Research Hub
Peer-Reviewed
- Using option prices to trade the underlying asset
- On bid and ask pricing of European options via direct discretization of Choquet distorted expectations
- Semi-parametric financial risk forecasting incorporating multiple realized measures
- On general semi-closed-form solutions for VIX derivative pricing
- Relaxing the assumption of conditional independence in an asymptotic single risk factor model
Pre-Prints
- A Global Minimum Tax for Large Firms Only: Implications for Tax Competition
- Turnover of investment portfolio via covariance matrix of returns
- Never-ending Search for Innovation
- Social media and suicide: empirical evidence from the quasi-exogenous geographical adoption of Twitter
- The Value of Solving Pains