BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//Mathematical Finance - ECPv5.7.0//NONSGML v1.0//EN
CALSCALE:GREGORIAN
METHOD:PUBLISH
X-WR-CALNAME:Mathematical Finance
X-ORIGINAL-URL:https://www.math.ttu.edu/mathematicalfinance
X-WR-CALDESC:Events for Mathematical Finance
BEGIN:VTIMEZONE
TZID:America/Chicago
BEGIN:DAYLIGHT
TZOFFSETFROM:-0600
TZOFFSETTO:-0500
TZNAME:CDT
DTSTART:20230312T080000
END:DAYLIGHT
BEGIN:STANDARD
TZOFFSETFROM:-0500
TZOFFSETTO:-0600
TZNAME:CST
DTSTART:20231105T070000
END:STANDARD
BEGIN:DAYLIGHT
TZOFFSETFROM:-0600
TZOFFSETTO:-0500
TZNAME:CDT
DTSTART:20240310T080000
END:DAYLIGHT
BEGIN:STANDARD
TZOFFSETFROM:-0500
TZOFFSETTO:-0600
TZNAME:CST
DTSTART:20241103T070000
END:STANDARD
END:VTIMEZONE
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20230911T120000
DTEND;TZID=America/Chicago:20230911T130000
DTSTAMP:20260425T014025
CREATED:20230815T203638Z
LAST-MODIFIED:20230828T142103Z
UID:1157-1694433600-1694437200@www.math.ttu.edu
SUMMARY:Seminar Cancelled - Deep Reinforcement Learning for ESG financial portfolio management
DESCRIPTION:Speaker: Prof. Eduardo C. Garrido Merchán\, Faculty of Economic and Business Sciences (ICADE)\, Comillas Universidad Pontifica \nAbstract: This paper investigates the application of Deep Reinforcement Learning (DRL) for Environment\, Social\, and Governance (ESG) financial portfolio management\, with a specific focus on the potential benefits of ESG score-based market regulation. We leveraged an Advantage Actor-Critic (A2C) agent and conducted our experiments using environments encoded within the OpenAI Gym\, adapted from the FinRL platform. The study includes a comparative analysis of DRL agent performance under standard Dow Jones Industrial Average (DJIA) market conditions and a scenario where returns are regulated in line with company ESG scores. In the ESG-regulated market\, grants were proportionally allotted to portfolios based on their returns and ESG scores\, while taxes were assigned to portfolios below the mean ESG score of the index. The results intriguingly reveal that the DRL agent within the ESG-regulated market outperforms the standard DJIA market setup. Furthermore\, we considered the inclusion of ESG variables in the agent state space\, and compared this with scenarios where such data were excluded. This comparison adds to the understanding of the role of ESG factors in portfolio management decision-making. We also analyze the behaviour of the DRL agent in IBEX 35 and NASDAQ-100 indexes. Both the A2C and Proximal Policy Optimization (PPO) algorithms were applied to these additional markets\, providing a broader perspective on the generalization of our findings. This work contributes to the evolving field of ESG investing\, suggesting that market regulation based on ESG scoring can potentially improve DRL-based portfolio management\, with significant implications for sustainable investing strategies.
URL:https://www.math.ttu.edu/mathematicalfinance/event/deep-reinforcement-learning-for-esg-financial-portfolio-management/
LOCATION:via Zoom
CATEGORIES:Fall 2023,Seminars
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/08/merchan.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20230922T140000
DTEND;TZID=America/Chicago:20230922T150000
DTSTAMP:20260425T014025
CREATED:20230807T163516Z
LAST-MODIFIED:20230807T171515Z
UID:1129-1695391200-1695394800@www.math.ttu.edu
SUMMARY:ESG integration strategy for stocks portfolios based on a resampling methodology with a multivariate normal distribution
DESCRIPTION:Speaker: Prof. Antonio Francisco de Almeida da Silva Jr.\, Department of Business Administration\, Universidade Federal de Bahia\, Salvador Brazil \nabstract: The aim of the work is to present a framework for ESG integration and to analyze the consequences of considering environmental\, social and governance (ESG) factors in the optimization of investment portfolios. We use a multivariate normal distribution of returns and we generate portfolios by an optimization process combined with a Monte Carlo simulation. After applying an ESG filtering strategy to portfolios\, we show that the ex-ante costs (optimization process) of the ESG integration strategy may be very low compared to other approaches. The methodology presented in this paper avoid the complexity of modifying the utility function to include a new objective.
URL:https://www.math.ttu.edu/mathematicalfinance/event/esg-integration-strategy-for-stocks-portfolios-based-on-a-resampling-methodology-with-a-multivariate-normal-distribution/
LOCATION:via Zoom
CATEGORIES:Fall 2023,Seminars
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/08/AFRANC.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20230929T140000
DTEND;TZID=America/Chicago:20230929T150000
DTSTAMP:20260425T014025
CREATED:20230809T161037Z
LAST-MODIFIED:20230809T161332Z
UID:1136-1695996000-1695999600@www.math.ttu.edu
SUMMARY:Folly and Fantasy in Finance
DESCRIPTION:Speaker: Prof. Dilip Madan\, Robert H. Smith School of Business\, University of Maryland \nAbstract: Strategies for selecting hedging measures that both respect certain market values of cash flows and yet maintain control on their distance from physical measures are advocated\, proposed and implemented. The hedging criterion is the maximization of a conservative valuation of the hedged position. Such values are modeled as nonlinear expectations based on measure distortions. Measure selections and conservative value maximizing hedges are illustrated for options on SPY and nine sector ETFs. \nSpeaker Bio: Dilip Madan is Emeritus Professor of Finance at the Robert H. Smith School of Business. He specializes in Mathematical Finance. Currently he serves as a consultant to Morgan Stanley\, Meru Capital and Caspian Capital. He has also consulted with Citigroup\, Bloomberg\, the FDIC and Wachovia Securities. He is a founding member and Past President of the Bachelier Finance Society. He received the 2006 von Humboldt award in applied mathematics\, was the 2007 Risk Magazine Quant of the year\, received the 2008 Medal for Science from the University of Bologna and held the 2010 Eurandom Chair. He is managing editor of Mathematical Finance\, co-editor of the Review of Derivatives Research\, associate editor of the Journal of Credit Risk and Quantitative Finance. His work is dedicated to improving the quality of financial valuation models\, enhancing the performance of investment strategies\, and advancing the efficiency of risk allocation in modern economies. Recent major contributions have appeared in Mathematical Finance\, Finance and Stochastics\, Quantitative Finance\, the Journal of Computational Finance\, The International Journal of Theoretical and Applied Finance\, The Journal of Risk\, The Journal of Credit Risk among other journals.
