"Sustainable investing has recently gained traction throughout the world. This trend has multiple sources, which span from genuine ethical concerns to hopes of performance boosting, and also encompass risk mitigation. The resulting appetite for green assets is impacting the decisions of many...

Chapter 1 ESG dataChapter 2 Investors & SRIChapter 3 ESG investing and financial performanceChapter 4 Quantitative portfolio construction with ESG data and criteriaChapter 5 Climate change riskChapter 6 SRI in economic equilibriaChapter 7 Conclusion

In this paper, we document the importance of memory in machine learning (ML)-based models relying on firm characteristics for asset pricing. We find that predictive algorithms perform best when they are trained on long samples, with long-term returns as dependent variables. In addition, we...

In this paper we consider the problem of pricing and hedging European derivatives written on two underlying assets, when individual marginal distributions are known. Our aim is twofold. First, we conduct a parallel analysis between implied volatility and implied correlation for spread options in...

This paper considers the problem of measuring the exposure to dependence risk carried by a portfolio with an arbitrary number of two-asset derivative contracts. We develop a worst-case risk measure computed over a set of dependence scenarios within a divergence restricted region. The set of...

Our first aim in this paper is to introduce a futures-based model able of capturing the main features displayed by Crude Oil futures and options contracts, such as the Samuelson volatility effect and the volatility smile. We calculate the joint characteristic function of two futures contracts in...