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METHOD:PUBLISH
X-WR-CALNAME:Mathematical Finance
X-ORIGINAL-URL:https://www.math.ttu.edu/mathematicalfinance
X-WR-CALDESC:Events for Mathematical Finance
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TZID:America/Chicago
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DTSTART:20240310T080000
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DTSTART:20241103T070000
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DTSTART:20250309T080000
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BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20240823T140000
DTEND;TZID=America/Chicago:20240823T150000
DTSTAMP:20260428T212039
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:20260428T212039
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:20260428T212039
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:20260428T212039
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:20260428T212039
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
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20241004T140000
DTEND;TZID=America/Chicago:20241004T150000
DTSTAMP:20260428T212039
CREATED:20240430T214605Z
LAST-MODIFIED:20240430T214605Z
UID:1391-1728050400-1728054000@www.math.ttu.edu
SUMMARY:Option Pricing under a Generalized Black–Scholes Model with Stochastic Interest Rates\, Stochastic Strings\, and Lévy Jumps
DESCRIPTION:Speaker: Prof. Steven P. Clark\, Dept. of Finance\, UNC Charlotte \nAbstract: We introduce a novel option pricing model that features stochastic interest rates along with an underlying price process driven by stochastic string shocks combined with pure jump Lévy processes. Substituting the Brownian motion in the Black–Scholes model with a stochastic string leads to a class of option pricing models with expiration-dependent volatility. Further extending this Generalized Black–Scholes (GBS) model by adding Lévy jumps to the returns generating processes results in a new framework generalizing all exponential Lévy models. We derive four distinct versions of the model\, with each case featuring a different jump process: the finite activity lognormal and double–exponential jump diffusions\, as well as the infinite activity CGMY process and generalized hyperbolic Lévy motion. In each case\, we obtain closed or semi-closed form expressions for European call option prices which generalize the results obtained for the original models. Empirically\, we evaluate the performance of our model against the skews of S&P 500 call options\, considering three distinct volatility regimes. Our findings indicate that: (a) model performance is enhanced with the inclusion of jumps; (b) the GBS plus jumps model outperform the alternative models with the same jumps; (c) the GBS-CGMY jump model offers the best fit across volatility regimes.
URL:https://www.math.ttu.edu/mathematicalfinance/event/option-pricing-under-a-generalized-black-scholes-model-with-stochastic-interest-rates-stochastic-strings-and-levy-jumps/
LOCATION:via Zoom
CATEGORIES:Fall 2024,Seminars
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2024/04/SClark.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20241011T140000
DTEND;TZID=America/Chicago:20241011T150000
DTSTAMP:20260428T212039
CREATED:20240501T154246Z
LAST-MODIFIED:20240920T182126Z
UID:1399-1728655200-1728658800@www.math.ttu.edu
SUMMARY:Seminar Cancelled
DESCRIPTION:Title: Time changes\, Fourier transforms and the joint calibration to the S&P500/VIX smiles \nSpeaker: Prof. Laura Ballotta\, Bayes Business School\, City University of London \nAbstract: We develop a model based on time changed Lévy processes and study its ability of reproducing the joint S&P500/VIX implied volatility smiles and the VIX futures prices – a problem known in the literature as the `joint calibration problem’. The model admits semi-analytical characteristic functions for the key quantities\, and therefore efficient Fourier based pricing schemes can be deployed. We focus on a specification of the proposed general setting which uses purely discontinuous processes. Results from the application to market data show satisfactory performances in solving the joint calibration problem\, and therefore demonstrate that the class of affine processes can provide a workable fit.
URL:https://www.math.ttu.edu/mathematicalfinance/event/time-changes-fourier-transforms-and-the-joint-calibration-to-the-sp500-vix-smiles/
LOCATION:via Zoom
CATEGORIES:Fall 2024,Seminars
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2024/05/Ballotta.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20241018T130000
DTEND;TZID=America/Chicago:20241018T140000
DTSTAMP:20260428T212039
CREATED:20240502T142834Z
LAST-MODIFIED:20240502T142834Z
UID:1410-1729256400-1729260000@www.math.ttu.edu
SUMMARY:Elicitability and identifiability of tail risk measures
DESCRIPTION:Speaker: Dr. Tobias Fissler\, Department of Mathematics\, ETH Zurich \nAbstract: Tail risk measures are fully determined by the distribution of the underlying loss beyond its quantile at a certain level\, with Value-at-Risk and Expected Shortfall being prime examples. They are induced by law-based risk measures\, called their generators\, evaluated on the tail distribution.  This talk establishes joint identifiability and elicitability results of tail risk measures together with the corresponding quantile\, provided that their generators are identifiable and elicitable\, respectively. As an example\, we establish the joint identifiability and elicitability of the tail expectile together with the quantile. The corresponding consistent scores constitute a novel class of weighted scores\, nesting the known class of scores of Fissler and Ziegel for the Expected Shortfall together with the quantile. For statistical purposes\, our results pave the way to easier model fitting for tail risk measures via regression and the generalized method of moments\, but also model comparison and model validation in terms of established backtesting procedures. \nThe talk is based on joint work with Ruodu Wang\, Fangda Liu and Linxiao Wei.