URL:https://www.math.ttu.edu/mathematicalfinance/event/folly-and-fantasy-in-finance/
LOCATION:via Zoom
CATEGORIES:Fall 2023,Seminars
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/08/Madan.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20231006T140000
DTEND;TZID=America/Chicago:20231006T150000
DTSTAMP:20260425T014025
CREATED:20230724T173619Z
LAST-MODIFIED:20230725T205237Z
UID:1085-1696600800-1696604400@www.math.ttu.edu
SUMMARY:Identification and Estimation of Parameter Instability in High Dimensional Approximate Factor Models
DESCRIPTION:Speaker: Prof. Ruiqi Liu\, Department of Mathematics & Statistics\, Texas Tech University \nAbstract: This paper introduces a novel approach for estimating structural break ratios in the factor loadings of high-dimensional approximate factor models\, where the breaks occur at unknown common dates and the number of factors is unknown. Our method is based on the observation that the sum of the numbers of pseudo factors in the pre- and post-split subsamples is minimized when the sample is split at the structural break. By appropriately transforming these criteria using the eigenvalue ratios of the covariance matrices of the pre-  and post-split subsamples\, we derive consistent estimators for the structural break ratios. Notably\, our framework exhibits remarkable flexibility in accommodating weak factors and can be easily extended to handle multiple breaks. We also introduce a data-driven process to determine the number of breaks. Monte Carlo simulations demonstrate good performance of the proposed estimators. Furthermore\, in an empirical analysis of the FRED-MD dataset\, we identify two structural breaks around January 1983 and March 2009.
URL:https://www.math.ttu.edu/mathematicalfinance/event/identification-and-estimation-of-parameter-instability-in-high-dimensional-approximate-factor-models/
LOCATION:via Zoom
CATEGORIES:Fall 2023,Seminars
ATTACH;FMTTYPE=image/png:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/07/R_Liu.png
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20231013T120000
DTEND;TZID=America/Chicago:20231013T130000
DTSTAMP:20260425T014025
CREATED:20230725T204825Z
LAST-MODIFIED:20230725T210003Z
UID:1106-1697198400-1697202000@www.math.ttu.edu
SUMMARY:Strong vs. Stable: The Impact of ESG Ratings Momentum and their Volatility on the Cost of Equity Capital
DESCRIPTION:Speaker: Massimo Guidolin\, Department of Finance\, Bocconi University\, Milan\, Italy \nAbstract: We test the performance of two ESG score-driven quantitative signals on a large\, multi-national crosssection of European stock returns. In particular\, we ask whether in the cross-section\, the cost of equity capital is more strongly affected by the (upward) “slope” (identified as momentum over a period of time) of their ESG scores or by their “stability” (identified as the volatility of the scores over a period of time)\, measured around a given slope. We find that 1-month\, short-term ESG momentum is priced in the cross-section of stock returns and that it lowers the ex-ante cost of capital (at the same time causing realised ex-post average abnormal returns). Short-term ESG momentum may represent a novel\, priced systematic risk factor. There is equally strong evidence that a ESG spread strategy that buys (sells) low (high) ESG score volatility stocks leads to a significant alpha and alters the ex-ante cost of capital. Both quantitative ESG signals lead to portfolio sorts and long-short strategies that increase the speed of improvement of the aggregate sustainability profile of the resulting portfolios with no costs in terms of average ESG scores or their stability. (This is joint work with I. Berk and M. Magnani.)
URL:https://www.math.ttu.edu/mathematicalfinance/event/strong-vs-stable-the-impact-of-esg-ratings-momentum-and-their-volatility-on-the-cost-of-equity-capital/
LOCATION:via Zoom
CATEGORIES:Fall 2023,Seminars
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/07/Guidolin-e1751900326458.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20231027T120000
DTEND;TZID=America/Chicago:20231027T130000
DTSTAMP:20260425T014025
CREATED:20230828T161431Z
LAST-MODIFIED:20230828T161431Z
UID:1181-1698408000-1698411600@www.math.ttu.edu
SUMMARY:Investigating Short-Term Dynamics in Green Bond Markets
DESCRIPTION:Speaker: Prof. Lorenzo Mercuri\, Dept. of Economics\, Management & Quantitative Finance Methods\, University of Milan \nAbstract: The paper investigates the effect of the label green in bond markets from the lens of the trading activity. The idea is that jumps in the dynamics of returns have a specific memory nature that can be well represented through a self-exciting process. Specifically\, using Hawkes processes where the intensity is described through a continuous time moving average model\, we study the high frequency dynamics of bond prices. We also introduce a bivariate extension of the model that deals with the cross-effect of upward and downward price movements. Empirical results suggest that differences emerge if we consider periods with relevant interest rate announcements\, especially in the case of an issuer operating in the energy market.
