Quantitative Finance
Active investing aims to construct a portfolio of assets that are believed to be relatively profitable in the markets, with one popular method being to construct a portfolio via factor-based strategies. In recent years, there have been…
Accurately defining, measuring and mitigating risk is a cornerstone of financial risk management, especially in the presence of financial contagion. Traditional correlation-based risk assessment methods often struggle under volatile market…
Merton portfolio management problem is studied in this paper within a stochastic volatility, non constant time discount rate, and power utility framework. This problem is time inconsistent and the way out of this predicament is to consider…
Along with the increasing frequency and severity of cyber incidents, understanding their economic implications is paramount. In this context, listed firms' reactions to cyber incidents are compelling to study since they (i) are a good proxy…
Why would a blockchain-based startup and its venture capital investors choose to finance by issuing tokens instead of equity? What would be their rates of return for each asset? This paper focuses on the liquidity difference between the two…
This paper explores the integration of Explainable Automated Machine Learning (AutoML) in the realm of financial engineering, specifically focusing on its application in credit decision-making. The rapid evolution of Artificial Intelligence…
This study investigates the relationship between tweet sentiment across diverse categories: news, company opinions, CEO opinions, competitor opinions, and stock market behavior in the biotechnology sector, with a focus on understanding the…
In prior methods, it was observed that the application of Convolutional Neural Networks agent in Deep Reinforcement Learning to financial data resulted in an enhanced reward. In this study, a specific permutation was applied to the feature…
Shadow prices simplify the derivation of optimal trading strategies in markets with transaction costs by transferring optimization into a more tractable, frictionless market. This paper establishes that a na\"ive shadow price Ansatz for…
Assessing climate risk and its potential impacts on our cities and economies is of fundamental importance. Extreme weather events, such as hurricanes, floods, and storm surges can lead to catastrophic damages. We propose a flexible approach…
The rough Bergomi (rBergomi) model can accurately describe the historical and implied volatilities, and has gained much attention in the past few years. However, there are many hidden unknown parameters or even functions in the model. In…
In this article we consider an aggregate loss model with dependent losses. The losses occurrence process is governed by a two-state Markovian arrival process (MAP2), a Markov renewal process process that allows for (1) correlated…
This paper describes an architecture for predicting the price of cryptocurrencies for the next seven days using the Adaptive Network Based Fuzzy Inference System (ANFIS). Historical data of cryptocurrencies and indexes that are considered…
We extend the opinion formation approach to probe the world influence of economical organizations. Our opinion formation model mimics a battle between currencies within the international trade network. Based on the United Nations Comtrade…
During his state visit to China in April 2023, Brazilian President Lula proposed the creation of a trade currency supported by the BRICS countries. Using the United Nations Comtrade database, providing the frame of the world trade network…
In this paper we study pricing of American put options on the Black and Scholes market with a stochastic interest rate and finite-time maturity. We prove that the option value is a $C^1$ function of the initial time, interest rate and stock…
It is well-known that using delta hedging to hedge financial options is not feasible in practice. Traders often rely on discrete-time hedging strategies based on fixed trading times or fixed trading prices (i.e., trades only occur if the…
We consider closed-form approximations for European put option prices within the Heston and GARCH diffusion stochastic volatility models with time-dependent parameters. Our methodology involves writing the put option price as an expectation…
The relationship between expectation and price is commonly established with two principles: no-arbitrage, which asserts that both maps are positive; and equivalence, which asserts that the maps share the same null events. Constructed from…
We introduce a framework for quantifying propagation of uncertainty arising in a dynamic setting. Specifically, we define dynamic uncertainty sets designed explicitly for discrete stochastic processes over a finite time horizon. These…