Research Hub
Peer-Reviewed
- Modeling systemic operational risk in the Covid-19 pandemic
- Pricing the correlation skew with normal mean–variance mixture copulas
- A novel state-transition forest: pricing corporate securities with intertemporal exercise policies and corresponding capital structure changes
- Jacobi stochastic volatility factor for the LIBOR market model
- Optimal dynamic regulation of carbon emissions market
Pre-Prints
- Inter-order relations between moments of a Student $t$ distribution, with an application to $L_p$-quantiles. (arXiv:2209.12855v1 [math.ST])
- Does limited liability reduce leveraged risk?: The case of loan portfolio management. (arXiv:2209.12636v1 [q-fin.PM])
- Neural variance reduction for stochastic differential equations. (arXiv:2209.12885v1 [math.NA])
- Feature-Rich Long-term Bitcoin Trading Assistant. (arXiv:2209.12664v1 [q-fin.ST])
- Equilibrium Pricing of Securities in the Co-presence of Cooperative and Non-cooperative Populations. (arXiv:2209.12639v1 [q-fin.MF])