Purpose - As cryptocurrencies continue to gain viability as an asset class, institutional investors and publicly traded firms have started taking investment positions in digital currencies. What firms may not be considering, however, is the effect these assets may have on their risk profiles....

"Contemporary Quantitative Finance connects the abstract theory and the practical use of financial innovations such as ultra-high-frequency trading and cryptocurrencies. It teaches students how to use cutting-edge computational techniques, mathematical tools, and statistical methodologies, with...

In this paper, we extend the research on state price density (SPD) to a bivariate setting. This extention allows us to price derivative securities whose value depends on several state variables. As an example, we examine a bivariate SPD of stock price and discount rate. We propose a...

In this paper, we study the fundamental relation between the numerous macroeconomic releases and the term structure of interest rates via a dynamic factor model. We use two dynamic factors to extract the systematic information from a wide array of noisy and sparsely observed macroeconomic...

Backcalculation is a technique that was originally developed for the study of HIV incidence. Here we introduce some variants of the estimation technique that allow for (i) correlation of the unobserved disease incidence counts, and (ii) the use of a smoothing step as part of the maximizing step...