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The increasing use of cryptoassets for international remittances has proven to be faster and more cost-effective, particularly for migrants without access to traditional banking. However, the inherent volatility of cryptoasset prices,…
XRP is a modern crypto-asset (crypto-currency) developed by Ripple Labs, which has been increasing its financial presence. We study its transaction history available as ledger data. An analysis of its basic statistics, correlations, and…
An Entropic Dynamics of exchange rates is laid down to model the dynamics of foreign exchange rates, FX, and European Options on FX. The main objective is to represent an alternative framework to model dynamics. Entropic inference is an…
We explore a stochastic model that enables capturing external influences in two specific ways. The model allows for the expression of uncertainty in the parametrisation of the stochastic dynamics and incorporates patterns to account for…
This paper aims at solving FX market volatility modeling problem and finding the most becoming approach to this task. Validity of two competing approaches, classical econometric generalized conditional heteroscedasticity and mathematical…
Accurate prediction of financial market volatility is critical for risk management, derivatives pricing, and investment strategy. In this study, we propose a multitude of regime-switching methods to improve the prediction of S&P 500…
Cryptocurrency networks such as Bitcoin have emerged as a distributed alternative to traditional centralized financial transaction networks. However, there are major challenges in scaling up the throughput of such networks. Lightning…
Recursive Marginal Quantization (RMQ) allows fast approximation of solutions to stochastic differential equations in one-dimension. When applied to two factor models, RMQ is inefficient due to the fact that the optimization problem is…
Robust routing under uncertainty is central to real-world logistics, yet most benchmarks assume static, idealized settings. We present SVRPBench, the first open benchmark to capture high-fidelity stochastic dynamics in vehicle routing at…
We propose Monte Carlo calibration algorithms for three models: local volatility with stochastic interest rates, stochastic local volatility with deterministic interest rates, and finally stochastic local volatility with stochastic interest…
In this chapter, we consider volatility swap, variance swap and VIX future pricing under different stochastic volatility models and jump diffusion models which are commonly used in financial market. We use convexity correction approximation…
For quantitative trading risk management purposes, we present a novel idea: the realized local volatility surface. Concisely, it stands for the conditional expected volatility when sudden market behaviors of the underlying occur. One is…
We discuss analytical results for a run-and-tumble particle (RTP) in one dimension in presence of boundary reservoirs. It exhibits `kinetic boundary layers', nonmonotonous distribution, current without density gradient, diffusion…
We study the problem of dynamically trading futures in a regime-switching market. Modeling the underlying asset price as a Markov-modulated diffusion process, we present a utility maximization approach to determine the optimal futures…
We develop a weakly intrusive framework to simulate the propagation of uncertainty in solutions of generic hyperbolic partial differential equation systems on graph-connected domains with nodal coupling and boundary conditions. The method…
This paper proposes an enhanced approach to modeling and forecasting volatility using high frequency data. Using a forecasting model based on Realized GARCH with multiple time-frequency decomposed realized volatility measures, we study the…
A time series model for the FX dynamics is presented which takes into account structural peculiarities of the market, namely its heterogeneity and an information flow from long to short time horizons. The model emerges from an analogy…
This paper investigates the hedging performance of pegged foreign exchange market in a regime switching (RS) model introduced in a recent paper by Drapeau, Wang and Wang (2019). We compare two prices, an exact solution and first order…
Regime switching volatility models provide a tractable method of modelling stochastic volatility. Currently the most popular method of regime switching calibration is the Hamilton filter. We propose using the Baum-Welch algorithm, an…
This paper examines how shocks to currency volatilities predict exchange rates. Using option-implied volatilities, we construct a dynamic, directed network of volatility connections. Currencies that transmit more volatility shocks, which…