Speaker: 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 […]
Speaker: 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 […]
Speaker: 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 […]
Speaker: 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 […]
Speaker: 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 […]
Speaker: 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 […]
Speaker: 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. […]
Speaker:</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 […]
Speaker: 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. […]
Speaker: Prof. Giuseppe Storti, Dept. Econ & Stat., University of Salerno, Fisciano, IT Abstract: This paper compares the accuracy of tail risk forecasts with a focus on including realized skewness […]
Speaker: Assoc. Prof. Malick Fall, Center for Research in Economics and Management, Univ. of Rennes, Fr. Abstract: The expected return and covariance matrix are commonly calculated on a calendar time […]