URL:https://www.math.ttu.edu/mathematicalfinance/event/elicitability-and-identifiability-of-tail-risk-measures/
LOCATION:via Zoom
CATEGORIES:Fall 2024,Seminars
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2024/05/fissler.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20241025T100000
DTEND;TZID=America/Chicago:20241025T110000
DTSTAMP:20260428T212039
CREATED:20240801T143537Z
LAST-MODIFIED:20240801T143642Z
UID:1512-1729850400-1729854000@www.math.ttu.edu
SUMMARY:Estimation and backtesting of risk measures with emphasis on distortion risk measures
DESCRIPTION:Speaker: Prof. Hideatsu Tsukahara\, Dept.. of Economics\, Seijo University\, Tokyo \nAbstract: Statistical methodology has an important role to play in risk measurement. In this paper\, we will review and discuss some statistical issues on risk measures. Examples we consider are value-at-risk\, expected shortfall\, expectiles\, and distortion risk measures. Several methods of estimating these risk measures based on time series data have been proposed\, and we will try to explain in some detail. Another main issue we would like to address is a problem of backtesting: the evaluation of risk measurement procedures using historical data\, by comparing ex ante estimates of loss distributions or risk measures with the ex post realized losses. There have been several suggestions concerning backtestability of risk measures\, which will be discuss in detail. We also examine and suggest backtesting procedures for predictive distributions\, expected shortfall and distortion risk measures.
URL:https://www.math.ttu.edu/mathematicalfinance/event/estimation-and-backtesting-of-risk-measures-with-emphasis-on-distortion-risk-measures/
LOCATION:via Zoom
CATEGORIES:Fall 2024,Seminars
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2024/08/Tsukahara.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20241104T120000
DTEND;TZID=America/Chicago:20241104T130000
DTSTAMP:20260428T212039
CREATED:20240729T184309Z
LAST-MODIFIED:20240729T195746Z
UID:1491-1730721600-1730725200@www.math.ttu.edu
SUMMARY:Pricing options with a new hybrid neural network model
DESCRIPTION:Speaker: Dr. Yossi Shvimer\, Research Associate\, School of Finance and Management\, SOAS University of London \nAbstract: A novel hybrid option pricing model using a deep learning neural network has been developed. The hybrid model keeps the traditional option pricing model with the same input parameters while simultaneously adjusting the model with neural network methods to improve accuracy when applied to real market data\, especially in OTM options. The new hybrid model demonstrates superior accuracy compared to both traditional parametric and non-parametric option pricing models for both Call and Put options across all moneyness levels. The empirical results of the hybrid model provide an explanation for the deviation from the Put-Call parity observed in real market data.
URL:https://www.math.ttu.edu/mathematicalfinance/event/pricing-options-with-a-new-hybrid-neural-network-model/
LOCATION:via Zoom
CATEGORIES:Fall 2024,Seminars
ATTACH;FMTTYPE=image/png:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2024/07/Yossi_Shvimer.png
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20241115T140000
DTEND;TZID=America/Chicago:20241115T150000
DTSTAMP:20260428T212039
CREATED:20240729T184547Z
LAST-MODIFIED:20240816T214112Z
UID:1493-1731679200-1731682800@www.math.ttu.edu
SUMMARY:Stochastic dominance\, stochastic volatility\, and jump risk: new theory interprets old results
DESCRIPTION:Speaker: Prof Stylianos Perrakis\, John Molson School of Business\, Concordia Univ\, Montreal \n Abstract: The stochastic dominance (SD) approach is applied to the valuation of index options in frictionless markets for a wide class of stochastic volatility (SV) processes. SD allows for the derivation of a unique\, exponential option pricing kernel based on the physical underlying return and volatility dynamics. A lower bound and an upper bound on option prices are obtained\, for a wide class of stochastic volatility jump (SVJ) processes that feature jumps in addition to diffusion. Using parameter estimates for the physical process from high-profile studies\, the bounds are shown to be remarkably tight\, especially for the empirically important class of short-term near-the-money options. The bounds are in many cases inconsistent with separate parameter estimates for the risk-neutral process that are extracted from observed option prices: for many option series\, the risk-neutral value exceeds the SD upper bound. This inconsistency points at the possibility that the distributional shape of the risk-neutral process is mis-specified or that the parameters are estimated without properly taking the option bid-ask spread into account.
