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 […]
Speaker: 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 […]
Speaker: 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 […]
Speaker: 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, […]
Speaker: 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. […]
Speaker: 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 […]
Speaker: Prof. Abderrahim Taamouti, Management School, University of Liverpool Abstract: The Sharpe-ratio-maximizing portfolio becomes questionable under non-Gaussian returns, and it rules out, by construction, systemic risk, which can negatively affect […]
