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Optimal market completion through financial derivatives with applications to volatility risk
This paper investigates the optimal choices of financial derivatives to complete a financial market in the framework of stochastic volatility (SV) models.
Derivatives-based portfolio decisions. An expected utility insight
This paper challenges the use of stocks in portfolio construction, instead we demonstrate that Asian derivatives, straddles, or baskets could be more convenient substitutes.
Machine Learning for Yield Curve Feature Extraction: Application to Illiquid Corporate Bonds (Preliminary Draft)
This paper studies the application of machine learning in extracting the market implied features from historical risk neutral corporate bond yields.
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