URL:https://www.math.ttu.edu/mathematicalfinance/event/stochastic-dominance-stochastic-volatility-and-jump-risk-new-theory-interprets-old-results/
LOCATION:via Zoom
CATEGORIES:Fall 2024,Seminars
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2024/07/perrakis.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20241122T140000
DTEND;TZID=America/Chicago:20241122T150000
DTSTAMP:20260428T212039
CREATED:20240430T212747Z
LAST-MODIFIED:20240903T172510Z
UID:1379-1732284000-1732287600@www.math.ttu.edu
SUMMARY:Inverse Problem for Forecasting Stock Options Prices
DESCRIPTION:Speaker: Dr. Kirill Golubnichiy\, Dept of Math & Statistics\, Texas Tech University \nAbstract: We present a new heuristic mathematical model for accurate forecasting of prices of stock options for 1-2 trading days ahead of the present one. This new technique uses the Black-Scholes equation supplied by new intervals for the underlying stock and new initial and boundary conditions for option prices. The Black-Scholes equation was solved in the positive direction of the time variable\, This ill-posed initial boundary value problem was solved by the so-called Quasi-Reversibility Method (QRM). This approach with an added trading strategy was tested on the market data for 368 stock options and good forecasting results were demonstrated. In the current paper\, we use the geometric Brownian motion to provide an explanation of that effectivity using computationally simulated data for European call options. We also provide a convergence analysis for QRM. The key tool of that analysis is a Carleman estimate.
URL:https://www.math.ttu.edu/mathematicalfinance/event/inverse-problem-for-forecasting-stock-options-prices/
LOCATION:via Zoom
CATEGORIES:Fall 2024,Seminars
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2024/04/Golubnichiy.jpeg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20250117T090000
DTEND;TZID=America/Chicago:20250117T100000
DTSTAMP:20260428T212039
CREATED:20241216T170525Z
LAST-MODIFIED:20250110T185141Z
UID:1643-1737104400-1737108000@www.math.ttu.edu
SUMMARY:Deep learning-based portfolio optimization with transaction costs
DESCRIPTION:Speaker: Prof. Aihua (Eva) Zhang\, College of Science\, Math & Tech.\, Wenzhou-Kean University\, Wenzhou China \nAbstract: In order to obtain the optimal portfolio strategy maximizing the accumulated terminal wealth with transaction costs\, in this paper\, we propose a new prediction-based portfolio method combining with a long short-term memory (in short\, LSTM) network which is an extended type of recurrent neural networks in deep learning. Our proposed method\, named as LSTM-Prediction-based Portfolio (LSTM-PbP) with transaction costs\, consists of two technical steps: finding the optimal portfolio strategy and predicting the future relative prices. For the price prediction\, we use multi-layer LSTM; while for the optimal portfolio strategy\, we solve the constraint maximization problem via relative entropy. We then update the future portfolio weights using the predicted prices and past portfolio weights. We iterate the process until the final investment period. Numerical experiments are also provided to show the accumulated wealth by following the obtained optimal portfolio strategy in comparison with the accumulated wealth under buy-and-hold strategy. The numerical results show that our model consistently outperforms the buy-and-hold strategy.