URL:https://www.math.ttu.edu/mathematicalfinance/event/investigating-short-term-dynamics-in-green-bond-markets/
LOCATION:via Zoom
CATEGORIES:Fall 2023,Seminars
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/08/mercuri.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20231103T140000
DTEND;TZID=America/Chicago:20231103T150000
DTSTAMP:20260425T014025
CREATED:20230828T193650Z
LAST-MODIFIED:20230828T193650Z
UID:1175-1699020000-1699023600@www.math.ttu.edu
SUMMARY:When ESG talks: ESG tone of 10-K reports and its significance to stock markets
DESCRIPTION:Speaker: Dr. Konstantin Ignatov\, WHU – Otto Beisheim School of Management \nAbstract Since the ESG topic consistently gains on importance in the investment universe\, companies provide investors with information regarding recent and future ESG activities through different reporting channels. The most recent research finds relevance of ESG-related corporate activities for formation of investors’ opinion regarding companies’ valuations and growth prospects. Based on a sample of more than seventeen thousand unique 10-K reports of US companies filed with SEC in period 2013 to 2019 and the word-power methodology proposed by Jegadeesh and Wu (2013)\, this study also shows evidence for significant relation of ESG textual tone of 10-K reports to stock market returns of filing companies around the report filing dates. Using the ESG linguistic dictionary recently proposed by Baier\, Berninger\, and Kiesel (2020)\, this study shows evidence for significant relation of social and governance-related topics disclosure to stock returns\, while environmental narratives being ignored by the markets. When looking at individual words from the ESG lexicon\, such words as “community”\, “health”\, “control” imply positive reaction of markets\, while “discrimination”\, “embezzlement”\, and “crime” are related to negative returns. The robustness analysis based on the inverse document frequency word weightings and actual ESG performance scores confirms the significance of ESG information disclosure of 10-K reports for investors. Thus\, this study sheds light on the mechanics of ESG information perception and its influence on capital markets.
URL:https://www.math.ttu.edu/mathematicalfinance/event/when-esg-talks-esg-tone-of-10-k-reports-and-its-significance-to-stock-markets/
LOCATION:via Zoom
CATEGORIES:Fall 2023,Seminars
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/08/ignatov.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20231108T140000
DTEND;TZID=America/Chicago:20231108T150000
DTSTAMP:20260425T014025
CREATED:20231027T153049Z
LAST-MODIFIED:20231031T180108Z
UID:1197-1699452000-1699455600@www.math.ttu.edu
SUMMARY:Modeling Bitcoin Volatility: A Dual Perspective Analysis
DESCRIPTION:Speaker: Prof. Abootaleb Shirvani\, Dept. of Mathematical Sciences\, Kean University \nAbstract: Understanding the volatility of speculative assets is critical for investment decisions. Given that Bitcoin is considered\, at least by some\, a potential alternative to fiat money\, its volatility characteristics are of particular concern. It is\, therefore\, essential to comprehend and appropriately model the process governing Bitcoin’s volatility. \nIn this presentation\, we offer two perspectives for analyzing Bitcoin’s volatility. First\, we introduce a doubly subordinated Levy process called the Normal Double Inverse Gaussian to model the time series properties of the cryptocurrency Bitcoin. We also developed an arbitrage-free option pricing model based on the NDIG process\, providing a fresh perspective on Bitcoin valuation. \nWithin this model\, we derive two distinct measures of Bitcoin volatility. The first measure combines NDIG option pricing with the Chicago Board Options Exchange VIX model to compute an implied volatility measure that reflects the viewpoints of options traders. The second measure investigates implied volatility in the real world\, considering the perspectives of spot traders and utilizing an intrinsic time formulation. \nBoth volatility measures are compared to a historical standard deviation-based volatility. With appropriate linear scaling\, the NDIG process perfectly captures the observed in-sample volatility.
URL:https://www.math.ttu.edu/mathematicalfinance/event/title-tba/
LOCATION:via Zoom
CATEGORIES:Fall 2023,Seminars
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2021/06/Screen-Shot-2021-06-29-at-10.26.22-PM.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20231110T120000
DTEND;TZID=America/Chicago:20231110T130000
DTSTAMP:20260425T014025
CREATED:20230809T170959Z
LAST-MODIFIED:20230817T183926Z
UID:1146-1699617600-1699621200@www.math.ttu.edu
SUMMARY:Optimal Portfolio with Sustainable Attitudes under Cumulative Prospect Theory
DESCRIPTION:Speaker: Prof. Massimiliano Kaucic\, Department of Economics\, Business\, Mathematics & Statistical Sciences\, University of Trieste \nAbstract: In the last five years\, extreme events such as the COVID-19 pandemic and the Ukrainian crisis have highlighted the importance of corporate social responsibility and sustainable principles. Consequently\, the investment process is changing toward more ethical choices. In this context\, we extend the classical optimization framework under the cumulative prospect theory (CPT) in two directions. We first consider an agent who maximizes a financial CPT-value function preselecting the assets to be included in the portfolio based on their environmental\, social\, and governance (ESG) scores. Then\, we develop a bi-objective model that optimizes financial and sustainable CPT-value functions at the same time. Numerical results obtained on an investable universe from the constituents of the STOXX Europe 600 show that introducing ESG information improves the portfolio’s financial performance.
