Recent Papers
- Risk factor aggregation and stress testing
- Pricing airbag option via first passage time approach
- Regulating stochastic clocks§
- Short Option Maturity Term Structures of Skewness and Excess Kurtosis*
- An entropy-based class of moving averages
- Detecting asset price bubbles using deep learning
- Dynamic equilibrium with insider information and general uninformed agent utility
- Assessing network risk with FRM: links with pricing kernel volatility and application to cryptocurrencies
- Covariance matrix filtering and portfolio optimisation: the average oracle vs non-linear shrinkage and all the variants of DCC-NLS
- Spike and hike modeling for interest rate derivatives: with an application to SOFR caplets
- Equity auction dynamics: latent liquidity models with activity acceleration
- Valuation and hedging of cryptocurrency inverse options
- Preface
- OPTIMAL CLIMATE POLICY WITH NEGATIVE EMISSIONS
- THE FINANCIAL IMPACT OF CARBON EMISSIONS ON POWER UTILITIES UNDER CLIMATE SCENARIOS
- EFFICIENT WRONG-WAY RISK MODELING FOR FUNDING VALUATION ADJUSTMENTS
- When to efficiently rebalance a portfolio
- Improved robust price bounds for multi-asset derivatives under market-implied dependence information
- Tracking toxicity in fast and complex markets
- Volatility-sensitive Bayesian estimation of portfolio value-at-risk and conditional value-at-risk
- Does investors’ sentiment influence stock market volatility? Evidence from India during pre- and post-Covid-19 periods
- On joint marginal expected shortfall and associated contribution risk measures
- The impact of economic sentiment on financial portfolios during the recent turmoil
- Introducing and testing the Carr model of default
- Weight bound constraints in mean-variance models: a robust control theory foundation via machine learning