定量金融
In this paper, we employ Credit Default Swaps (CDS) to model the joint and conditional distress probabilities of banks in Europe and the U.S. using factor copulas. We propose multi-factor, structured factor, and factor-vine models where the…
This note revisits the SWIFT method based on Shannon wavelets to price European options under models with a known characteristic function in 2023. In particular, it discusses some possible improvements and exposes some concrete drawbacks of…
Whether the Refinitiv provide a reliable and trusted methodology in the process of aggregating 10 category scores to overall score?
This paper solves the consumption-investment problem under Epstein-Zin preferences on a random horizon. In an incomplete market, we take the random horizon to be a stopping time adapted to the market filtration, generated by all observable,…
This article extends, in a stochastic setting, previous results in the determination of feasible exchange ratios for merging companies. A first outcome is that shareholders of the companies involved in the merging process face both an upper…
We propose an alternative linearization to the classical Markowitz quadratic portfolio optimization model, based on maximum drawdown. This model, which minimizes maximum portfolio drawdown, is particularly appealing during times of…
This paper conducts an extensive analysis of Bitcoin return series, with a primary focus on three volatility metrics: historical volatility (calculated as the sample standard deviation), forecasted volatility (derived from GARCH-type…
Risk measures satisfying the axiom of comonotonic additivity are extensively studied, arguably because of the plethora of results indicating interesting aspects of such risk measures. Recent research, however, has shown that this axiom is…
In this paper we provide a quantitative analysis to the concept of arbitrage, that allows to deal with model uncertainty without imposing the no-arbitrage condition. In markets that admit ``small arbitrage", we can still make sense of the…
We present a model for price dynamics in the Automated Market Makers (AMM) setting. Within this framework, we propose a reference market price following a geometric Brownian motion. The AMM price is constrained by upper and lower bounds,…
This paper presents a data-driven interpretable machine learning algorithm for semi-static hedging of Exchange Traded options, considering transaction costs with efficient run-time. Further, we provide empirical evidence on the performance…
We study optimal control in models with latent factors where the agent controls the distribution over actions, rather than actions themselves, in both discrete and continuous time. To encourage exploration of the state space, we reward…
Cryptocurrencies have emerged as a novel financial asset garnering significant attention in recent years. A defining characteristic of these digital currencies is their pronounced short-term market volatility, primarily influenced by…
The growing interest in cryptocurrencies has drawn the attention of the financial world to this innovative medium of exchange. This study aims to explore the impact of cryptocurrencies on portfolio performance. We conduct our analysis…
We propose a discrete-time econometric model that combines autoregressive filters with factor regressions to predict stock returns for portfolio optimisation purposes. In particular, we test both robust linear regressions and general…
This study presents an analytical approach to sector rotation, leveraging both factor models and fundamental metrics. We initiate with a systematic classification of sectors, followed by an empirical investigation into their returns.…
Consider a finite set of trade orders and automated market makers (AMMs) at some state. We propose a solution to the problem of finding an equilibrium price vector to execute all the orders jointly with corresponding optimal AMMs swaps. The…
This study enhances option pricing by presenting unique pricing model fractional order Black-Scholes-Merton (FOBSM) which is based on the Black-Scholes-Merton (BSM) model. The main goal is to improve the precision and authenticity of option…
This paper describes an approach to simultaneously identify clusters and estimate cluster-specific regression parameters from the given data. Such an approach can be useful in learning the relationship between input and output when the…
In a universal framework that expresses any market system in terms of state transition rules, we prove that every DeFi market system has an invariant function and is thus by definition a CFMM; indeed, all automated market makers (AMMs) are…