Quantitative Finance
We present a continuous-time portfolio selection framework that reflects goal-based investment principles and mental accounting behavior. In this framework, an investor with multiple investment goals constructs separate portfolios, each…
This paper studies systemic-risk connectedness in the European insurance sector at three levels of granularity: across major segments of financial markets, across insurance subsectors, and across individual insurance companies. Using a…
How to allocate limited resources to projects that will yield the greatest long-term benefits is a problem that often arises in decision-making under uncertainty. For example, organizations may need to evaluate and select innovation…
Probabilistic intraday electricity price forecasting is becoming increasingly important for short-term power-system operation. With increasing renewable generation, demand-side flexibility, and storage assets, market participants need to…
Automated equity trading requires converting noisy market and news signals into executable portfolio decisions under risk, turnover, and transaction costs. We propose Hierarchical Reinforced Trader (HRT), a bi-level reinforcement learning…
The paper presents a Bayesian framework for the calibration of financial models using neural stochastic differential equations (neural SDEs), for which we also formulate a global universal approximation theorem based on Barron-type…
A point process for event arrivals in high frequency trading is presented. The intensity is the product of a Hawkes process and high dimensional functions of covariates derived from the order book. Conditions for stationarity of the process…
Typically options with a path dependent payoff, such as Target Accumulation Redemption Note (TARN), are evaluated by a Monte Carlo method. This paper describes a finite difference scheme for pricing a TARN option. Key steps in the proposed…
This paper refutes the claim that the expected rate of return of the underlying asset plays no role in the Black-Scholes-Merton option pricing model.
The disposition effect describes investors' irrational behavior of selling profitable assets too soon while holding onto losing assets for too long. This study examines the impact of transparency at the firm level on the disposition effect…
In American options, the early exercise feature allows the option to be exercised at any time prior to expiration. However, this flexibility introduces a challenge: the pricing model must value the option while simultaneously determining an…
Barrier derivatives depend on extrema and first-passage events and are therefore highly sensitive to volatility dynamics -- especially to the instantaneous return-volatility correlation $\rho$, often called ``leverage''. This sensitivity…
The multidimensional Uncertain Volatility Model leads to robust option pricing problems under joint volatility and correlation uncertainty. Their numerical resolution quickly becomes challenging because the associated stochastic control…
USDC and USDT are the dominant stablecoins pegged to \$1 with a total market capitalization of over \$300B and rising. Stablecoins make dollar value globally accessible with secure transfer and settlement. Yet in practice, these stablecoins…
Diffusion Probabilistic Model (DDPM) for generating one-day-ahead arbitrage-free implied volatility surfaces. To capture the path-dependent nature of volatility dynamics, we condition our model on a set of market variables, including…
We study two complementary methodologies for calibrating implied volatility surfaces: analytical approximations and data-driven models based on rough path theory. On the analytical side, we revisit a second-order asymptotic expansion for…
This paper proposes a hybrid methodology to improve the approximation of SABR (Stochastic Alpha Beta Rho) implied volatility by combining analytical structure with machine learning. The approach augments the neural-network input…
This paper studies optimal liquidity provision for perpetual contracts when the funding rate is a stochastic state variable. The core extension to classical market making is the coupling between inventory and funding payments: inventory…
Lambda quantiles, originally introduced as lambda value at risk, generalise the classical value at risk by allowing for a variable confidence level. This work presents efficient algorithms for computing lambda quantiles and demonstrates…
The irrational behavior of investors selling profitable assets too early while holding onto losing assets for too long is known as the disposition effect. Due to the development of the Internet, the information environment for individual…