Seminar Cancelled
via ZoomTitle: Time changes, Fourier transforms and the joint calibration to the S&P500/VIX smiles Speaker: Prof. Laura Ballotta, Bayes Business School, City University of London Abstract: We develop a model based […]
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Elicitability and identifiability of tail risk measures
via ZoomSpeaker: Dr. Tobias Fissler, Department of Mathematics, ETH Zurich Abstract: Tail risk measures are fully determined by the distribution of the underlying loss beyond its quantile at a certain level, […]
Estimation and backtesting of risk measures with emphasis on distortion risk measures
via ZoomSpeaker: Prof. Hideatsu Tsukahara, Dept.. of Economics, Seijo University, Tokyo Abstract: Statistical methodology has an important role to play in risk measurement. In this paper, we will review and discuss […]
Pricing options with a new hybrid neural network model
via ZoomSpeaker: Dr. Yossi Shvimer, Research Associate, School of Finance and Management, SOAS University of London Abstract: A novel hybrid option pricing model using a deep learning neural network has been […]
Stochastic dominance, stochastic volatility, and jump risk: new theory interprets old results
via ZoomSpeaker: Prof Stylianos Perrakis, John Molson School of Business, Concordia Univ, Montreal Abstract: The stochastic dominance (SD) approach is applied to the valuation of index options in frictionless markets for […]
Inverse Problem for Forecasting Stock Options Prices
via ZoomSpeaker: Dr. Kirill Golubnichiy, Dept of Math & Statistics, Texas Tech University Abstract: We present a new heuristic mathematical model for accurate forecasting of prices of stock options for 1-2 […]
Deep learning-based portfolio optimization with transaction costs
via ZoomSpeaker: Prof. Aihua (Eva) Zhang, College of Science, Math & Tech., Wenzhou-Kean University, Wenzhou China Abstract: In order to obtain the optimal portfolio strategy maximizing the accumulated terminal wealth with […]
Robust estimation of the range-based GARCH model: Forecasting volatility, value at risk and expected shortfall of cryptocurrencies
via ZoomSpeaker: Prof. Piotr Fiszeder, Dept. Econ. & Stat., Nicolaus Copernicus Univ., Torun, Poland Abstract: Traditional volatility models do not work well when volatility changes rapidly and in the presence of […]
Hedonic Models Incorporating Environmental, Social, and Governance Factors for Time Series of Average Annual Home Prices
via ZoomSpeaker: Jason Bailey, Dept. of Mathematics & Statistics, Texas Tech University Abstract:</abstract} Using data from 2000 through 2022, we analyze the predictive capability of the annual numbers of new home […]
Do online attention and sentiment affect cryptocurrencies’ correlations?
via ZoomSpeaker: Prof. Aurelio Bariviera, Dept. of Business, Universitat Rovira i Virgili, Reus, Spain Abstract: This paper adopts a versatile conditional correlation approach to explore daily seasonality in the major cryptocurrencies. […]
Multi-asset return risk measures
via ZoomSpeaker:</strong? Dr. Christian Laudagé, Dept. Mathematics, RPTU Kaiserslautern-Landau Abstract: We revisit the recently introduced concept of return risk measures (RRMs). We extend it by allowing risk management via multiple so-called […]
Water as a commodity in hydropower generation
via ZoomSpeaker: Prof. Eduardo Schwartz, Beedie School of Business, Simon Fraser Univ. Abstract: The increased impact of extreme weather events and draughts has prompted the rapid growth of the water market. […]