URL:https://www.math.ttu.edu/mathematicalfinance/event/esg-ratings-and-portfolio-optimization-a-real-world-analysis-on-euro-stoxx/
LOCATION:via Zoom
CATEGORIES:Fall 2023,Seminars
ATTACH;FMTTYPE=image/png:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/08/Kaucic.png
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20231124T140000
DTEND;TZID=America/Chicago:20231124T150000
DTSTAMP:20260425T014025
CREATED:20230809T172746Z
LAST-MODIFIED:20230809T172941Z
UID:1149-1700834400-1700838000@www.math.ttu.edu
SUMMARY:No Math Finance seminar - Thanksgiving break
DESCRIPTION:
URL:https://www.math.ttu.edu/mathematicalfinance/event/no-math-finance-seminar-thanksgiving-break/
CATEGORIES:Fall 2023,Seminars
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/01/unhappy.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20240112T120000
DTEND;TZID=America/Chicago:20240112T130000
DTSTAMP:20260425T014025
CREATED:20231122T181152Z
LAST-MODIFIED:20231205T191625Z
UID:1252-1705060800-1705064400@www.math.ttu.edu
SUMMARY:Convergence of the fixed-point iteration for the Bass Local Volatility model
DESCRIPTION:Speaker Dr. Gudmund Pammer\, Dept. of Mathematics\, ETH Zürich \nAbstract: The Bass local volatility model introduced by Backhoff-Veraguas–Beiglböck–Huesmann–Källblad is a Markov model perfectly calibrated to vanilla options at finitely many maturities\, that approximates the Dupire local volatility model. Conze and Henry-Labordère show that its calibration can be achieved by solving a fixed-point nonlinear integral equation. We complement the analysis and show\, under suitable assumptions\, existence and uniqueness of the solution to this equation\, and establish that the fixed-point iteration scheme converges at linear rate. \nThe talk is based on joint work with Beatrice Acciaio and Antonio Marini.
URL:https://www.math.ttu.edu/mathematicalfinance/event/convergence-of-the-fixed-point-iteration-for-the-bass-local-volatility-model/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2024
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/12/pammer-scaled.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20240119T120000
DTEND;TZID=America/Chicago:20240119T130000
DTSTAMP:20260425T014025
CREATED:20231113T163912Z
LAST-MODIFIED:20231113T164137Z
UID:1201-1705665600-1705669200@www.math.ttu.edu
SUMMARY:Risk budgeting portfolios: Existence and computation
DESCRIPTION:Speaker:  Prof. Olivier Guéant\, Department of Applied Mathematics\, Université Paris 1 Panthéon-Sorbonne \n Abstract:  Modern portfolio theory has provided for decades the main framework for optimizing portfolios. Because of its sensitivity to small changes in input parameters\, especially expected returns\, the mean-variance framework proposed by Markowitz (1952) has however been challenged by new construction methods that are purely based on risk. Among risk-based methods\, the most popular ones are Minimum Variance\, Maximum Diversification\, and Risk Budgeting (especially Equal Risk Contribution) portfolios. Despite some drawbacks\, Risk Budgeting is particularly attracting because of its versatility: based on Euler’s homogeneous function theorem\, it can indeed be used with a wide range of risk measures. This paper presents mathematical results regarding the existence and the uniqueness of Risk Budgeting portfolios for a very wide spectrum of risk measures and shows that\, for many of them\, computing the weights of Risk Budgeting portfolios only requires a standard stochastic algorithm.
URL:https://www.math.ttu.edu/mathematicalfinance/event/risk-budgeting-portfolios-existence-and-computation/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2024
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/11/gueant.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20240126T120000
DTEND;TZID=America/Chicago:20240126T130000
DTSTAMP:20260425T014025
CREATED:20231114T173732Z
LAST-MODIFIED:20231115T151421Z
UID:1214-1706270400-1706274000@www.math.ttu.edu
SUMMARY:On subordinated generalizations of 3 classical models of option pricing
DESCRIPTION:Speaker: Dr. Grzegorz Krzyżanowski\, Hugo Steinhaus Center\, Faculty of Pure and Applied Mathematics\, Wroclaw University of Science and Technology \nAbstract: We will investigate the relation between Bachelier and Black-Scholes models driven by the infinitely divisible inverse subordinators. Such models\, in contrast to their classical equivalents\, can be used in markets where periods of stagnation are observed. We will introduce the subordinated Cox-Ross-Rubinstein model and prove that the price of the underlying in that model converges in distribution and in Skorokhod space to the price of underlying in the subordinated Black-Scholes model. Motivated by this fact we will price the selected option contracts using the binomial trees. The comparison to other numerical methods will be provided.
URL:https://www.math.ttu.edu/mathematicalfinance/event/on-subordinated-generalizations-of-3-classical-models-of-option-pricing/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2024
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/11/gk-scaled.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20240209T140000
DTEND;TZID=America/Chicago:20240209T150000
DTSTAMP:20260425T014025
CREATED:20230809T162110Z
LAST-MODIFIED:20231128T225520Z
UID:1140-1707487200-1707490800@www.math.ttu.edu
SUMMARY:Good for the Planet\, Good for the Wallet: The ESG Impact on Financial Performance in India
DESCRIPTION:Speaker: Prof. Tauhidul Islam Tanin\, EGADE Business School\, Technologico de Monterrey \nAbstract: We examine the impact of ESG practices on financial performance among Nifty 50 companies in India from 2015 to 2022. Utilizing fixed-effects panel quantile regression\, we observe that the relationship between ESG practices and financial profitability varies across the ROE distribution. While the environmental pillar score and the governance pillar score negatively impact ROE across almost all quantiles with high statistical significance\, the social pillar score exhibits mostly an insignificant relationship. Its impact is negative\, but only mildly statistically significant at the lower end of the ROE distribution. The findings and their implications are important for investors\, corporate executives\, and policymakers.
URL:https://www.math.ttu.edu/mathematicalfinance/event/good-for-the-planet-good-for-the-wallet-the-esg-impact-on-financial-performance-in-india/
LOCATION:Department of Mathematics & Statistics\, TTU
CATEGORIES:Seminars,Spring 2024
ATTACH;FMTTYPE=image/png:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/08/Tauhidul-Islam-TANIN.png
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20240216T120000
DTEND;TZID=America/Chicago:20240216T130000
DTSTAMP:20260425T014025
CREATED:20231114T173843Z
LAST-MODIFIED:20231116T214834Z
UID:1217-1708084800-1708088400@www.math.ttu.edu
SUMMARY:On the implied volatility of European and Asian call options under the stochastic volatility Bachelier model
DESCRIPTION:Speaker: Makar Pravosud\, Department of Economics and Business\, Universitat Pompeu Fabra \nAbstract:  In this paper we study the short-time behavior of the at-the-money implied volatility for European and arithmetic Asian call options with fixed strike price. The asset price is assumed to follow the Bachelier model with a general stochastic volatility process. Using techniques of the Malliavin calculus such as the anticipating Itô’s formula we first compute the level of the implied volatility when the maturity converges to zero. Then\, we find a short maturity asymptotic formula for the skew of the implied volatility that depends on the roughness of the volatility model. We apply our general results to the SABR and fractional Bergomi models\, and provide some numerical simulations that confirm the accurateness of the asymptotic formula for the skew.
