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Jacobi stochastic volatility factor for the LIBOR market model
We propose a new method to efficiently price swap rate derivatives under the LIBOR market model with stochastic volatility and displaced diffusion....
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Fund Managers’ Competition for Investment Flows Based on Relative Performance
N mutual funds compete for fund flows based on relative performance over their average returns, by choosing between an idiosyncratic and a common...
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Generalities on Random Processes
A random process (or stochastic process) is a collection of random variables indexed by time, which may record the evolution of some phenomenon. This...
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Gaussian Fields for Asset Prices
The pricing of exotic options with a payoff involving asset prices at different times requires a model capable of explaining the covariance of...
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Optimal Stop**, Multi-asset American/Bermudan Options
The main aim of this chapter is to present and analyze two methods for the pricing of multi-asset American – in practice Bermudan – options: the...
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Deep neural network expressivity for optimal stop** problems
This article studies deep neural network expression rates for optimal stop** problems of discrete-time Markov processes on high-dimensional state...
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Factor Asset Pricing Models: CAPM and APT
In this chapter, on the basis of the general equilibrium theory developed in Chap. 4 , we...
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Markowitz with a Risk-Free Asset
In this chapter, a risk-free asset is added to the set of investable securities and the optimal portfolios are now derived in this augmented economy....
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Optimal-Investment-Probleme
Die umfassende Frage, die sich jedem Investor, jedem Vermögensverwalter in der einen oder anderen Form stellt, und der wir uns im Folgenden –...
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Erweiterungen des Black-Scholes-Modells
Nicht nur in der Theorie, wo Verallgemeinerung ein natürlicher Beweggrund ist, sondern auch in der Praxis wird das Black-Scholes-Modell in seiner...
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Nonparametric Bayesian Volatility Estimation
Given discrete time observations over a fixed time interval, we study a nonparametric Bayesian approach to estimation of the volatility coefficient...
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Three \(l_1\) Based Nonconvex Methods in Constructing Sparse Mean Reverting Portfolios
We study the problem of constructing sparse and fast mean reverting portfolios. The problem is motivated by convergence trading and formulated as a...
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Theoretical and empirical analysis of trading activity
Understanding the structure of financial markets deals with suitably determining the functional relation between financial variables. In this...
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The Influencing Factors of sCER Price Dynamics Under the Clean Development Mechanism: Theory and Econometric Analysis
In order to explore the factors and their complex mechanism affecting the price dynamics under the clean development mechanism (CDM), this article...
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F for Finance
A history of modern mathematics of finance, from the ancient times to the contemporary quantitative finance, with special attention to portfolio and...
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Deriving implied risk-free interest rates from bond and CDS quotes: a model-independent approach
We propose a market-consistent approach to the definition and construction of the implied term structure of the risk-free interest rates which are...
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A brief history of quantitative finance
In this introductory paper to the issue, I will travel through the history of how quantitative finance has developed and reached its current status,...
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Measure distorted arrival rate risks and their rewards
Risks embedded in asset price dynamics are taken to be accumulations of surprise jumps. A Markov pure jump model is formulated on making variance...
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Stochastic Modelling of Energy Spot Prices by LSS Processes
In this chapter we apply Lévy semistationary processes for modelling electricity spot price data collected from the European Energy Exchange. In our...
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Nonlinear equity valuation using conic finance and its regulatory implications
Economic enterprises are modeled to have the return distributions of pure jump limit laws. Specifically the four parameters of a bilateral gamma...