URL:https://www.math.ttu.edu/mathematicalfinance/event/to-be-provided/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2025
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2024/12/zhang.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20250124T130000
DTEND;TZID=America/Chicago:20250124T140000
DTSTAMP:20260428T212039
CREATED:20241216T170921Z
LAST-MODIFIED:20241216T172221Z
UID:1651-1737723600-1737727200@www.math.ttu.edu
SUMMARY:Robust estimation of the range-based GARCH model: Forecasting volatility\, value at risk and expected shortfall of cryptocurrencies
DESCRIPTION:Speaker: Prof. Piotr Fiszeder\, Dept. Econ. & Stat.\, Nicolaus Copernicus Univ.\, Torun\, Poland \nAbstract: Traditional volatility models do not work well when volatility changes rapidly and in the presence of outliers. Therefore\, two lines of improvements have been developed separately in the existing literature. Range-based models benefit from efficient volatility estimates based on low and high prices\, while robust methods deal with outliers. We propose a range-based GARCH model with a bounded M-estimator\, which combines these two improvements with a third new improvement: a modified robust method\, which adds elasticity in treating the outliers. We apply this model to Bitcoin\, Ethereum Classic\, Ethereum\, and Litecoin and find that it forecasts variances\, value at risk\, and expected shortfall more accurately than the standard GARCH model\, the standard range-based GARCH model\, and the GARCH model with the robust estimation. Utilization of high and low prices joined with a novel treatment of outliers makes our model perform well during extreme periods when traditional volatility models fail. \nThis work is joint with\nProf. Marta Malecka\, Faculty of Economics and Sociology\, University of Łódź\, Łódź\, Poland\nand\nPeter Molnár\, UiS Business School\, University of Stavanger\, Stavanger\, Norway.
URL:https://www.math.ttu.edu/mathematicalfinance/event/robust-estimation-of-the-range-based-garch-model-forecasting-volatility-value-at-risk-and-expected-shortfall-of-cryptocurrencies/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2025
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2024/12/fiszeder.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20250131T140000
DTEND;TZID=America/Chicago:20250131T150000
DTSTAMP:20260428T212039
CREATED:20241216T171218Z
LAST-MODIFIED:20241216T171717Z
UID:1653-1738332000-1738335600@www.math.ttu.edu
SUMMARY:Hedonic Models Incorporating Environmental\, Social\, and Governance Factors for Time Series of Average Annual Home Prices
DESCRIPTION:Speaker: Jason Bailey\, Dept. of Mathematics & Statistics\, Texas Tech University \nAbstract:
URL:https://www.math.ttu.edu/mathematicalfinance/event/hedonic-models-incorporating-environmental-social-and-governance-factors-for-time-series-of-average-annual-home-prices/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2025
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2021/06/Screen-Shot-2021-06-29-at-10.18.41-PM.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20250207T120000
DTEND;TZID=America/Chicago:20250207T130000
DTSTAMP:20260428T212039
CREATED:20241216T171540Z
LAST-MODIFIED:20241216T171630Z
UID:1655-1738929600-1738933200@www.math.ttu.edu
SUMMARY:Do online attention and sentiment affect cryptocurrencies’ correlations?
DESCRIPTION:Speaker: Prof. Aurelio Bariviera\, Dept.  of Business\, Universitat Rovira i Virgili\, Reus\, Spain \nAbstract: This paper adopts a versatile conditional correlation approach to explore daily seasonality in the major cryptocurrencies. Given the lack of clear fundamental value in this market and the active online profile of investors\, the study also relates cryptocurrency cross-correlations to online market attention and sentiment. Our results highlight that while investor attention has a positive effect\, sentiment has a much stronger negative impact on the correlations. These findings can offer interesting insights for investors and regulators\, as the influence of market attention and sentiment on the correlations has important implications for portfolio diversification and market stability.
