Technical paper
High-performance applications of the nonuniform fast Fourier transform to option pricing
The authors propose a framework for Fourier-based option pricing overcoming key limitations of standard fast Fourier transform methods.
Pricing kernel monotonicity and the conservativeness of risk-neutral forecasts
This paper analyses the relationship between option-implied, risk-neutral forecasts and their real-world counterparts through the lens of stochastic dominance and pricing kernel monotonicity.
A generic nonparametric value-at-risk estimator for high dimensions
This paper presents a fast, nonparametric algorithm for VaR and CVaR estimation that remains accurate for an arbitrarily large number of underlying positions.
Quantification of margin of conservatism category C: correlations and quantification levels
The author suggests means for margin of conservatism type C quantification of overlapping one-year default rates and approximate the confidence level for MoC C quantification at grade level.
Bayesian clustering for portfolio credit risk
The authors put forward a Bayesian clustering model for constructing homogeneous risk buckets directly from loan credit histories which assigns weighted memberships across multiple clusters.
AI agents for cash management in payment systems
The authors asses to what extent generative artificial intelligence models can assist with high-level intraday liquidity-management tasks in wholesale payment systems.
Eclipsing the pyramid: stablecoins and settlement
This paper proposes the concept of the "settlement eclipse" which occurs when the settlement function of a layer of the monetary pyramid is occulted by the layer beneath it.
A study on investors’ behavioral patterns: examining influential factors with a focus on the mediating role of risk tolerance
This paper studies relationships between stock market investment behavior, risk tolerance and investor personality traits with data based from 467 investors.
Stock market performance and gross domestic product innovations
This papers investigates the relationship between stock market prices and GDP growths, finding that the latter tends to lead the former.
Sunny days and market swings: risk assessment in the Indian green venture landscape
The authors investigate the risk assessment of renewable energy businesses by applying the GARCH model to the effect of shocks on the volatility of the India renewable energy sector.
The log-signature-based time series Wasserstein generative adversarial network
This paper puts forward a method using neural networks to minimize the Wasserstein distance between log signatures to reduce the target dimension of the generator and increase performance
The fundamental representation of pricing adjustments
A unified representation of derivative pricing adjustments is presented
The role of dynamic measurement and early warning in China’s stock-market resilience: evidence from 28 industry sectors
The authors measure China's stock market resilience across two dimensions: absorption intensity and duration.
Bank loan credit risk pooling: risk diversification versus the moral hazard problem
This paper offers a credit risk pooling arrangement which negates the moral hazard problem and improves the risk-return profiles of participating banks.
Predicting Chinese carbon prices and influence factors: evidence from quantile shrinkage methods
This paper aims to forecast Chinese carbon prices by employing a range of predictors and analyzing their impact across various carbon market conditions and black swan events.
Geopolitical shocks and market memory: evidence from crypto and energy assets during the Russo-Ukrainian war
Focussing on energy stocks and cryptocurrencies prior to and during the Russo-Ukrainian conflict, this paper examines the impact of geopolitical conflict on the informational efficiency of financial markets
The variance-Hawkes process and its application to energy markets
The authors put forward a new model using as a Hawkes process as a subordinator in a standard Brownian motion which is applies to TWI crude oil and NYMEX natural gas futures.
Tailoring tails within the mixture model framework
Introducing a data generator mixing Gaussian and Student-t distributions to capture fat tails
The impact of environmental, social and governance scores on corporate risk: evidence from Chinese listed companies
The authors investigate how changes in ESG performance can impact firms' marker-based risk exposures.
Operational risk measurement: integrating the amplification effects of reputational risk
This paper puts forward a means to measure operational risk losses which integrates reputational and operational risks.
Differential machine learning with a difference
A technique to improve approximations for pricing derivatives with discontinuous payoffs is introduced