Speaker: Makar Pravosud, Department of Economics and Business, Universitat Pompeu Fabra Abstract: 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 […]

Speaker: Prof. Monica Billio, Department of Economics, Ca’ Foscari University of Venice Abstract: 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 […]

Speaker: Dr. Fabien Le Floc’h, Nasdsaq Abstract: 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.

Speaker: Prof Eduardo César Garrido Merchán, Faculty of Economics and Business Sciences, Comillas Universidad Pontificia Abstract: 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 […]

Speaker: Prof. Dominykas Norgilas, Department of Mathematics, North Carolina State University Abstract: 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 […]

Speaker: Prof. Andrey Itkin, Department of Risk and Financial Engineering, Tandon School of Engineering, NYU Abstract: 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, , and American, , options in various […]

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 […]

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 […]

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 […]