Recent Papers
- DeepVol: volatility forecasting from high-frequency data with dilated causal convolutions
- The impact of deterioration in rating-model discriminatory power on expected losses
- Consumer credit card payment dynamics over the economic cycle
- Unaligned exchange traded funds: risk-adjusted performance and market-timing skills
- Efficient option pricing in the rough Heston model using weak simulation schemes
- GDP-linked bonds as a new asset class
- Kernel-based estimation of spectral risk measures
- Analyzing market sentiment based on the option-implied distribution of stock returns
- Extreme ATM skew in a local volatility model with discontinuity: joint density approach
- Designing stablecoins
- Neural network empowered liquidity pricing in a two-price economy under conic finance settings
- Delving into the investment psyche: investigating the determinants influencing individual investors’ decision-making
- FX Open Forward
- Systemic risk in markets with multiple central counterparties
- Credit portfolio modeling and pricing using the Poisson binomial distribution
- Formulations to select assets for constructing sparse index tracking portfolios
- Financial industry adoption of distributed ledger technologies: implications for central bank money settlement
- The market liquidity of interest rate swaps
- Correlation breakdowns, spread positions and central counterparty margin models
- Risk sharing under heterogeneous beliefs without convexity
- Pricing and optimization of sidecar and collateralized reinsurance portfolios with stochastic programming
- Asset prices when large investors interact strategically
- PORTFOLIO MODELS FOR OPTIMIZING DRAWDOWN DURATION
- How is risk culture conceptualized in organizations? The pan-industry risk culture (PIRC) model
- Portfolio and reinsurance optimization under unknown market price of risk
