定量金融
This study investigates the resilience of Environmental, Social, and Governance (ESG) investments during periods of financial instability, comparing them with traditional equity indices across major European markets-Germany, France, and…
We prove the existence of a Radner equilibrium in a model with population growth and analyze the effects on asset prices. A finite population of agents grows indefinitely at a Poisson rate, while receiving unspanned income and choosing…
We present closed analytical approximations for the pricing of Asian basket spread options under the Black-Scholes model. The formulae are obtained by using a stochastic Taylor expansion around a log-normal proxy model and are found to be…
By employing the technique of enlargement of filtrations, we demonstrate how to incorporate information about the future trend of the stochastic interest rate process into a financial model. By modeling the interest rate as an affine…
Concentrated liquidity automated market makers (AMMs), such as Uniswap v3, enable liquidity providers (LPs) to earn liquidity rewards by depositing tokens into liquidity pools. However, LPs often face significant financial losses driven by…
In the context of adapting to global changes, the diversification of the tourist offer seems to be a solution for the mid-mountain areas, which are structured around and dependent on ski tourism. However, it remains unclear how tourism…
We present a robust Deep Hedging framework for the pricing and hedging of option portfolios that significantly improves training efficiency and model robustness. In particular, we propose a neural model for training model embeddings which…
Simulation methods have always been instrumental in finance, and data-driven methods with minimal model specification, commonly referred to as generative models, have attracted increasing attention, especially after the success of deep…
We address the problem that classical risk measures may not detect the tail risk adequately. This can occur for instance due to averaging when calculating the Expected Shortfall. The current literature proposes the so-called adjusted…
A multivariate fractional Brownian motion (mfBm) with component-wise Hurst exponents is used to model and forecast realized volatility. We investigate the interplay between correlation coefficients and Hurst exponents and propose a novel…
This paper investigates real-time detection of spoofing activity in limit order books, focusing on cryptocurrency centralized exchanges. We first introduce novel order flow variables based on multi-scale Hawkes processes that account both…
Decentralized exchanges, such as those employing constant product market makers (CPMMs) like Uniswap V2, play a crucial role in the blockchain ecosystem by enabling peer-to-peer token swaps without intermediaries. Despite the increasing…
Building on our prior threshold-based analysis of six months of Poloniex trading data, we have extended both the temporal span and granularity of our study by incorporating minute-level OHLCV records for 1021 tokens around each confirmed…
The scope of this manuscript is to review some recent developments in statistics for discretely observed semimartingales which are motivated by applications for financial markets. Our journey through this area stops to take closer looks at…
We propose a numerical procedure for computing the prices of European options, in which the underlying asset price is a Markovian strict local martingale. If the underlying process is a strict local martingale and the payoff is of linear…
This paper generalizes the local variance gamma model of Carr and Nadtochiy, to a piecewise quadratic local variance function. The formulation encompasses the piecewise linear Bachelier and piecewise linear Black local variance gamma…
We propose a financial market model that comprises a savings account and a stock. The stock price process is modeled as a one-dimensional diffusion, in which two types of agents exist: an ordinary investor and a fundraiser who buys or sells…
We analyse a Monte Carlo particle method for the simulation of the calibrated Heston-type local stochastic volatility (H-LSV) model. The common application of a kernel estimator for a conditional expectation in the calibration condition…
Efficiently pricing multi-asset options poses a significant challenge in quantitative finance. Fourier methods leverage the regularity properties of the integrand in the Fourier domain to accurately and rapidly value options that typically…
This paper presents a dynamic game framework to analyze the role of large banks in interbank markets. By extending existing models, we incorporate a large bank as a dynamic decision-maker interacting with multiple small banks. Using the…