URL:https://www.math.ttu.edu/mathematicalfinance/event/do-online-attention-and-sentiment-affect-cryptocurrencies-correlations/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2025
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2024/12/bariviero-scaled.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20250221T120000
DTEND;TZID=America/Chicago:20250221T130000
DTSTAMP:20260428T212039
CREATED:20241216T171945Z
LAST-MODIFIED:20241216T172028Z
UID:1662-1740139200-1740142800@www.math.ttu.edu
SUMMARY:Multi-asset return risk measures
DESCRIPTION:Speaker:
URL:https://www.math.ttu.edu/mathematicalfinance/event/multi-asset-return-risk-measures/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2025
ATTACH;FMTTYPE=image/png:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2024/12/Laudage.png
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20250228T140000
DTEND;TZID=America/Chicago:20250228T150000
DTSTAMP:20260428T212039
CREATED:20241216T172519Z
LAST-MODIFIED:20241216T172544Z
UID:1669-1740751200-1740754800@www.math.ttu.edu
SUMMARY:Water as a commodity in hydropower generation
DESCRIPTION:Speaker: Prof. Eduardo Schwartz\, Beedie School of Business\, Simon Fraser Univ. \nAbstract: The increased impact of extreme weather events and draughts has prompted the rapid growth of the water market. This paper analyzes the optimal operation of a reservoir that generates electricity and manages the water by trading water rights. We extend the framework introduced in a recent paper by Figuerola-Ferretti\, Schwartz\, and Segarra (2024) to include the water price process in a model that accounts for water inventory and the electricity price as two independent price processes. The model is implemented under the stochastic optimal control approach and calibrated using monthly data for a reservoir in the estate of California. The water price process and the dynamics of inflow into the reservoir include their dependence on the California Drought Severity Index. Results show that the underlying water and electricity price dynamics exhibit a high degree of uncertainty and seasonality. They also demonstrate that\, under the calibrated model parameters on average for the parameters used\, around 25% of the revenue generated by the reservoir arises from the revenue obtained from selling water rights. The water contribution to revenue generation would increase under enhanced severity of climate change.
URL:https://www.math.ttu.edu/mathematicalfinance/event/water-as-a-commodity-in-hydropower-generation/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2025
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2024/12/schwartz.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20250314T120000
DTEND;TZID=America/Chicago:20250314T130000
DTSTAMP:20260428T212039
CREATED:20241216T173056Z
LAST-MODIFIED:20241216T173056Z
UID:1675-1741953600-1741957200@www.math.ttu.edu
SUMMARY:Dynamic tail risk forecasting: What do realized skewness and kurtosis add?
DESCRIPTION:Speaker: Prof. Giuseppe Storti\, Dept. Econ & Stat.\, University of Salerno\, Fisciano\, IT \nAbstract:  This paper compares the accuracy of tail risk forecasts with a focus on including realized skewness and kurtosis in ”additive” and ”multiplicative” models. Utilizing a panel of 960 US stocks\, we conduct diagnostic tests\, employ scoring functions\, and implement rolling window forecasting to evaluate the performance of Value at Risk (VaR) and Expected Shortfall (ES) forecasts. Additionally\, we examine the impact of the window length on forecast accuracy. We propose model specifications that incorporate realized skewness and kurtosis for enhanced precision. Our findings provide insights into the importance of considering skewness and kurtosis in tail risk modeling\, contributing to the existing literature and offering practical implications for risk practitioners and researchers.
URL:https://www.math.ttu.edu/mathematicalfinance/event/dynamic-tail-risk-forecasting-what-do-realized-skewness-and-kurtosis-add/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2025
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2024/12/storti-scaled.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;VALUE=DATE:20250321
DTEND;VALUE=DATE:20250322
DTSTAMP:20260428T212039
CREATED:20241216T173247Z
LAST-MODIFIED:20241216T173247Z
UID:1678-1742515200-1742601599@www.math.ttu.edu
SUMMARY:No Seminar: Spring Vacation
DESCRIPTION:
URL:https://www.math.ttu.edu/mathematicalfinance/event/no-seminar-spring-vacation/
CATEGORIES:Seminars,Spring 2025
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:20250328T120000
DTEND;TZID=America/Chicago:20250328T130000
DTSTAMP:20260428T212039
CREATED:20250117T164450Z
LAST-MODIFIED:20250120T154902Z
UID:1798-1743163200-1743166800@www.math.ttu.edu
SUMMARY:Portfolio optimization in deformed time
DESCRIPTION:Speaker: Assoc. Prof. Malick Fall\, Center for Research in Economics and Management\, Univ. of Rennes\, Fr. \nAbstract: The expected return and covariance matrix are commonly calculated on a calendar time scale (e.g. daily or monthly data). In this article\, we assess the relevance of calculating them on a new time scale derived from traded volume. In particular\, we evaluate portfolio optimizations where returns evolve on a data-based rather than calendar time scale. We empirically test the impact of this change of scale by comparing the performance of two well-known portfolio optimizations in an out-of-sample framework. We find that this change leads to gains in both risk-adjusted return and risk. We also find that the degree of deviation from the normal distribution (and independence) of returns is greater with returns calculated in calendar time than in data-based time\, which explains the outperformance of this new approach.
