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 […]
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: 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. […]
Speaker: 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 & […]
Speaker: Prof. Seda Erdogan, Dept. International Trade & Finance, Kadir Has University Abstract: This paper investigates the relationship between firms' engagement in environmental, social, and governance (ESG) activities and corporate […]
Speaker: Prof. Steven P. Clark, Dept. of Finance, UNC Charlotte Abstract: We introduce a novel option pricing model that features stochastic interest rates along with an underlying price process driven […]
Title: 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 […]
Speaker: 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, […]