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Option pricing and portfolio optimization under a multi-asset jump-diffusion model with systemic risk

Makarov, Roman - In: Risks : open access journal 11 (2023) 12, pp. 1-24

We explore a multi-asset jump-diffusion pricing model, combining a systemic risk asset with several conditionally independent ordinary assets. Our approach allows for analyzing and modeling a portfolio that integrates high-activity security, such as an exchange trading fund (ETF) tracking a...

Persistent link: https://www.econbiz.de/10014446758

Automated machine learning and asset pricing

Healy, Jerome V.; Gregoriou, Andros; Hudson, Robert - In: Risks : open access journal 12 (2024) 9, pp. 1-12

We evaluate whether machine learning methods can better model excess portfolio returns compared to the standard regression-based strategies generally used in the finance and econometric literature. We examine 17 benchmark factor model specifications based on Expected Utility Theory and theory...

Persistent link: https://www.econbiz.de/10015066381

No-arbitrage principle in conic finance

Vazifedan, Mehdi; Zhu, Qiji Jim - In: Risks : open access journal 8 (2020) 2/66, pp. 1-34

In a one price economy, the Fundamental Theorem of Asset Pricing (FTAP) establishes that no-arbitrage is equivalent to … the hyperplane that separates the attainable gain subspace and the convex cone representing arbitrage opportunities … anymore. We use convex optimization, and the conic property of this region to characterize the "no-arbitrage" principle in …

Persistent link: https://www.econbiz.de/10012293018

A general framework for portfolio theory, part III, multi-period markets and modular approach

Maier-Paape, Stanislaus; Platen, Andreas; Zhu, Qiji Jim - In: Risks : open access journal 7 (2019) 2/60, pp. 1-31

This is Part III of a series of papers which focus on a general framework for portfolio theory. Here, we extend a general framework for portfolio theory in a one-period financial market as introduced in Part I [Maier-Paape and Zhu, Risks 2018, 6(2), 53] to multi-period markets. This extension is...

Persistent link: https://www.econbiz.de/10012018996

Coherent-price systems and uncertainty-neutral valuation

Beißner, Patrick - In: Risks : open access journal 7 (2019) 3/98, pp. 1-18

This paper considers fundamental questions of arbitrage pricing that arises when the uncertainty model incorporates … extension of the paper by Ross (1976) (Ross, Stephen A. 1976. The arbitrage theory of capital asset pricing. Journal of Economic … and arbitrage in multiperiod securities markets. Journal of Economic Theory 20: 381–408), the paper establishes a micro …

Persistent link: https://www.econbiz.de/10012126423

Deep learning option price movement

Wang, Weiguan; Xu, Jia - In: Risks : open access journal 12 (2024) 6, pp. 1-17

Understanding how price-volume information determines future price movement is important for market makers who frequently place orders on both buy and sell sides, and for traders to split meta-orders to reduce price impact. Given the complex non-linear nature of the problem, we consider the...

Persistent link: https://www.econbiz.de/10014636721

Pricing options with vanishing stochastic volatility

Mastroeni, Loretta - In: Risks : open access journal 10 (2022) 9, pp. 1-16

in discrete space and continuous time. The market described allows fleeting arbitrage opportunities, since a vanishing …

Persistent link: https://www.econbiz.de/10013368982

Pricing options with vanishing stochastic volatility

Mastroeni, Loretta - In: Risks : open access journal 10 (2022) 9, pp. 1-16

in discrete space and continuous time. The market described allows fleeting arbitrage opportunities, since a vanishing …

Persistent link: https://www.econbiz.de/10013473177

US equity mean-reversion examined

Liew, Jim; Roberts, Ryan - In: Risks : open access journal 1 (2013) 3, pp. 162-175

In this paper we introduce an intra-sector dynamic trading strategy that captures mean-reversion opportunities across liquid U.S. stocks. Our strategy combines the Avellaneda and Lee methodology (AL; Quant. Financ. 2010, 10, 761-782) within the Black and Litterman framework (BL; J. Fixed Income,...

Persistent link: https://www.econbiz.de/10010338334

Sound deposit insurance pricing using a machine learning approach

Assa, Hirbod; Pouralizadeh, Mostafa; Badamchizadeh, … - In: Risks : open access journal 7 (2019) 2/45, pp. 1-18

inaccurate calibration of the implied volatility. This issue can raise the risk of generating an arbitrage. In this paper, first …, we discuss that by imposing the no-moral-hazard risk, the removal of arbitrage is equivalent to removing the static … arbitrage. Then, we propose a simple quadratic model to parameterize implied volatility and remove the static arbitrage. The …

Persistent link: https://www.econbiz.de/10012019237