Loading view.
Recent advances in stochastic volatility jump diffusions: Calibration and exotic option pricing
via ZoomSpeaker: Dr. Jean-Phillipe Aguilar, Head of Pricing Models Audit, Societe Generale, Paris La Defense Abstract:Stochastic Volatility Jump Diffusion (SVJ) models combine the advantages of both stochastic volatility and jump models, […]
Risk-aware Trading Portfolio Optimization
via ZoomSpeakers: Dr. Marco Bianchetti, Head of Market and Counterparty Risk IMA Methodologies, Intesa Sanpaolo, Milan, Italy Dr Fabio Vitale, Senior Researcher, CENTAI Institute, Turin, Italy Abstract: We investigate portfolio optimization […]
New runs-based approach to testing value at risk forecasts
via ZoomSpeaker: Prof. Marta Malecka, Dept. of Statistical Methods, Univ. of Lodz, Lodz, Poland Abstract: The reformed Basel framework has left value at risk (VaR) as a basic tool of validating […]
Beyond Traditional Models: Assessing the Role of LSTM Networks in Volatility Prediction
via ZoomSpeaker: Prof. Massimo Guidolin, Baffi Carefin Center, Bocconi Univ., Milan Abstract: This paper examines the out-of-sample accuracy of recurrent artificial neural networks (ANNs) compared to traditional econometric models for the […]
Multi-hypothesis prediction for portfolio optimization: A structured ensemble learning approach to risk diversification
via ZoomSpeaker: Dr. Alejandro Rodriguez Dominguez, Director of Quantitative Analysis and Artificial Intelligence, Miralta Finance Bank, Madrid. Abstract: We introduce a novel framework for portfolio construction, covering both selection and optimization, […]
Option Pricing with a Compound CARMA(p,q)-Hawkes
via ZoomSpeaker: Prof. Lorenzo Mercuri, Dept of Economics, Management and Quantitative Methods, Univ. of Milan Abstract: A self-exciting point process with a continuous-time autoregressive moving average intensity process, named CARMA(p,q)-Hawkes model, […]
A general framework for pricing and hedging under local viability
via ZoomSpeaker: Prof. Huy Chau, Dept. Mathematics, University of Manchester Abstract: In this paper, a new approach for solving the problems of pricing and hedging derivatives is introduced in a general […]
Robust Bayesian Portfolio Optimization
via ZoomSpeaker: Dr. Carlos Andres Zapata Quimbayo, ODEON, Universidad Externado de Colombia, Bogota Abstract: We implement a robust Bayesian framework for portfolio optimization that integrates Bayesian inference with robust optimization techniques. […]
Decomposition of the option pricing formula for infinite activity jump-diffusion stochastic volatility models
via ZoomSpeaker: Prof. Josep Vives, Department of Economical, Financial and Actuarial Mathematics, University of Barcelona Abstract: Let the log returns of an asset X(t) = log(S(t)) be defined on a risk […]
