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Statistical Arbitrage for Multiple Co-integrated Stocks
In this article, we analyse optimal statistical arbitrage strategies from stochastic control and optimisation problems for multiple co-integrated...
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Strip** the Swiss discount curve using kernel ridge regression
We analyze and implement the kernel ridge regression (KR) method developed in Filipovic et al. (Strip** the discount curve—a robust machine...
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Novel computational technique for the direct estimation of risk-neutral density using call price data quotes
This paper presents a new formulation for conveniently extracting the risk-neutral density (RND) function from the scarce data of the call price...
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An augmented Lagrangian method with constraint generation for shape-constrained convex regression problems
Shape-constrained convex regression problem deals with fitting a convex function to the observed data, where additional constraints are imposed, such...
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General theory of stochastic processes in applications
The main goal of this chapter is to show how the general theory developed before can be applied to mathematical finance and statistics of random...
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Option implied moments obtained through fuzzy regression
The aim of this paper is to investigate the potential of fuzzy regression methods for computing more reliable estimates of higher-order moments of...
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Selected Topics in Deep Learning
This chapter presents a selection of different topics. We discuss forecasting under model uncertainty, deep quantile regression, deep composite...
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Robust Variable Selection and Estimation in Threshold Regression Model
We combine the robust criterion with the lasso penalty together for the high-dimensional threshold model. It estimates regression coeffcients as well...
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Heath-Jarrow-Morton Type Models
In this main chapter of the book, infinite-dimensional stochastic processes are defined for the forward dynamics using a Hilbert space as state space...
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Discrete time stochastic analysis: further results and applications
In this chapter a characterization of sets of convergence of martingale is given in predictable terms. As a consequence, the strong LNL for...
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Polymodel Theory: An Overview
We present Polymodel Theory, defining a polymodel as a collection of non-linear univariate models. A mathematical formulation as well as an...
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Macro Trading
We look at oil as a sub-component of a broader macro trading system. We illustrate oil linkages to currency, equity, and fixed income markets with...
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Towards a Better Understanding of Fractional Brownian Motion and Its Application to Finance
The aim of this work is to first build the underlying theory behind fractional Brownian motion and applying fractional Brownian motion to financial...
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Moral hazard with excess returns
We consider a public firm characterized by a moral hazard problem. A distinguished player is a CEO or activist shareholder who (i) is unrestricted to...
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A market- and time-consistent extension for the EIOPA risk-margin
In this paper, we investigate market- and time-consistent valuation of life-insurance liabilities, which are long-dated by nature. To obtain a...
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Structured Products with Dynamic Asset Allocation and Systematic Strategies
The structured solutions presented so far are mostly option-based payoffs on traditional asset classes. In this chapter, we introduce the structured...
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Introduction
An introduction to the specifics of energy markets and the motivation for our stochastic pricing approach are given. We also provide empirical...
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Market-to-book ratio in stochastic portfolio theory
We study market-to-book ratios of stocks in the context of stochastic portfolio theory. Functionally generated portfolios that depend on auxiliary...
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Fuelling the Energy Transition: The Effect of German Wind and PV Electricity Infeed on TTF Gas Prices
Previous research shows that renewable energies have a direct negative marginal effect on electricity prices. Gas plants play an essential role in...
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Estimation of the Number of Factors in a Multi-Factorial Heath-Jarrow-Morton Model in Power Markets
We study the calibration of specific multi-factorial Heath-Jarrow-Morton models to power market prices, with a focus on the estimation of the optimal...