The Effects of the Introduction of Bitcoin Futures on the Volatility of...
This paper investigates the effects of the launch of Bitcoin futures on the intraday volatility of Bitcoin. Based on one-minute price data collected from four cryptocurrency exchanges, we first examine...
View ArticleMachine learning with kernels for portfolio valuation and risk management....
We introduce a computational framework for dynamic portfolio valuation and risk management building on machine learning with kernels. We learn the replicating martingale of a portfolio from a finite...
View ArticleDeep learning calibration of option pricing models: some pitfalls and...
Recent progress in the field of artificial intelligence, machine learning and also in computer industry resulted in the ongoing boom of using these techniques as applied to solving complex tasks in...
View ArticleModel Risk in Credit Risk. (arXiv:1906.06164v1 [q-fin.MF])
The issue of model risk in default modeling has been known since inception of the Academic literature in the field. However, a rigorous treatment requires a description of all the possible models, and...
View ArticleMachine Learning on EPEX Order Books: Insights and Forecasts....
This paper employs machine learning algorithms to forecast German electricity spot market prices. The forecasts utilize in particular bid and ask order book data from the spot market but also...
View ArticleThe winner takes it all -- How to win network globalization....
Quantifying the importance and power of individual nodes depending on their position in socio-economic networks constitutes a problem across a variety of applications. Examples include the reach of...
View ArticleAn agent-based model for designing a financial market that works well....
Designing a financial market that works well is very important for developing and maintaining an advanced economy, but is not easy because changing detailed rules, even ones that seem trivial,...
View ArticleStochastic PDEs for large portfolios with general mean-reverting volatility...
In this article we consider a large structural market model of defaultable assets, where the asset value processes are modelled by using stochastic volatility models with default upon hitting a lower...
View ArticlePath Dependent Optimal Transport and Model Calibration on Exotic Derivatives....
In this paper, we introduce and develop the theory of semimartingale optimal transport in a path dependent setting. Instead of the classical constraints on marginal distributions, we consider a general...
View ArticleDoes Random Consideration Explain Behavior when Choice is Hard? Evidence from...
We study population behavior when choice is hard because considering alternatives is costly. To simplify their choice problem, individuals may pay attention to only a subset of available alternatives....
View ArticleA Clark-Ocone type formula via Ito calculus and its application to finance....
An explicit martingale representation for random variables described as a functional of a Levy process will be given. The Clark-Ocone theorem shows that integrands appeared in a martingale...
View ArticleDetecting p-hacking. (arXiv:1906.06711v1 [econ.EM])
We analyze what can be learned from tests for p-hacking based on distributions of t-statistics and p-values across multiple studies. We analytically characterize restrictions on these distributions...
View ArticleOption Pricing via Multi-path Autoregressive Monte Carlo Approach....
The pricing of financial derivatives, which requires massive calculations and close-to-real-time operations under many trading and arbitrage scenarios, were largely infeasible in the past. However,...
View ArticleDecomposition formula for rough Volterra stochastic volatility models....
The research presented in this article provides an alternative option pricing approach for a class of rough fractional stochastic volatility models. These models are increasingly popular between...
View ArticleDecomposition formula for jump diffusion models. (arXiv:1906.06930v1 [q-fin.PR])
In this paper we derive a generic decomposition of the option pricing formula for models with finite activity jumps in the underlying asset price process (SVJ models). This is an extension of the...
View ArticleCalibration of Local-Stochastic Volatility Models by Optimal Transport....
In this paper, we study a semi-martingale optimal transport problem and its application to the calibration of Local-Stochastic Volatility (LSV) models. Rather than considering the classical constraints...
View ArticleLong-run risk sensitive dyadic impulse control. (arXiv:1906.06389v1 [math.OC])
In this paper long-run risk sensitive optimisation problem is studied with dyadic impulse control applied to continuous-time Feller-Markov process. In contrast to the existing literature, focus is put...
View ArticleVariants of the Smith-Wilson method with a view towards applications....
We propose two variants of the Smith-Wilson method for practical application in the insurance industry. Our first variant relaxes the Smith-Wilson energy and can be used to incorporate less reliable...
View ArticleEquilibrium Asset Pricing with Transaction Costs. (arXiv:1901.10989v2...
We study risk-sharing economies where heterogenous agents trade subject to quadratic transaction costs. The corresponding equilibrium asset prices and trading strategies are characterised by a system...
View ArticleThe Impact of Ambiguity on the Optimal Exercise Timing of Integral Option...
We consider the impact of ambiguity on the optimal timing of a class of two-dimensional integral option contracts when the exercise payoff is a positively homogeneous measurable function. Hence, the...
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