URL:https://www.math.ttu.edu/mathematicalfinance/event/on-the-implied-volatility-of-european-and-asian-call-options-under-the-stochastic-volatility-bachelier-model/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2024
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/11/Pravosud-1.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20240223T140000
DTEND;TZID=America/Chicago:20240223T150000
DTSTAMP:20260425T014025
CREATED:20231114T173948Z
LAST-MODIFIED:20231115T145502Z
UID:1220-1708696800-1708700400@www.math.ttu.edu
SUMMARY:Unpacking the ESG ratings: Does one size fit all?
DESCRIPTION:Speaker: Prof. Monica Billio\, Department of Economics\, Ca’ Foscari University of Venice \nAbstract: As ESG investing goes mainstream\, investors increasingly rely on ESG ratings when making investment decisions. This study aims to delve into the overall ESG ratings provided by four prominent ESG data providers\, focusing on their accounting methodologies\, the relevance of the three pillars (environment\, social\, and governance)\, and the key performance indicators (KPIs) that drive these ratings. By examining a sample of European and UK companies\, we question the significance of the governance and social pillars in explaining the overall ESG scores. Our findings highlight a subset of indicators that exhibit the highest correlation with ESG scores\, including the presence of external audits\, an environmental supply chain policy\, and target emissions. This letter contributes to the ongoing ESG credibility debate and emphasizes the need for further transparency of ESG ratings.
URL:https://www.math.ttu.edu/mathematicalfinance/event/unpacking-the-esg-ratings-does-one-size-fit-all/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2024
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/11/billio.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20240308T140000
DTEND;TZID=America/Chicago:20240308T150000
DTSTAMP:20260425T014025
CREATED:20231127T155729Z
LAST-MODIFIED:20231212T162216Z
UID:1259-1709906400-1709910000@www.math.ttu.edu
SUMMARY:On the Bachelier implied volatility at extreme strikes
DESCRIPTION:Speaker: Dr. Fabien Le Floc’h\, Nasdsaq\n\nAbstract: Roger Lee proved that the Black-Scholes implied variance can not grow faster than linearly in log-moneyness. This paper investigates what happens in the Bachelier (or Normal) implied volatility world\, making sure to cover the various aspects of vanilla option arbitrages.
URL:https://www.math.ttu.edu/mathematicalfinance/event/on-the-bachelier-implied-volatility-at-extreme-strikes/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2024
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/12/lefloch.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;VALUE=DATE:20240315
DTEND;VALUE=DATE:20240316
DTSTAMP:20260425T014025
CREATED:20231115T152205Z
LAST-MODIFIED:20231115T152205Z
UID:1238-1710460800-1710547199@www.math.ttu.edu
SUMMARY:No Seminar - Spring Break
DESCRIPTION:
URL:https://www.math.ttu.edu/mathematicalfinance/event/no-seminar-spring-break/
CATEGORIES:Seminars,Spring 2024
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/01/unhappy.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20240318T120000
DTEND;TZID=America/Chicago:20240318T130000
DTSTAMP:20260425T014025
CREATED:20231122T185234Z
LAST-MODIFIED:20231122T185234Z
UID:1256-1710763200-1710766800@www.math.ttu.edu
SUMMARY:Bayesian Optimization of ESG Financial Investments
DESCRIPTION:Speaker: Prof Eduardo César Garrido Merchán\, Faculty of Economics and Business Sciences\, Comillas Universidad Pontificia \nAbstract: Financial experts and analysts seek to predict the variability of financial markets. In particular\, the correct prediction of this variability ensures investors successful investments. However\, there has been a big trend in finance in the last years\, which are the ESG criteria. Concretely\, ESG (Economic\, Social and Governance) criteria have become more significant in finance due to the growing importance of investments being socially responsible\, and because of the financial impact companies suffer when not complying with them. Consequently\, creating a stock portfolio should not only take into account its performance but compliance with ESG criteria. Hence\, this paper combines mathematical modelling\, with ESG and finance. In more detail\, we use Bayesian optimization (BO)\, a sequential state-of-the-art design strategy to optimize black-boxes with unknown analytical and costly-to compute expressions\, to maximize the performance of a stock portfolio under the presence of ESG criteria soft constraints incorporated to the objective function. In an illustrative experiment\, we use the Sharpe ratio\, that takes into consideration the portfolio returns and its variance\, in other words\, it balances the trade-off between maximizing returns and minimizing risks. In the present work\, ESG criteria have been divided into fourteen independent categories used in a linear combination to estimate a firm total ESG score. Most importantly\, our presented approach would scale to alternative black-box methods of estimating the performance and ESG compliance of the stock portfolio. In particular\, this research has opened the door to many new research lines\, as it has proved that a portfolio can be optimized using a BO that takes into consideration financial performance and the accomplishment of ESG criteria.