URL:https://www.math.ttu.edu/mathematicalfinance/event/portfolio-optimization-in-deformed-time/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2025
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2025/01/fall.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20250404T120000
DTEND;TZID=America/Chicago:20250404T130000
DTSTAMP:20260428T212039
CREATED:20241216T173557Z
LAST-MODIFIED:20241216T173557Z
UID:1682-1743768000-1743771600@www.math.ttu.edu
SUMMARY:Measures of stochastic non-dominance in portfolio optimization
DESCRIPTION:Speaker: Prof. Miloš Kopa\, Dept. Probability & Mathematics\, Charles University\, Prague \nAbstract: Stochastic dominance rules are well-characterized and widely used. This work aims to describe and better understand the situations when they do not hold by developing measures of stochastic non-dominance. They quantify the error caused by assuming that one random variable dominates another one when it does not. To calculate them\, we search for a hypothetical random variable that satisfies the stochastic dominance relationship and is as close to the original one as possible. The Wasserstein distance between the optimal hypothetical random variable and the original one is considered as the measure of stochastic non-dominance. Depending on the conditions imposed on the probability distribution of the hypothetical random variable\, we distinguish between general and specific measures of stochastic non-dominance. We derive their exact values for random variables with uniform\, normal\, and exponential distributions. We present relations to almost first-order stochastic dominance and to tractable almost stochastic dominance. Using monthly returns of twelve assets captured by the German stock index DAX\, we solve portfolio optimization problems with the first-order and second-order stochastic dominance constraints. The measures of stochastic non-dominance allow us to compare the optimal portfolios with respect to different orders of stochastic dominance from a new angle. We also defined the closest dominating and closest approximately dominating portfolios. They brought a better understanding of the relationship between the two types of optimal portfolios. Using moving window analysis\, the relationship of the in-sample measure of stochastic non-dominance to out-of-sample performance was studied\, too.
URL:https://www.math.ttu.edu/mathematicalfinance/event/measures-of-stochastic-non-dominance-in-portfolio-optimization/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2025
ATTACH;FMTTYPE=image/png:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2024/12/kopa.png
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20250411T140000
DTEND;TZID=America/Chicago:20250411T150000
DTSTAMP:20260428T212039
CREATED:20241216T173924Z
LAST-MODIFIED:20241216T173924Z
UID:1686-1744380000-1744383600@www.math.ttu.edu
SUMMARY:Custom ESG Indexing: How Direct ESG Indexing Can Solve Many Responsible Investing Problems
DESCRIPTION:Speaker: Prof. Dr. Dirk Soehnholz\, CEO: Soehnholz ESG GmbH and Soehnholz Asset Management GmbH; Prof. of Asset Management\, Leipzig University \nAbstract: 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 that could serve as the basis to select appropriate funds. \nThere are now many standard active and passive\, so called responsible mutual funds available. I use three ambitious sustainable funds to show sustainability limits. In summary\, since responsible investments can vary pretty much by investor\, most standard funds may not be ideal for investors. \nMuch of the legitimate criticism of responsible investing can be avoided with bespoke portfolios. I outline simple ways to customize responsible portfolios with direct investments\, not limited to equity investments. There are many arguments for rather concentrated direct rule-based ESG investments. These (self-indexed) solutions could be efficiently delivered by wealth managers or used by self-directed investors. An (over-)diversification focus of mutual fund providers and investment advisors may be the biggest limitation for the growth of direct or custom ESG indexing. Most of the arguments apply to private and institutional investors alike\, although institutional investors will probably diversify more than private investors.
URL:https://www.math.ttu.edu/mathematicalfinance/event/custom-esg-indexing-how-direct-esg-indexing-can-solve-many-responsible-investing-problems/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2025
ATTACH;FMTTYPE=image/png:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2024/12/soehnholz.png
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20250418T120000
DTEND;TZID=America/Chicago:20250418T130000
DTSTAMP:20260428T212039
CREATED:20241216T174226Z
LAST-MODIFIED:20241216T174226Z
UID:1690-1744977600-1744981200@www.math.ttu.edu
SUMMARY:Option pricing in a stochastic delay volatility model
DESCRIPTION:Speaker: Prof. Álvaro Guinea Julia\, Dept. Industrial Org.\, Comillas Pontifical University ICADE-ICAI\, Madrid \nAbstract: 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 analysis on S&P500 European call options shows that adding delay parameters reduces mean squared error. This is the first instance of providing an analytical formula for the log price characteristic function in a stochastic volatility model with multiple delay parameters. We also provide a Monte Carlo scheme that can be used to simulate the model.
