Speaker: Dr. Hirbod Assa, Founding team | Quantitative researcher, Edge Technologies; Director and founder, Model Library Ltd. Abstract: In this paper, we utilize data from the IPCC to develop a predictive model for the Palmer Drought Severity Index (PDSI). Our approach involves a two-step modeling process: initially applying a random forest regression, followed by a […]
Speaker: Prof. Álvaro Guinea Julia, Dept. Industrial Org., Comillas Pontifical University ICADE-ICAI, Madrid Abstract: This work introduces a new stochastic volatility model with delay parameters in the volatility process, extending the Barndorff–Nielsen and Shephard model. It establishes an analytical expression for the log price characteristic function, which can be applied to price European options. Empirical […]
Speaker: Prof. Dr. Dirk Soehnholz, CEO: Soehnholz ESG GmbH and Soehnholz Asset Management GmbH; Prof. of Asset Management, Leipzig University Abstract: Responsible investments are booming, but criticism has been growing, too. I start by outlining the different dimensions and characteristics of responsible investments. I also describe a free tool to develop bespoke, responsible investment policies […]