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Location: Geneva, Switzerland

Joined: November 3rd, 2011


Gilles Zumbach wrote a new blog post titled New: Cross-Sectional Universalities in Financial Time Series

When estimating process on financial time series, the usual method is to postulate the equations for the process and to estimate the parameter values for each time series. The implicit assumption is that the equations are universal (i.e. identical for all assets), while the parameters are specific (i.e. depending on the peculiarities of each asset). In this paper, we show that the parameter values can also be taken as universal. Two sets of time series are used for the study, one taken from the stock market and one generated by an ARCH process with fixed parameters. Both sets have the same...
(1191 days ago)

Gilles Zumbach is now a member of Computational Finance General Discussion (1706 days ago)

Gilles Zumbach wrote a new blog post titled New: Option Pricing and ARCH Processes

Recent progresses in option pricing using ARCH processes for the underlying are summarized. The stylized facts are multiscale heteroscedasticity, fat-tailed distributions, time reversal asymmetry, and leverage. The process equations are based on a finite time increment, relative returns, fat-tailed innovations, and multiscale ARCH volatility. The European option price is the expected payoff in the physical measure P weighted by the change of measure dQ/dP, and an expansion in the process increme
(1896 days ago)

About me:

I work in the industry as a "quant", doing research and development on many topics in finance, ranging from high-frequency data to long term forecasts, from option pricing to bond portfolio construction, from optimizing market orders to risk evaluations for complex portfolios. Recurring themes in my work are volatility, ARCH processes and their applications. I held various positions at banks, hedge funds and service providers and have written over 30 research papers in finance, most of them using careful empirical analyses combined with mathematical models. In a former life, I was as a physicist.