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Risk-Adjusted Valuation for Real Option Decisions
We propose a risk-adjusted valuation model to facilitate investors' subjective decision making, in response to the market valuation of an investment opportunity.
Net Buying Pressure and the Information in Bitcoin Option Trades
How do supply and demand from informed traders drive market prices of bitcoin options?
Inverse and Quanto Inverse Options in a Black-Scholes World
Over 90% of exchange trading on crypto options has always been on the Deribit platform.
The Role of Binance in Bitcoin Volatility Transmission
We analyse high-frequency realised volatility dynamics and spillovers in the bitcoin market, focusing on two pairs: bitcoin against the US dollar (the main fiat-crypto pair) and trading bitcoin against tether (the main crypto-crypto pair).
Evaluating the Discrimination Ability of Proper Multivariate Scoring Rules
Proper scoring rules are commonly applied to quantify the accuracy of distribution forecasts.
Methodology Statistical Finance Applications
Hedging with Bitcoin Futures: The Effect of Liquidation Loss Aversion and Aggressive Trading
We consider the hedging problem where a futures position can be automatically liquidated by the exchange without notice.
