We adopt a family of nonparametric Cressie-Read estimators to price options based on relative pricing using the underlying asset returns. We use option models with stochastic volatility and jumps to investigate the ability of each member in this family to price options with different moneynesses...

We propose a new class of performance measures for Hedge Fund (HF) returns based on a family of empirically identifiable stochastic discount factors (SDFs). The SDF-based measures incorporate no-arbitrage pricing restrictions and naturally embed information about higher-order mixed moments...

What is the most statistically efficient way to do off-policy optimization with batch data from bandit feedback? For log data generated by contextual bandit algorithms, we consider offline estimators for the expected reward from a counterfactual policy. Our estimators are shown to have the...

Servicing clients can require posting Initial Margin (IM) for client trades, and for their hedges. IM should be forecast for both and reflected in MVA. For non-vanillas with dynamic hedges, forecasting hedge-trade IM is challenging as future hedge ratios are necessary, and future sensitivities...

In the present scenario, intellectual capital has been established as an important corporate asset because conventional performance measurement techniques are incapable of measuring the intangible dimensions of corporate performance. It is a challenge, especially for knowledge driven firms, to...

Turkish Abstract: Vergi gelirleri, Türkiye ekonomisinin en önemli gelir kalemlerinden birisidir. Vergi gelirleri güçlü bir ekonominin en önemli göstergesidir. Ülkemizde yıllar itibariyle vergi gelirleri sürekli bir artış göstermiş ve 2018 yılı itibariyle vergi gelirlerinin...

We develop a fundamental law of active management based on cross-section factor models for residual returns where the latter have unconditional mean zero and the factor exposures have zero mean and unit variance. Under our model framework the factor returns are cross-sectional information...

We propose a new methodology for obtaining arbitrage free European option prices from a SABR-like parameterisation. The method consists of specifying the joint distribution of the volatility and underlying at a given expiry and requires the calculation of a simple one-dimensional numerical...

In this supplemental article, we introduce some useful results in spectral theory and perturbation theory. Some of the results are well-established. We briefly review them for the purpose of easy reference. We derive a novel bound for the perturbation of eigenprojections, which plays a key role...

Machine learning has been growing in importance in empirical accounting research. In this opinion piece, I review the unique challenges of going beyond prediction and leveraging these tools into generalizable conceptual insights. Taking as springboard "Machine learning improves accounting...