In this thesis we present three closed form approximation methods for portfolio valuation and risk management.The first chapter is titled ``Kernel methods for portfolio valuation and risk management'', and is a joint work with Damir Filipovi'c (SFI and ...
Using data on international equity portfolio allocations by U.S. mutual funds, we estimate a portfolio expression derived from a standard mean-variance portfolio model extended with portfolio frictions. The optimal portfolio depends on the previous month a ...
In this article, we account for the liquidity risk in the underlying assets when pricing European exchange options, which has not been considered in the literature. An Ornstein-Uhlenbeck process with the mean -reversion property is selected to model the ma ...
In this paper, we present a spatial branch and bound algorithm to tackle the continuous pricing problem, where demand is captured by an advanced discrete choice model (DCM). Advanced DCMs, like mixed logit or latent class models, are capable of modeling de ...
This article derives a closed-form pricing formula for European exchange options under a non-Gaussianframework for the underlying assets, intending to resolve mispricing associated with a geometric Brownianmotion. The dynamics of each of the two correlated ...
Treating high dimensionality is one of the main challenges in the development of computational methods for solving problems arising in finance, where tasks such as pricing, calibration, and risk assessment need to be performed accurately and in real-time. ...
This thesis consists of three applications of machine learning techniques to empirical asset pricing.
In the first part, which is co-authored work with Oksana Bashchenko, we develop a new method that detects jumps nonparametrically in financial time series ...
We consider expected performances based on max-stable random fields and we are interested in their derivatives with respect to the spatial dependence parameters of those fields. Max-stable fields, such as the Brown-Resnick and Smith fields, are very popula ...
This paper presents an empirical case study on applying game-based learning in an undergraduate finance course. The paper describes the experimental study context, protocol, and results. Using multivariate regression analysis, a significant game effect on ...
We characterize the unique equilibrium in an economy populated by strategic CARA investors who trade multiple risky assets with arbitrarily distributed payoffs. We use our explicit solution to study the joint behavior of illiquidity of option contracts. Op ...
