Search Results for author:
Found 11 papers, 0 papers with code
Optimal positioning in derivative securities in incomplete markets
When vanilla options are available for each underlying asset, the optimal solution is related to the fixed points of a Lipschitz map.
Robust Long-Term Growth Rate of Expected Utility for Leveraged ETFs
This paper analyzes the robust long-term growth rate of expected utility and expected return from holding a leveraged exchange-traded fund (LETF).
Monte Carlo Simulation for Trading Under a Lévy-Driven Mean-Reverting Framework
We present a Monte Carlo approach to pairs trading on mean-reverting spreads modeled by L\'evy-driven Ornstein-Uhlenbeck processes.
Financial Time Series Analysis and Forecasting with HHT Feature Generation and Machine Learning
We present the method of complementary ensemble empirical mode decomposition (CEEMD) and Hilbert-Huang transform (HHT) for analyzing nonstationary financial time series.
Adaptive Complementary Ensemble EMD and Energy-Frequency Spectra of Cryptocurrency Prices
We study the price dynamics of cryptocurrencies using adaptive complementary ensemble empirical mode decomposition (ACE-EMD) and Hilbert spectral analysis.
Optimal Dynamic Futures Portfolios Under a Multiscale Central Tendency Ornstein-Uhlenbeck Model
We study the problem of dynamically trading multiple futures whose underlying asset price follows a multiscale central tendency Ornstein-Uhlenbeck (MCTOU) model.
Optimal Dynamic Futures Portfolio in a Regime-Switching Market Framework
We study the problem of dynamically trading futures in a regime-switching market.
Optimal Trading of a Basket of Futures Contracts
We study the problem of dynamically trading multiple futures contracts with different underlying assets.
Tracking VIX with VIX Futures: Portfolio Construction and Performance
We study a series of static and dynamic portfolios of VIX futures and their effectiveness to track the VIX index.
A Top-Down Approach for the Multiple Exercises and Valuation of Employee Stock Options
We propose a new framework to value employee stock options (ESOs) that captures multiple exercises of different quantities over time.
Mean Reverting Portfolios via Penalized OU-Likelihood Estimation
We study an optimization-based approach to con- struct a mean-reverting portfolio of assets.
