Journals
Pricing time-capped American options using a least squares Monte Carlo method
This paper uses a modified least squares Monte Carlo method to price time-capped American options.
The prediction of mortgage prepayment risks in the early stages of loan origination: a machine learning approach
The authors put forward a machine learning model for the prediction of mortgage prepayment risks at the loan origination phase.
Herding behavior in energy commodity futures markets amid turmoil and turmoil-free periods
This paper extends typical research on herding behavior to commodity futures markets, investigating five markets and finding herding behavior during the global financial crisis and at the beginning of the Russia - Ukraine conflict.
Pricing American options under irrational behavior in a Markov regime-switching model with a finite-element method
The authors investigate the problem of pricing American options under an irrational strategy, putting forward a method to negate this problem and demonstrate the performance of this model against alternatives.
Deep equal risk pricing of illiquid derivatives with multiple hedging instruments
The authors propose the using equal risk pricing for market-consistent valuation of illiquid financial derivatives, transferring information in liquid hedging strategy prices into the price of the illiquid derivative.
We will shock you: a coherent Bayesian approach for stress testing
The authors propose a novel coherent Bayesian stress test method which preserves the mathematical properties of the risk measures.
Optimal trade execution with unknown drift
This paper demonstrates a means through which to adapt results for optimal trading strategies under different conditions when the drift of the asset is unknown.
Advanced visualization for the quant strategy universe: clustering and dimensionality reduction
The authors present a novel visualisation model, based on 5000 quantitative investment strategies, which can identify nonlinear relationships and clustering strategies with similar risk factor exposures.
Expectile risk quadrangles and applications
The authors study the expectile risk measure within the fundamental risk quadrangle framework, constructing a new quadrangle where the expectile is both a statistic and a risk measure.
Retail payment technology and money demand: evidence from China
Using evidence from China between 1999 and 2020, the authors investigate the impact of retail payment technology on money demand.
Soft information in financial distress prediction: evidence of textual features in annual reports from Chinese listed companies
The authors use textual data in a model to predict financial distress, demonstrating that this can enhance prediction outcome versus traditional financial data alone.
On the boundary conditions adopted in stochastic volatility option pricing models
The authors recommend boundary conditions that should be adopted when pricing European- and American-style options under the Heston model.
Using option prices to trade the underlying asset
The authors propose strategies with which to trade the underlying assets of options based on large data sets generated by options trading.
Relaxing the assumption of conditional independence in an asymptotic single risk factor model
Within the framework of dynamic credit provisioning and stress testing, this paper shows how conditional correlation impacts an asymptotic single risk factor model.
Multiperiod static hedging of European options
The authors extend the approach of Carr and Wu (2014) to cover options over multiple short maturities and demonstrate a practical application of their proposed method.
Bonus caps and bankers’ risk-taking
The authors investigate the relationship between bankers' risk-taking and bonus caps, finding negligible evidence that bonus caps reduce risk taking at the median bank.
Financial performance in electricity and gas markets: some empirical evidence from a cluster analysis
The authors undertake a cluster analysis of energy companies in Italy and the UK for the period 2008-2017.
Assessing the efficiency of pure-play internet banks in South Korea, Japan and China with data envelopment analysis
The authors investigate the efficiency of pure-play internet banks in China, Japan and South Korea, recommending they focus on the management of noninterest expenses and income to ensure stable profts.
Distributionally robust optimization approaches to credit risk management of corporate loan portfolios
A new approach to manage credit risk in financial institutions - the empirical divergence-based distributionally robust optimization - is proposed and shown to alleviate the challenges of sample sparsity and data uncertainty in credit risk modeling.
Option pricing under the normal stochastic alpha–beta–rho model with Gaussian quadratures
The authors integrate a Gaussian quadrature for option pricing under the normal alpha–beta–rho model, which they demonstrate to calculate accurate, arbitrage-free price and delta.
A method of classifying imbalanced credit data based on the AC-CTGAN hybrid sampling algorithm
The authors put forward a novel method with which to identify risk in consumer credit data and demonstrate its enhanced generalization ability compared to commonly used methods.