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 […]
Speaker: Prof. Peter Bank, Department of Mathematics, Technical University of Berlin Abstract: We consider the problem of hedging a European contingent claim in a Bachelier model with temporary price impact […]
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 […]
Speaker: Dr. Evangelos Melas, Department of Mathematics, University of Thessaly Abstract: Under the recent negative interest rate situation, the Bachelier model has been attracting attention and adopted for evaluating the […]
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 […]