URL:https://www.math.ttu.edu/mathematicalfinance/event/bayesian-optimization-of-esg-financial-investments/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2024
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/11/merchan.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20240412T140000
DTEND;TZID=America/Chicago:20240412T150000
DTSTAMP:20260425T014025
CREATED:20231114T173107Z
LAST-MODIFIED:20240305T220124Z
UID:1209-1712930400-1712934000@www.math.ttu.edu
SUMMARY:Supermartingale Brenier's Theorem with full-marginals constraint
DESCRIPTION:Speaker: Prof. Dominykas Norgilas\, Department of Mathematics\, North Carolina State University \nAbstract: We explicitly construct the supermartingale version of the Fréchet-Hoeffding coupling in the setting with infinitely many marginal constraints. This extends the results of Henry-Labordere et al. obtained in the martingale setting. Our construction is based on the Markovian iteration of one-period optimal supermartingale couplings. In the limit\, as the number of iterations goes to infinity\, we obtain a pure jump process that belongs to a family of local Lévy models introduced by Carr et al. We show that the constructed processes solve the continuous-time supermartingale optimal transport problem for a particular family of path-dependent cost functions. The explicit computations are provided in the following three cases: the uniform case\, the Bachelier model and the Geometric Brownian Motion case.
URL:https://www.math.ttu.edu/mathematicalfinance/event/supermartingale-breniers-theorem-with-full-marginals-constraint/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2024
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/11/norgilas-1.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20240419T120000
DTEND;TZID=America/Chicago:20240419T130000
DTSTAMP:20260425T014025
CREATED:20231129T190232Z
LAST-MODIFIED:20231130T170131Z
UID:1263-1713528000-1713531600@www.math.ttu.edu
SUMMARY:Semi-analytic pricing of American options in some time-dependent jump-diffusion models
DESCRIPTION:Speaker: Prof. Andrey Itkin\, Department of Risk and Financial Engineering\, Tandon School of Engineering\, NYU \nAbstract: In this paper we propose a semi-analytic approach to pricing American options for some time-dependent jump-diffusions models. The idea of the method is to further generalize our approach developed for pricing barrier\, [Itkin et al.\, 2021]\, and American\, [Carr and Itkin\, 2021; Itkin and Muravey\, 2023]\, options in various time-dependent one factor and even stochastic volatility models. Our approach i) allows arbitrary dependencies of the model parameters on time; ii) reduces solution of the pricing problem for American options to a simpler problem of solving an algebraic nonlinear equation for the exercise boundary and a linear Fredholm-Volterra equation for the the option price; iii) the options Greeks solve a similar Fredholm-Volterra linear equation obtained by just differentiating Eq. (25) by the required parameter.
URL:https://www.math.ttu.edu/mathematicalfinance/event/semi-analytic-pricing-of-american-options-in-some-time-dependent-jump-diffusion-models/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2024
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/11/itkin.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20240419T140000
DTEND;TZID=America/Chicago:20240419T140000
DTSTAMP:20260425T014025
CREATED:20231115T154042Z
LAST-MODIFIED:20240408T172908Z
UID:1241-1713535200-1713535200@www.math.ttu.edu
SUMMARY:Portfolio selection under non-gaussianity and systemic risk: A machine learning based forecasting approach
DESCRIPTION:Speaker: Prof. Abderrahim Taamouti\, Management School\, University of Liverpool \nAbstract: The Sharpe-ratio-maximizing portfolio becomes questionable under non-Gaussian returns\, and it rules out\, by construction\, systemic risk\, which can negatively affect its out-of-sample performance. In the present work\, we develop a new performance ratio that simultaneously addresses these two problems when building optimal portfolios. To robustify the portfolio optimization and better represent extreme market scenarios\, we simulate a large number of returns via a Monte Carlo method. This is done by obtaining probabilistic return forecasts through a distributional machine learning approach in a big data setting and then combining them with a fitted copula to generate return scenarios. Based on a large-scale comparative analysis conducted on the US market\, the backtesting results demonstrate the superiority of our proposed portfolio selection approach against several popular benchmark strategies in terms of both profitability and minimizing systemic risk. This outperformance is robust to the inclusion of transaction costs.
URL:https://www.math.ttu.edu/mathematicalfinance/event/portfolio-selection-under-non-gaussianity-and-systemic-risk-a-machine-learning-based-forecasting-approach/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2024
ATTACH;FMTTYPE=image/png:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/11/taamouti.png
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20240426T120000
DTEND;TZID=America/Chicago:20240426T130000
DTSTAMP:20260425T014025
CREATED:20231212T161814Z
LAST-MODIFIED:20231212T161836Z
UID:1278-1714132800-1714136400@www.math.ttu.edu
SUMMARY:Hedging with temporary price impact
DESCRIPTION:Speaker: Prof. Peter Bank\, Department of Mathematics\, Technical University of Berlin \nAbstract: We consider the problem of hedging a European contingent claim in a Bachelier model with temporary price impact as proposed by Almgren and Chriss (J Risk 3:5–39\, 2001). Following the approach of Rogers and Singh (Math Financ 20:597–615\, 2010) and Naujokat and Westray (Math Financ Econ 4(4):299–335\, 2011)\, the hedging problem can be regarded as a cost optimal tracking problem of the frictionless hedging strategy. We solve this problem explicitly for general predictable target hedging strategies. It turns out that\, rather than towards the current target position\, the optimal policy trades towards a weighted average of expected future target positions. This generalizes an observation of Gârleanu and Pedersen (Dynamic portfolio choice with frictions. Preprint\, 2013b) from their homogenous Markovian optimal investment problem to a general hedging problem. Our findings complement a number of previous studies in the literature on optimal strategies in illiquid markets as\, e.g.\, Gârleanu and Pedersen (Dynamic portfolio choice with frictions. Preprint\, 2013b)\, Naujokat and Westray (Math Financ Econ 4(4):299–335\, 2011)\, Rogers and Singh (Math Financ 20:597–615\, 2010)\, Almgren and Li (Option hedging with smooth market impact. Preprint\, 2015)\, Moreau et al. (Math Financ. doi:10.1111/mafi.12098\, 2015)\, Kallsen and Muhle-Karbe (High-resilience limits of block-shaped order books. Preprint\, 2014)\, Guasoni and Weber (Mathematical Financ. doi:10.1111/mafi.12099\, 2015a; Nonlinear price impact and portfolio choice. Preprint\, 2015b)\, where the frictionless hedging strategy is confined to diffusions. The consideration of general predictable reference strategies is made possible by the use of a convex analysis approach instead of the more common dynamic programming methods.
