Recent Papers
- 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
- Lower semicontinuity of monotone functionals in the mixed topology on $C_{b}$
- Multiperiod static hedging of European options
- Bonus caps and bankers’ risk-taking
- Financial performance in electricity and gas markets: some empirical evidence from a cluster analysis
- Assessing the efficiency of pure-play internet banks in South Korea, Japan and China with data envelopment analysis
- Algorithmic trading of real-time electricity with machine learning
- Joint SPX & VIX calibration with Gaussian polynomial volatility models: Deep pricing with quantization hints
- Distributionally robust optimization approaches to credit risk management of corporate loan portfolios
- Option pricing under the normal stochastic alpha–beta–rho model with Gaussian quadratures
- A method of classifying imbalanced credit data based on the AC-CTGAN hybrid sampling algorithm
- Optimal attention allocation: picking alpha or betting on beta?
- Unraveling Lebanon’s financial crisis: the path from promise to peril, delving into a risk strategist’s own experience
- Risk-free rate caplets pricing by CTMC approximation
- Sustainable power purchase contracts for local industries from floating-solar and pumped-hydro integration
- PARASIAN OVER PARISIAN, HOW MUCH EARLIER SHOULD ONE EXERCISE?
- THE EDGEWORTH AND GRAM–CHARLIER DENSITIES
- ANALYSIS OF OPTIMAL PORTFOLIO ON FINITE AND SMALL-TIME HORIZONS FOR A STOCHASTIC VOLATILITY MODEL WITH MULTIPLE CORRELATED ASSETS
- FITTING DYNAMICALLY CONSISTENT FORWARD RATE CURVES: ALGORITHM AND COMPARISON
- Importance sampling for option pricing with feedforward neural networks
- Cyber risk assessment model for information assets: a tailored approach for the financial and banking sector
