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Portfolio selection under non-gaussianity and systemic risk: A machine learning based forecasting approach

via Zoom

Speaker: Prof. Abderrahim Taamouti, Management School, University of Liverpool Abstract: The Sharpe-ratio-maximizing portfolio becomes questionable under non-Gaussian returns, and it rules out, by construction, systemic risk, which can negatively affect 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 […]

Hedging with temporary price impact

via Zoom

Speaker: Prof. Peter Bank, Department of Mathematics, Technical University of Berlin Abstract: We consider the problem of hedging a European contingent claim in a Bachelier model with temporary price impact 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 […]

Gold-backed cryptocurrencies: A hedging tool against categorical and regional financial stress

via Zoom

Speaker: Prof. Md. Rayfayet Alam, Dept. of Finance and Economics, University of Tennessee at Chattanooga Abstract: This study evaluates the potential of gold-backed cryptocurrencies, such as Tether Gold and PAX 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 […]

Elementary function solutions to the Bachelier model generated by Lie point symmetries

via Zoom

Speaker: Dr. Evangelos Melas, Department of Mathematics, University of Thessaly Abstract: Under the recent negative interest rate situation, the Bachelier model has been attracting attention and adopted for evaluating the 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 […]

Quanto Option Pricing on a Multivariate Lévy Process Model with Generative Artificial Intelligence

via Zoom

Speaker: Prof. Aaron YS Kim, College of Business, Stony Brook University Abstract: In this study, we discuss a machine learning technique to price exotic options with two underlying assets based 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 […]

Gold-backed cryptocurrencies: A hedging tool against categorical and regional financial stress

via Zoom

Speaker: Prof. Md. Rayfayet Alam, Dept. of Finance and Economics, University of Tennessee at Chattanooga Abstract: This study evaluates the potential of gold-backed cryptocurrencies, such as Tether Gold and PAX 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 […]

Optimal Portfolios with Sustainable Assets – Aspects for Life Insurers

via Zoom

Speaker: Prof. Ralf Korn, Dept. of Mathematics, RPTU Kaiserslautern-Landau Abstract: Since August 2022 customers have to be asked if they are interested in sustainable investment when entering a pension contract. 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 […]

To hedge or not to hedge? Cryptocurrencies, gold and oil against stock market risk

via Zoom

Speaker: Prof. Agata Kliber, Dept of Applied Mathematics, Poznan University of Economics & Business co-Authors: Prof. Krzysztof Echaust, Dept. of Operations Research & Mathematical Economics, Poznan University of Economics & Business Prof. Małgorzata Just, Dept. of Finance & Accounting, Poznan University of Life Sciences Abstract: The article aims to determine whether any hedging strategy against […]

ESG performance and investment efficiency: The impact of information asymmetry

via Zoom

Speaker: Prof. Seda Erdogan, Dept. International Trade & Finance, Kadir Has University Abstract: This paper investigates the relationship between firms' engagement in environmental, social, and governance (ESG) activities and corporate 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 […]

Option Pricing under a Generalized Black–Scholes Model with Stochastic Interest Rates, Stochastic Strings, and Lévy Jumps

via Zoom

Speaker: Prof. Steven P. Clark, Dept. of Finance, UNC Charlotte Abstract: We introduce a novel option pricing model that features stochastic interest rates along with an underlying price process driven 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 […]

Seminar Cancelled

via Zoom

Title: Time changes, Fourier transforms and the joint calibration to the S&P500/VIX smiles Speaker: Prof. Laura Ballotta, Bayes Business School, City University of London Abstract: We develop a model based 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 […]

Elicitability and identifiability of tail risk measures

via Zoom

Speaker: Dr. Tobias Fissler, Department of Mathematics, ETH Zurich Abstract: Tail risk measures are fully determined by the distribution of the underlying loss beyond its quantile at a certain level, 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 […]

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