URL:https://www.math.ttu.edu/mathematicalfinance/event/hedging-with-temporary-price-impact/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2024
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/12/bank.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20240501T080000
DTEND;TZID=America/Chicago:20240501T170000
DTSTAMP:20260425T014025
CREATED:20240501T160730Z
LAST-MODIFIED:20240501T160730Z
UID:1401-1714550400-1714582800@www.math.ttu.edu
SUMMARY:Gold-backed cryptocurrencies: A hedging tool against categorical and regional financial stress
DESCRIPTION:Speaker: Prof. Md. Rayfayet Alam\, Dept. of Finance and Economics\, University of Tennessee at Chattanooga \nAbstract: This study evaluates the potential of gold-backed cryptocurrencies\, such as Tether Gold and PAX Gold\, as a hedge and safe haven against global\, regional\, and categorical financial stresses. Hedge and safe haven properties of gold-backed cryptocurrencies are also compared with those of gold and Bitcoin. For the analyses\, dynamic conditional correlation (DCC) and quantile coherency techniques are applied to daily data from February 2020 to March 2023. The results show that Tether Gold and PAX Gold are strong safe havens against the US and equity-valuation-related financial stress but weak safe havens against global financial stress. Tether Gold is a weak safe haven against credit-related financial stress as well. Tether Gold is a strong hedge against US financial stress but a weak hedge against aggregate financial stress of developed economies and that of emerging economies. In our sample\, gold-backed cryptocurrencies usually outperform gold and Bitcoin as a hedge and safe haven against financial stresses. The Quantile coherency analysis shows that Tether Gold is a hedge against low to moderate financial stress and a safe haven against extreme financial stresses. These findings have important implications for investors\, risk-managers and policy makers.
URL:https://www.math.ttu.edu/mathematicalfinance/event/gold-backed-cryptocurrencies-a-hedging-tool-against-categorical-and-regional-financial-stress/
LOCATION:via Zoom
CATEGORIES:Fall 2024,Seminars
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20240503T120000
DTEND;TZID=America/Chicago:20240503T130000
DTSTAMP:20260425T014025
CREATED:20231114T174101Z
LAST-MODIFIED:20240408T172725Z
UID:1223-1714737600-1714741200@www.math.ttu.edu
SUMMARY:Elementary function solutions to the Bachelier model generated by Lie point symmetries
DESCRIPTION:Speaker: Dr. Evangelos Melas\, Department of Mathematics\, University of Thessaly \nAbstract: Under the recent negative interest rate situation\, the Bachelier model has been attracting attention and adopted for evaluating the price of interest rate options. In this paper we find the Lie point symmetries of the Bachelier partial differential equation (PDE) and use them in order to generate new classes of denumerably infinite elementary function solutions to the Bachelier model from elementary function solutions to it\, which we derived in a previous publication.
URL:https://www.math.ttu.edu/mathematicalfinance/event/elementary-functions-solutions-to-the-bachelier-model-generated-by-lie-point-symmetries/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2024
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/11/melas.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20240823T140000
DTEND;TZID=America/Chicago:20240823T150000
DTSTAMP:20260425T014025
CREATED:20240430T211647Z
LAST-MODIFIED:20240430T211647Z
UID:1374-1724421600-1724425200@www.math.ttu.edu
SUMMARY:Quanto Option Pricing on a Multivariate Lévy Process Model with Generative Artificial Intelligence
DESCRIPTION:Speaker: Prof. Aaron YS Kim\, College of Business\, Stony Brook University \nAbstract: In this study\, we discuss a machine learning technique to price exotic options with two underlying assets based on a non-Gaussian Levy process model.  We introduce a new multivariate Levy process model named the generalized normal tempered stable (gNTS) process\, which is defined by time-changed multivariate Brownian motion. Since the gNTS process does not provide a simple analytic formula for the probability density function (PDF)\, we use the conditional real-valued non-volume preserving (CRealNVP) model\, which is a type of flow-based generative network. Then\, we discuss the no-arbitrage pricing on the gNTS model for pricing the quanto option whose underlying assets consist of a foreign index and foreign exchange rate. We present the training of the CRealNVP model to learn the PDF of the gNTS process using a training set generated by Monte Carlo simulation.  Next\, we estimate the parameters of the gNTS model with the trained CRealNVP model using the empirical data observed in the market.  Finally\, we provide a method to find an equivalent martingale measure on the gNTS model and to price the quanto option using the CRealNVP model with the risk-neutral parameters of the gNTS model.
URL:https://www.math.ttu.edu/mathematicalfinance/event/quanto-option-pricing-on-a-multivariate-levy-process-model-with-generative-artificial-intelligence/
LOCATION:via Zoom
CATEGORIES:Fall 2024,Seminars
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2024/04/youngskim.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20240830T140000
DTEND;TZID=America/Chicago:20240830T150000
DTSTAMP:20260425T014025
CREATED:20240501T161202Z
LAST-MODIFIED:20240501T161202Z
UID:1404-1725026400-1725030000@www.math.ttu.edu
SUMMARY:Gold-backed cryptocurrencies: A hedging tool against categorical and regional financial stress
DESCRIPTION:Speaker: Prof. Md. Rayfayet Alam\, Dept. of Finance and Economics\, University of Tennessee at Chattanooga \nAbstract: This study evaluates the potential of gold-backed cryptocurrencies\, such as Tether Gold and PAX Gold\, as a hedge and safe haven against global\, regional\, and categorical financial stresses. Hedge and safe haven properties of gold-backed cryptocurrencies are also compared with those of gold and Bitcoin. For the analyses\, dynamic conditional correlation (DCC) and quantile coherency techniques are applied to daily data from February 2020 to March 2023. The results show that Tether Gold and PAX Gold are strong safe havens against the US and equity-valuation-related financial stress but weak safe havens against global financial stress. Tether Gold is a weak safe haven against credit-related financial stress as well. Tether Gold is a strong hedge against US financial stress but a weak hedge against aggregate financial stress of developed economies and that of emerging economies. In our sample\, gold-backed cryptocurrencies usually outperform gold and Bitcoin as a hedge and safe haven against financial stresses. The Quantile coherency analysis shows that Tether Gold is a hedge against low to moderate financial stress and a safe haven against extreme financial stresses. These findings have important implications for investors\, risk-managers and policy makers.