URL:https://www.math.ttu.edu/mathematicalfinance/event/option-pricing-in-a-stochastic-delay-volatility-model/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2025
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2024/12/julia.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20250425T120000
DTEND;TZID=America/Chicago:20250425T130000
DTSTAMP:20260428T212039
CREATED:20241216T174606Z
LAST-MODIFIED:20250425T213005Z
UID:1694-1745582400-1745586000@www.math.ttu.edu
SUMMARY:Drought parametric insurances by a Two-Step machine learning approach under climate change scenarios
DESCRIPTION:Speaker: Dr. Hirbod Assa\, Founding team | Quantitative researcher\, Edge Technologies; Director and founder\, Model Library Ltd. \nAbstract: 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 linear regression correction\, achieving a forecasting accuracy exceeding 94%. This method aims to predict the drought index using a minimal set of climate indices\, with projections extending to the year 2100 based on CORDEX CMIP5 models. The analysis focuses on selected U.S. states\, assessing the impacts of different climate scenarios and climate change under various RCP pathways. On that basis we design a parametric insurance on drought index. If time permits\, we will also explore the implications of these drought projections on supply chain risks in the beef commodity market.
URL:https://www.math.ttu.edu/mathematicalfinance/event/title-to-be-provided/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2025
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2024/12/hirbod.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20250502T140000
DTEND;TZID=America/Chicago:20250502T150000
DTSTAMP:20260428T212039
CREATED:20241216T174853Z
LAST-MODIFIED:20241216T174853Z
UID:1698-1746194400-1746198000@www.math.ttu.edu
SUMMARY:ESG Mania and Institutional Trading
DESCRIPTION:Speaker: Prof. Riza Demirer\,  Dept. Economics & Finance\, School of Business\, Southern Illinois University\, Edwardsville\, IL \nAbstract: Recent years have seen that institutional investors simultaneously crowd in (buy) the ESG stock market. The aim of this study is to investigate the underlying motivations and their economic consequences. The empirical results are consistent with the hypothesis of ESG washing rather than that of impact investing\, that is ESG-washing investors dominate the market. Specifically\, institutional herding exists widely in the ESG market; small\, dedicated\, and ill-performed institutions exhibit strong intensity to herd into the ESG stock market; herding institutions experienced outflows recently and attract more flows when they herd.  Herding institutions neither outperform nor that their trading significantly impacts stock prices (except in bad times). Our study highlights the mixed and complicated motivations of ESG investors from an institutional perspective\, which helps reconcile the opposite findings of sincere ESG investing and washing behavior documented in the growing literature on sustainable investments.
URL:https://www.math.ttu.edu/mathematicalfinance/event/esg-mania-and-institutional-trading/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2025
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2024/12/demirer.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20250829T140000
DTEND;TZID=America/Chicago:20250829T150000
DTSTAMP:20260428T212039
CREATED:20250701T182304Z
LAST-MODIFIED:20250701T182304Z
UID:2010-1756476000-1756479600@www.math.ttu.edu
SUMMARY:Discrete-time hedging\, basis risk\, and covariance-dependent pricing kernels
DESCRIPTION:Speaker: Prof. Maciej Augustyniak\, Dept. of Mathematics & Statistics\, University of Montreal \nAbstract: Basis risk arises when hedging a financial derivative with an instrument different from its underlying asset. This risk can significantly impair hedging effectiveness and must therefore be properly managed. This article develops a discrete-time hedging framework for European-style derivatives that explicitly accounts for basis risk while incorporating key empirical properties of asset returns\, including time-varying volatilities\, leverage effects\, and a flexible dependence structure between assets. Using a covariance-dependent pricing kernel\, we derive semi-closed-form solutions for the optimal risk-minimizing hedge ratio. Empirical analyses using S&P 500 index data\, its futures contracts\, and the VIX demonstrate that our proposed strategy consistently outperforms conventional benchmarks across various maturities and moneyness levels\, providing an effective approach to managing basis risk in derivative hedging.
URL:https://www.math.ttu.edu/mathematicalfinance/event/discrete-time-hedging-basis-risk-and-covariance-dependent-pricing-kernels/
LOCATION:via Zoom
CATEGORIES:Fall 2025
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2025/07/Augustyniak-e1751394026199.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20250905T120000
DTEND;TZID=America/Chicago:20250905T130000
DTSTAMP:20260428T212039
CREATED:20250702T153825Z
LAST-MODIFIED:20250703T171328Z
UID:2029-1757073600-1757077200@www.math.ttu.edu
SUMMARY:The Bachelier implied volatility: A Malliavin calculus approach.
