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Department of Mathematics & Statistics

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April 19, 2024 @ 12:00 pm - 1:00 pm CT
Semi-analytic pricing of American options in some time-dependent jump-diffusion models
online
Speaker: Prof. Andrey Itkin, Department of Risk and Financial Engineering, Tandon School of Engineering, NYU
In this paper we propose a semi-analytic approach to pricing American options for some time-dependent jump-diffusions models. The idea of the method is to further generalize our approach developed for pricing barrier, [Itkin et al., 2021], and American, [Carr […]
View seminar details: Semi-analytic pricing of American options in some time-dependent jump-diffusion models
April 19, 2024 @ 2:00 pm - 2:00 pm CT
Portfolio selection under non-gaussianity and systemic risk: A machine learning based forecasting approach
online
Speaker: Prof. Abderrahim Taamouti, Management School, University of Liverpool
The Sharpe-ratio-maximizing portfolio becomes questionable under non-Gaussian returns, and it rules out, by construction, systemic risk, which can negatively affect its out-of-sample performance. In the present work, we develop a new performance ratio that […]
View seminar details: Portfolio selection under non-gaussianity and systemic risk: A machine learning based forecasting approach

Department of Mathematics & Statistics

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Texas Tech University, 1108 Memorial Circle, Lubbock, TX 79409-1042
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806.742.2566
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math.dept@ttu.edu