Modeling COVID-19 pandemic with financial markets models: The case of Jaén (Spain)

no code implementations • 20 Jan 2023 • Julio Guerrero, Maria del Carmen Galiano, Giuseppe Orlando

The main objective of this work is to test whether some stochastic models typically used in financial markets could be applied to the COVID-19 pandemic.

valid

Straightening skewed markets with an index tracking optimizationless portfolio

no code implementations • 25 Mar 2022 • Daniele Bufalo, Michele Bufalo, Francesco Cesarone, Giuseppe Orlando

Then, assuming that the returns follow skew geometric Brownian motions and that they are correlated, we describe some statistical properties for the \emph{ex-post}, the \emph{ex-ante} tracking errors, and the forecasted tracking portfolio.

Asset Management Computational Efficiency

Stochastic Local Volatility models and the Wei-Norman factorization method

no code implementations • 27 Jan 2022 • Julio Guerrero, Giuseppe Orlando

In this paper, we show that a time-dependent local stochastic volatility (SLV) model can be reduced to a system of autonomous PDEs that can be solved using the Heat kernel, by means of the Wei-Norman factorization method and Lie algebraic techniques.