Quantitative Finance
The Chicago Board Options Exchange Volatility Index (VIX) is calculated from SPX options and derivatives of VIX are also traded in market, which leads to the so-called ``consistent modeling" problem. This paper proposes a time-changed…
This paper studies relative arbitrage opportunities in a market with competitive investors through stochastic differential games in the limit as the number of players tends to infinity. With common noises introduced by the stock…
We develop an econometric framework integrating heavy-tailed Student's $t$ distributions with behavioral probability weighting while preserving infinite divisibility. Using 432{,}752 observations across 86 assets (2004--2024), we…
This paper introduces a comprehensive framework for Financial Information Theory by applying information-theoretic concepts such as entropy, Kullback-Leibler divergence, mutual information, normalized mutual information, and transfer…
Binary options trading is often marketed as a field where predictive models can generate consistent profits. However, the inherent randomness and stochastic nature of binary options make price movements highly unpredictable, posing…
Financial markets are complex systems characterized by high statistical noise, nonlinearity, volatility, and constant evolution. Thus, modeling them is extremely hard. Here, we address the task of generating realistic and responsive Limit…
We use generative AI to extract managerial expectations about their economic outlook from 120,000+ corporate conference call transcripts. The resulting AI Economy Score predicts GDP growth, production, and employment up to 10 quarters…
We show that in a financial market given by semimartingales an arbitrage opportunity, provided it exists, can only be exploited through short selling. This finding provides a theoretical basis for differences in regulation for financial…
In the framework of bilateral Gamma stock models we seek for adequate option pricing measures, which have an economic interpretation and allow numerical calculations of option prices. Our investigations encompass Esscher transforms, minimal…
We investigate exponential stock models driven by tempered stable processes, which constitute a rich family of purely discontinuous L\'{e}vy processes. With a view of option pricing, we provide a systematic analysis of the existence of…
We investigate the existence of affine realizations for L\'{e}vy driven interest rate term structure models under the real-world probability measure, which so far has only been studied under an assumed risk-neutral probability measure. For…
L\'evy driven term structure models have become an important subject in the mathematical finance literature. This paper provides a comprehensive analysis of the L\'evy driven Heath-Jarrow-Morton type term structure equation. This includes a…
We show that while anonymization effectively obscures firm identity, it significantly reduces the power of textual understanding, thereby diminishing models' ability to extract meaningful economic signals from financial texts. This…
We investigate the use of Reinforcement Learning for the optimal execution of meta-orders, where the objective is to execute incrementally large orders while minimizing implementation shortfall and market impact over an extended period of…
Calibration of option pricing models is routinely repeated as markets evolve, yet modern systems lack an operator for removing data from a calibrated model without full retraining. When quotes become stale, corrupted, or subject to deletion…
This commentary translates the central ideas in Lead times in flux into a practice ready handbook in R. The original article measures change in the full distribution of booking lead times with a normalized L1 distance and tracks that…
Users engage with financial services companies through multiple channels, often interacting with mobile applications, web platforms, call centers, and physical locations to service their accounts. The resulting interactions are recorded at…
The false discovery rate (FDR) measures the share of false positives in a set of statistical tests. I develop simple and intuitive bounds on the FDR in cross-sectional predictability publications. The simplest bound requires just a few…
Directional-change Intrinsic Time analysis has long revealed scaling laws in market microstructure, but the origin of their stability remains elusive. This article presents evidence that Intrinsic Time can be modeled as a memoryless…
We develop a formalism for insurance profit optimisation for the in-force business constraint by regulatory and risk policy related requirements. This approach is applicable to Life, P&C and Reinsurance businesses and applies in all…