Olivier Guéant, Department of Applied Mathematics, Université Paris 1 Panthéon-Sorbonne Abstract: Modern portfolio theory has provided for decades the main framework for optimizing portfolios. Because of its sensitivity […]
Speaker: Dr. Grzegorz Krzyżanowski, Hugo Steinhaus Center, Faculty of Pure and Applied Mathematics, Wroclaw University of Science and Technology Abstract: We will investigate the relation between Bachelier and Black-Scholes models […]
Speaker: Prof. Tauhidul Islam Tanin, EGADE Business School, Technologico de Monterrey Abstract: We examine the impact of ESG practices on financial performance among Nifty 50 companies in India from 2015 […]
Speaker: Makar Pravosud, Department of Economics and Business, Universitat Pompeu Fabra Abstract: In this paper we study the short-time behavior of the at-the-money implied volatility for European and arithmetic Asian […]
