Quantitative Finance
We study the price impact of storage facilities in electricity markets and analyze the long-term profitability of these facilities in prospective scenarios of energy transition. To this end, we begin by characterizing the optimal operating…
In this paper, we investigate a complex variation of the standard joint life annuity policy by introducing three distinct contingent benefits for the surviving member(s) of a couple, along with a contingent benefit for their beneficiaries…
An insurance company, as a risk bearer, is exposed to the likelihood of running into ruin. This is the situation where the initial surplus falls below zero. There is the need to find the required start-up capital to hedge against…
Predicting volatility in financial markets, including stocks, index ETFs, foreign exchange, and cryptocurrencies, remains a challenging task due to the inherent complexity and non-linear dynamics of these time series. In this study, I apply…
Flaws of a continuous limit order book mechanism raise the question of whether a continuous trading session and a periodic auction session would bring better efficiency. This paper wants to go further in designing a periodic auction when…
The volatility fitting is one of the core problems in the equity derivatives business. Through a set of deterministic rules, the degrees of freedom in the implied volatility surface encoding (parametrization, density, diffusion) are…
This paper explores the practical approach to portfolio selection methods for investments. The study delves into portfolio theory, discussing concepts such as expected return, variance, asset correlation, and opportunity sets. It also…
In this article, we employ physics-informed residual learning (PIRL) and propose a pricing method for European options under a regime-switching framework, where closed-form solutions are not available. We demonstrate that the proposed…
Decentralized finance (DeFi) has revolutionized the financial landscape, with protocols like Uniswap offering innovative automated market-making mechanisms. This article explores the development of a backtesting framework specifically…
In the financial sector, a sophisticated financial time series simulator is essential for evaluating financial products and investment strategies. Traditional back-testing methods have mainly relied on historical data-driven approaches or…
In a seminal paper, F. Delbaen and W. Schachermayer proved that the classical NA ("no arbitrage") condition implies the existence of an "absolutely continuous local martingale measure" (ACLMM). It is known that in general the existence of…
We explore the performance of various artificial neural network architectures, including a multilayer perceptron (MLP), Kolmogorov-Arnold network (KAN), LSTM-GRU hybrid recursive neural network (RNN) models, and a time-delay neural network…
As an introduction to a Special Issue of International Journal of Theoretical and Applied Finance in Honour of the Memory of Thomas Robert Hurd we present a brief synopsis of Tom Hurd's scientific career and a bibliography of his scientific…
This paper proposes two algorithms for solving stochastic control problems with deep learning, with a focus on the utility maximisation problem. The first algorithm solves Markovian problems via the Hamilton Jacobi Bellman (HJB) equation.…
We examine the shapes attainable by the forward- and yield-curve in the widely-used Svensson family, including the Nelson-Siegel and Bliss subfamilies. We provide a complete classification of all attainable shapes and partition the…
We define a new model using a Hawkes process as a subordinator in a standard Brownian motion. We demonstrate that this Hawkes subordinated Brownian motion or more succinctly, variance-Hawkes process can be fit to 2018 and 2019 natural gas…
We mathematically demonstrate how and what it means for two collective pension funds to mutually insure one another against systematic longevity risk. The key equation that facilitates the exchange of insurance is a market clearing…
This study evaluates the effectiveness of a Mixture of Experts (MoE) model for stock price prediction by comparing it to a Recurrent Neural Network (RNN) and a linear regression model. The MoE framework combines an RNN for volatile stocks…
Professionals' decisions are the focus of every field. For example, politicians' decisions will influence the future of the country, and stock analysts' decisions will impact the market. Recognizing the influential role of professionals'…
We investigate the impact of several critical events associated with the Russo Ukrainian war, started officially on 24 February 2022 with the Russian invasion of Ukraine, on ten European electricity markets, two natural gas markets (the…