Search Results for author:
Found 9 papers, 0 papers with code
Quanto Option Pricing on a Multivariate Levy Process Model with a Generative Artificial Intelligence
Finally, we provide a method to find an equivalent martingale measure on the gNTS model and to price the quanto option using the CRealNVP model with the risk-neutral parameters of the gNTS model.
Portfolio Optimization with Relative Tail Risk
This paper proposes analytic forms of portfolio CoVaR and CoCVaR on the normal tempered stable market model.
Deep Calibration With Artificial Neural Network: A Performance Comparison on Option Pricing Models
This paper explores Artificial Neural Network (ANN) as a model-free solution for a calibration algorithm of option pricing models.
Diversified reward-risk parity in portfolio construction
We introduce diversified risk parity embedded with various reward-risk measures and more generic allocation rules for portfolio construction.
Sample path generation of the stochastic volatility CGMY process and its application to path-dependent option pricing
This paper proposes the sample path generation method for the stochastic volatility version of CGMY process.
Cryptocurrency portfolio optimization with multivariate normal tempered stable processes and Foster-Hart risk
Statistical tests suggest that the MNTS distributed GARCH model fits better with cryptocurrency returns than the competing GARCH-type models.
Portfolio Optimization on Multivariate Regime Switching GARCH Model with Normal Tempered Stable Innovation
Out-of-sample tests show that the optimal portfolios with tail measures outperform the optimal portfolio with standard deviation measure and the equally weighted portfolio in various performance measures.
Portfolio Optimization on the Dispersion Risk and the Asymmetric Tail Risk
On the new market model, we discuss a new portfolio optimization method, which is an extension of Markowitz's mean-variance optimization.
Tempered Stable Processes with Time Varying Exponential Tails
We can see that the stochastic exponential tail makes the model better to analyze the market option prices by the calibration.
