Equal Risk Pricing and Hedging of Financial Derivatives with Convex Risk...
In this paper, we consider the problem of equal risk pricing and hedging in which the fair price of an option is the price that exposes both sides of the contract to the same level of risk. Focusing...
View ArticleDiscretization and Machine Learning Approximation of BSDEs with a Constraint...
We study the approximation of backward stochastic differential equations (BSDEs for short) with a constraint on the gains process. We first discretize the constraint by applying a so-called facelift...
View ArticleTime-inconsistent Markovian control problems under model uncertainty with...
In this paper we study a class of time-inconsistent terminal Markovian control problems in discrete time subject to model uncertainty. We combine the concept of the sub-game perfect strategies with the...
View ArticleThe microscopic relationships between triangular arbitrage and cross-currency...
Foreign exchange rates movements exhibit significant cross-correlations even on very short time-scales. The effect of these statistical relationships become evident during extreme market events, such...
View ArticleSensitivity Analysis in the Dupire Local Volatility Model with Tensorflow....
In a recent paper, we have demonstrated how the affinity between TPUs and multi-dimensional financial simulation resulted in fast Monte Carlo simulations that could be setup in a few lines of python...
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Building your competitive strategy? It’s all down to methodology
In late 2019, headlines around the world trumpeted the collapse of global travel giant Thomas Cook. Amid news of stranded families and freshly-redundant airline pilots volunteering to bring people...
View ArticleCall for Papers: Call for Papers on Green and Ethical Finance
ADBI, the Journal of Banking & Finance, and the Singapore Management Universityâs Sim Kee Boon Institute for Financial Economics invite paper submissions for presentation at a research...
View ArticleFinancial literacy and responsible finance in the FinTech era: capabilities...
Volume 26, Issue 4-5, March-April 2020, Page 297-301.
View ArticlePaul A. Montoya Named Associate Regional Director in Chicago Office
The Securities and Exchange Commission today announced that Paul A. Montoya has been named Associate Regional Director for Enforcement in the Chicago Regional Office. Mr. Montoya succeeds Robert J....
View ArticleLykke on Twitter
#LykkeFastFact Lykke intends to launch the 1st regulated #SecurityToken exchange upon receipt of #FINMA's Swiss Securities Dealer & #OTF license. Upon receiptâ¦
View ArticleClimate: The ‘OUR’ Between Dog and Wolf
By Bill Kelly, CEO, CAIA Association While this weekâs post may harken to a certain book written by John Coates, there is a different play on the metaphor at work here, with our wheezing planet...
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Data Update 3 for 2020: The Price of Risk!
When investing, risk is a given and if you choose to avoid it, at any cost, you will and in the last decade, you have borne a staggering cost in terms of returns unearned. At the other extreme, seeking...
View ArticleCommunity Matters: Heterogeneous Impacts of a Sanitation Intervention....
We study the effectiveness of a community-level information intervention aimed at improving sanitation using a cluster-randomized controlled trial (RCT) in Nigerian communities. The intervention,...
View ArticlePricing of debt and equity in a financial network with comonotonic...
In this paper we present formulas for the valuation of debt and equity of firms in a financial network under comonotonic endowments. We demonstrate that the comonotonic setting provides a lower bound...
View ArticleKelly Criterion: From a Simple Random Walk to L'{e}vy Processes....
The original Kelly criterion provides a strategy to maximize the long-term growth of winnings in a sequence of simple Bernoulli bets with an edge, that is, when the expected return on each bet is...
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