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Found 15 papers, 0 papers with code
Hedonic Models Incorporating ESG Factors for Time Series of Average Annual Home Prices
As the data for the annual price and predictor variables constitute non-stationary time series, to avoid spurious correlations in the analysis we transform each time series appropriately to produce stationary series for use in the GAM and GLM models.
Enhancing CVaR portfolio optimisation performance with GAM factor models
We propose a discrete-time econometric model that combines autoregressive filters with factor regressions to predict stock returns for portfolio optimisation purposes.
ESG-coherent risk measures for sustainable investing
The growing interest in sustainable investing calls for an axiomatic approach to measures of risk and reward that focus not only on financial returns, but also on measures of environmental and social sustainability, i. e. environmental, social, and governance (ESG) scores.
Unifying Market Microstructure and Dynamic Asset Pricing
We introduce a discrete binary tree for pricing contingent claims with the underlying security prices exhibiting history dependence characteristic of that induced by market microstructure phenomena.
Option pricing using a skew random walk pricing tree
Motivated by the Corns-Satchell, continuous time, option pricing model, we develop a binary tree pricing model with underlying asset price dynamics following It\^o-Mckean skew Brownian motion.
Hedonic Models of Real Estate Prices: GAM and Environmental Factors
We consider the use of P-spline generalized additive hedonic models for real estate prices in large U. S. cities, contrasting their predictive efficiency against linear and polynomial based generalized linear models.
ESG-valued discrete option pricing in complete markets
We consider option pricing using replicating binomial trees, with a two fold purpose.
ESG-Valued Portfolio Optimization and Dynamic Asset Pricing
ESG ratings provide a quantitative measure for socially responsible investment.
Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models
In this note, we give approximate closed form expressions for VaR and CVaR of portfolios of returns with NMVM distributions.
Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes
The first combines NDIG option pricing with the Cboe VIX model to compute an implied volatility; the second uses the volatility of the unit time increment of the NDIG model.
Moment Matching Method for Pricing Spread Options with Mean-Variance Mixture Lévy Motions
The paper Borovkova et al. [4] uses moment matching method to obtain closed form formulas for spread and basket call option prices under log normal models.
Market Complete Option Valuation using a Jarrow-Rudd Pricing Tree with Skewness and Kurtosis
Applying the Cherny-Shiryaev-Yor invariance principle, we introduce a generalized Jarrow-Rudd (GJR) option pricing model with uncertainty driven by a skew random walk.
Option Pricing Incorporating Factor Dynamics in Complete Markets
Using the Donsker-Prokhorov invariance principle we extend the Kim-Stoyanov-Rachev-Fabozzi option pricing model to allow for variably-spaced trading instances, an important consideration for short-sellers of options.
A New Set of Financial Instruments
In this paper, we propose a new method for hedging derivatives assuming that a hedger should not always rely on trading existing assets that are used to form a linear portfolio comprised of the risky asset, the riskless asset, and standard derivatives, but rather should design a set of specific, most-suited financial instruments for the hedging problem.
