Loading view.
Convergence of the fixed-point iteration for the Bass Local Volatility model
via ZoomSpeaker 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 […]
Risk budgeting portfolios: Existence and computation
via ZoomSpeaker: 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 […]
On subordinated generalizations of 3 classical models of option pricing
via ZoomSpeaker: 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 […]
Good for the Planet, Good for the Wallet: The ESG Impact on Financial Performance in India
Department of Mathematics & Statistics, TTUSpeaker: 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 […]
On the implied volatility of European and Asian call options under the stochastic volatility Bachelier model
via ZoomSpeaker: 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 […]
Unpacking the ESG ratings: Does one size fit all?
via ZoomSpeaker: Prof. Monica Billio, Department of Economics, Ca’ Foscari University of Venice Abstract: As ESG investing goes mainstream, investors increasingly rely on ESG ratings when making investment decisions. This study […]
On the Bachelier implied volatility at extreme strikes
via ZoomSpeaker: Dr. Fabien Le Floc’h, Nasdsaq Abstract: Roger Lee proved that the Black-Scholes implied variance can not grow faster than linearly in log-moneyness. This paper investigates what happens in the […]
Bayesian Optimization of ESG Financial Investments
via ZoomSpeaker: Prof Eduardo César Garrido Merchán, Faculty of Economics and Business Sciences, Comillas Universidad Pontificia Abstract: Financial experts and analysts seek to predict the variability of financial markets. In particular, […]
Supermartingale Brenier’s Theorem with full-marginals constraint
via ZoomSpeaker: Prof. Dominykas Norgilas, Department of Mathematics, North Carolina State University Abstract: We explicitly construct the supermartingale version of the Fréchet-Hoeffding coupling in the setting with infinitely many marginal constraints. […]
Semi-analytic pricing of American options in some time-dependent jump-diffusion models
via ZoomSpeaker: Prof. Andrey Itkin, Department of Risk and Financial Engineering, Tandon School of Engineering, NYU Abstract: In this paper we propose a semi-analytic approach to pricing American options for some […]