In this short note, we consider some problems of two - asset options pricing. In particular, we investigate the relationship between options prices and the 'correlation' parameter in the Black - Scholes model. Then, we consider the general case in the framework of the copula construction of risk...

In this paper, we consider Hopscotch methods for solving two - state financial models. We first derive a solution algorithm for two - dimensional partial differential equations with mixed boundary conditions. We then consider a number of financial applications including stochastic volatility...

Intense reflections are being conducted at the moment regarding the way to pool heterogeneous data coming from both banks' internal systems and industry-pooled databases. We propose here a sound methodology. As it relies on maximum likelihood principle, it is thus statistically rigorous and...

Copula functions have been introduced recently in finance. They are a general tool to construct multivariate distributions and to investigate dependence structure between random variables. In this paper, we show that copula functions may be extensively used to solve many financial problems. As...

This paper follows the different steps necessary for implementing a LDA in practice: - Step 1: Severity Estimation - Step 2: Frequency Estimation - Step 3: Capital Charge Computations - Step 4: Confidence Interval - Step 5: Self Assessment and Scenario Analysis For each of these steps, we try to...

The liquidity of exchange traded funds is of utmost importance for regulators, investors and providers. However, the study of liquidity is still in its infancy. In this work, we show some stylised facts of liquidity statistics (daily/intraday spread, trading volume, etc.). We also propose a new...

In this article, we consider smart beta indexing, which is an alternative to capitalization-weighted (CW) indexing. In particular, we focus on risk-based (RB) indexing, the aim of which is to capture the equity risk premium more effectively. To achieve this, portfolios are built which are more...

Fund selection is an important issue for investors. This topic has spawned abundant academic literature. Nonetheless, most of the time, these works concern only active management, whereas many investors, such as institutional investors, prefer to invest in index funds. The tools developed in the...

In the last few years, the financial advisory industry has been impacted by the emergence of digitalization and robo-advisors. This phenomenon affects major financial services, including wealth management, employee savings plans, asset managers, private banks, pension funds, banking services,...

In the last five years, the financial industry has been impacted by the emergence of digitalization and machine learning. In this article, we explore two methods that have undergone rapid development in recent years: Gaussian processes and Bayesian optimization. Gaussian processes can be seen as...