The severity and occurrence of rare events in financial markets has had a fundamental impact on the pricing and risk management of financial derivatives, such as volatility smile curves. However rare event modelling poses a problem in efficient and accurate simulation due to fundamental issues...

In this paper, a vectorized quadratic convex optimization algorithm based on Matlab's quadprog built-in function is proposed. We target specifically a classic problem confronted by portfolio analysts, that of optimizing asset allocation when choosing among several asset classes, in the context...

We examine the impact of return predictability and parameter uncertainty on investors' long-term portfolio allocations in the context of disappointment aversion. We find persisting horizon effects, with stocks appearing progressively more attractive at longer horizons as opposed to shorter ones....

In this paper, we propose a new stochastic simulation-based methodology for pricing discretely-monitored double barrier options and estimating the corresponding probabilities of execution. We develop our framework by employing a versatile tool for the estimation of rare event probabilities known...

Analogous to the way wind blows single grains of sand and the subsequent settling back atop sand dunes, we find statistical evidence to claim that the prices of cryptocurrencies exhibit similar unpredicted patterns, characterized by positive or negative jumps. Motivated by extant evidence of...