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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 […]
Portfolio selection under non-gaussianity and systemic risk: A machine learning based forecasting approach
via ZoomSpeaker: 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 […]
Hedging with temporary price impact
via ZoomSpeaker: 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 […]
Gold-backed cryptocurrencies: A hedging tool against categorical and regional financial stress
via ZoomSpeaker: 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 […]
Elementary function solutions to the Bachelier model generated by Lie point symmetries
via ZoomSpeaker: 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 […]
Quanto Option Pricing on a Multivariate Lévy Process Model with Generative Artificial Intelligence
via ZoomSpeaker: 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 […]
Gold-backed cryptocurrencies: A hedging tool against categorical and regional financial stress
via ZoomSpeaker: 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 […]
Optimal Portfolios with Sustainable Assets – Aspects for Life Insurers
via ZoomSpeaker: 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. […]
To hedge or not to hedge? Cryptocurrencies, gold and oil against stock market risk
via ZoomSpeaker: 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 & […]