DESCRIPTION:Speaker: Prof. Elisa Alos\, Dept. of Economics and Business\, University of Pompeu Fabra\, Barcelona \nAbstract: We introduce the main tools of Malliavin calculus and show how to use them to study the short-end behavior of skew and curvature of the implied volatility surface. This methodology allows us to obtain general formulas in terms of Malliavin derivatives that can be applied to a wide class of models including local\, stochastic and rough volatilities. Numerical examples are given.
URL:https://www.math.ttu.edu/mathematicalfinance/event/seminar-date-reserved-2/
LOCATION:via Zoom
CATEGORIES:Fall 2025
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2025/07/Alos.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20250912T140000
DTEND;TZID=America/Chicago:20250912T150000
DTSTAMP:20260428T212039
CREATED:20250704T194330Z
LAST-MODIFIED:20250729T162609Z
UID:2040-1757685600-1757689200@www.math.ttu.edu
SUMMARY:Rough Heston model as the scaling limit of bivariate cumulative heavy-tailed INAR( ∞) processes and applications
DESCRIPTION:Speaker: Prof. Zhenyu Cui\, School of Business\, Stevens Institute of Technology\, Hoboken NJ \nAbstract: We establish a novel link between nearly unstable cumulative heavy-tailed integer-valued autoregressive (INAR(∞)) processes and the rough Heston model via discrete scaling limits. We prove that a sequence of bivariate cumulative INAR(∞) processes converge in law to the rough Heston model under appropriate scaling conditions\, providing a rigorous mathematical foundation for understanding how microstructural order flow drives macroscopic prices following rough volatility dynamics. Our theoretical framework extends the scaling limit techniques from Hawkes processes to the INAR(∞) setting.\n     Hence\, we can carry out efficient Monte Carlo simulation of the rough Heston model through simulating the corresponding approximating INAR(∞) processes\, which provides an alternative discrete-time simulation method to the Euler-Maruyama method.  Extensive numerical experiments illustrate the improved accuracy and efficiency of the proposed simulation scheme as compared to the literature\, in the valuation of European options\, and also path-dependent options such as arithmetic Asian options\, lookback options and barrier options.
URL:https://www.math.ttu.edu/mathematicalfinance/event/seminar-date-reserved-4/
LOCATION:via Zoom
CATEGORIES:Fall 2025
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2025/07/Cui.jpg
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20250919T140000
DTEND;TZID=America/Chicago:20250919T150000
DTSTAMP:20260428T212039
CREATED:20250630T162129Z
LAST-MODIFIED:20250630T162129Z
UID:1993-1758290400-1758294000@www.math.ttu.edu
SUMMARY:Recent advances in stochastic volatility jump diffusions: Calibration and exotic option pricing
DESCRIPTION:Speaker: Dr. Jean-Phillipe Aguilar\, Head of Pricing Models Audit\, Societe Generale\, Paris La Defense \nAbstract:Stochastic Volatility Jump Diffusion (SVJ) models combine the advantages of both stochastic volatility and jump models\, while addressing some of their well-known limitations; moreover\, they often calibrate well in equity and FX markets. In this talk we will focus on a particular class of SVJ models\, namely the Heston Kou Double Exponential (HKDE) model\, that has recently been investigated in detail and shown to outperform challenger models possessing similar features. We will discuss the main properties of the HKDE model as well has its calibration to single stock and FX option data\, demonstrating a better fit of the volatility smile when compared to several challenger models; we will also discuss the smile sensitivity to the HKDE model parameters as well as their econometrics interpretations. Last\, we will provide application to the pricing and analysis of several generations of exotic contracts by means of advanced Fourier pricing (PROJ method in particular). \nJoint work with Gaetano Agazzotti\, Claudio Aglieri Rinella and Justin Lars Kirkby.
URL:https://www.math.ttu.edu/mathematicalfinance/event/recent-advances-in-stochastic-volatility-jump-diffusions-calibration-and-exotic-option-pricing/
LOCATION:via Zoom
CATEGORIES:Fall 2025
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2025/06/Aquilar-e1751300432196.jpg
END:VEVENT
END:VCALENDAR