These days it's become convention (reinforced by the media's treatment of wealth) to assess our net worth by tallying up the market value of our financial assets, even though it's more natural and useful to think of our wealth as a stream of dollars over time given the nature of our income and...

"What are the origins of risks?'' and "How material are they?'' -- these are the two most fundamental questions of any risk analysis. Quantitative Structuring -- a technology for building financial products -- provides economically meaningful answers for both of these questions. It does so by...

We investigate the effect of including variance derivatives as calibration and hedging instruments for pricing and hedging exotic structures. This is studied empirically using market data for SPX and VIX derivatives applied in a stochastic volatility jump diffusion model

The paper is an empirical research work wherein the principle of Modern Portfolio Theory along with aspects of geographical diversification have been subjected to test. The validation of the said theory has been made via hypothesis testing in light of the financial market data. The paper has...

This lecture is given at the University of Leonard de Vinci, in Paris, France, to students of the School of Engineer program in Finance. It is a general introduction to the understanding of building blocks of the non-gaussian world and the shortcomings of the normal paradigm when pricing and...

This study addresses real estate's riskiness from a distributional viewpoint. Several studies have found real estate returns to be best modeled with stable paretian distributions. Using NCREIF individual property returns this is confirmed, but the first application of stable distributions to...

We provide an extreme value analysis of the returns of Bitcoin. A particular focus is on the tail risk characteristics and we will provide an in-depth univariate extreme value analysis. Those properties will be compared to the traditional exchange rates of the G10 currencies versus the US...

In this work, we have found a risk model that improves the performance of Risk Targeting. Risk Targeting in portfolio construction is implemented to improve capital utilization in growing markets and systematically step away from risk scenarios. However, the performance of risk targeting varies...

Using leverage to magnify performance is an idea that has enticed investors and traders throughout history. The critical question of when to employ leverage and when to reduce risk, though, is not often addressed. We establish that volatility is the enemy of leverage and that streaks in...

This paper develops methods and a framework of financial market theory. We model financial markets as a system of agents which perform market transactions with other agents under the action of numerous expectations. Agents' expectations are formed of economic and financial variables, market...