URL:https://www.math.ttu.edu/mathematicalfinance/event/gold-backed-cryptocurrencies-a-hedging-tool-against-categorical-and-regional-financial-stress-2/
LOCATION:via Zoom
CATEGORIES:Fall 2024,Seminars
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2024/05/alam-scaled.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20240913T140000
DTEND;TZID=America/Chicago:20240913T150000
DTSTAMP:20260425T014025
CREATED:20240729T183816Z
LAST-MODIFIED:20240729T195839Z
UID:1488-1726236000-1726239600@www.math.ttu.edu
SUMMARY:Optimal Portfolios with Sustainable Assets - Aspects for Life Insurers
DESCRIPTION:Speaker: Prof. Ralf Korn\, Dept. of Mathematics\, RPTU Kaiserslautern-Landau\nAbstract: Since August 2022 customers have to be asked if they are interested in sustainable investment when entering a pension contract. Hence\, the provider has to be prepared to offer suitable investment opportunities. Further\, the provider has to manage the new risks and chances of those assets in the whole portfolio. We therefore especially look at possible consequences for optimal portfolio decisions of a life insurer and suggest modeling approaches for the evolution of the demand and the sustainability ratings for sustainable assets. We will solve various portfolio problems under sustainability constraints explicitly and suggest further research topics. As a special feature for a life insurer\, we particularly look at the role of the actuarial reserve fund and the annual declaration of its return.
URL:https://www.math.ttu.edu/mathematicalfinance/event/optimal-portfolios-with-sustainable-assets-aspects-for-life-insurers/
LOCATION:via Zoom
CATEGORIES:Fall 2024,Seminars
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2024/07/Ralf_Korn.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20240920T120000
DTEND;TZID=America/Chicago:20240920T130000
DTSTAMP:20260425T014025
CREATED:20240430T213543Z
LAST-MODIFIED:20240508T155354Z
UID:1385-1726833600-1726837200@www.math.ttu.edu
SUMMARY:To hedge or not to hedge? Cryptocurrencies\, gold and oil against stock market risk
DESCRIPTION:Speaker: Prof. Agata Kliber\, Dept of Applied Mathematics\, Poznan University of Economics & Business\nco-Authors: Prof. Krzysztof Echaust\, Dept. of Operations Research & Mathematical Economics\, Poznan University of Economics & Business\nProf. Małgorzata Just\, Dept. of Finance & Accounting\, Poznan University of Life Sciences \nAbstract: The article aims to determine whether any hedging strategy against stock market risk\, performed using instruments popular in the literature (gold\, cryptocurrencies and oil)\, can beat index futures. As a hedging strategy\, we understand a pair-wise portfolio consisting of a long position in stocks and a short position in a hedging instrument put together to minimise the portfolio variance. As a benchmark\, we analyse optimal and naive hedging strategies with futures contracts. We demonstrate that\, regardless of the stock market\, the best hedging strategy focused on variance minimisation requires using index futures. Both strategies: the optimisation-based one and the naive one\, beat the dynamic strategies utilising the remaining hedging assets. Therefore\, from a risk-minimisation point of view\, investors have no motivation to implement cryptocurrencies\, gold or oil in hedging strategy against stock market risk. The results are robust with respect to hedging against tail risk.
URL:https://www.math.ttu.edu/mathematicalfinance/event/to-hedge-or-not-to-hedge-cryptocurrencies-gold-and-oil-against-stock-market-risk/
LOCATION:via Zoom
CATEGORIES:Fall 2024,Seminars
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2024/04/Kliber.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20240927T120000
DTEND;TZID=America/Chicago:20240927T130000
DTSTAMP:20260425T014025
CREATED:20240501T152309Z
LAST-MODIFIED:20240501T152309Z
UID:1396-1727438400-1727442000@www.math.ttu.edu
SUMMARY:ESG performance and investment efficiency: The impact of information asymmetry
DESCRIPTION:Speaker: Prof. Seda Erdogan\, Dept. International Trade & Finance\, Kadir Has University \nAbstract: This paper investigates the relationship between firms’ engagement in environmental\, social\, and governance (ESG) activities and corporate investment efficiency\, using 1\,094 firms from 21 countries in Europe\, covering the years 2002–2019. We conduct our estimations using fixed effects panel data techniques and address potential endogeneity with instrumental variables (IV) estimations. We provide evidence that overall ESG engagement is positively and significantly associated with investment efficiency. Analyzing overinvestment and underinvestment scenarios shows that ESG engagement decreases only overinvestment problems. Within the underinvestment scenario\, we observe that ESG engagement is beneficial only for firms with higher information asymmetries. Thus\, information asymmetry matters in the underinvestment case. We next show that four firm-level channels—information asymmetry\, financial constraints\, cash flows\, and risk—link ESG performance to investment inefficiency. Additional analysis shows that firms with extreme ESG scores (i.e.\, very low and very high) do not experience significant reductions in investment inefficiency. Altogether\, our findings draw attention to the critical role of ESG performance and information asymmetry in determining corporate investment efficiency.
URL:https://www.math.ttu.edu/mathematicalfinance/event/esg-performance-and-investment-efficiency-the-impact-of-information-asymmetry/
LOCATION:via Zoom
CATEGORIES:Fall 2024,Seminars
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2024/05/erdogan.jpg
END:VEVENT
END:VCALENDAR