Zobrazeno 1 - 10
of 58
pro vyhledávání: '"Shirvani, Abootaleb"'
This study introduces novel concepts in the analysis of limit order books (LOBs) with a focus on unveiling strategic insights into spread prediction and understanding the global mid-price (GMP) phenomenon. We define and analyze the total market order
Externí odkaz:
http://arxiv.org/abs/2404.11722
This paper introduces the concept of a global financial market for environmental indices, addressing sustainability concerns and aiming to attract institutional investors. Risk mitigation measures are implemented to manage inherent risks associated w
Externí odkaz:
http://arxiv.org/abs/2308.15661
The financial industry should be involved in mitigating the risk of downturns in the financial wellbeing indices around the world by implementing well-developed financial tools such as insurance instruments on the underlying wellbeing indices. We def
Externí odkaz:
http://arxiv.org/abs/2303.05654
We propose a doubly subordinated Levy process, NDIG, to model the time series properties of the cryptocurrency bitcoin. NDIG captures the skew and fat-tailed properties of bitcoin prices and gives rise to an arbitrage free, option pricing model. In t
Externí odkaz:
http://arxiv.org/abs/2109.15051
Applying the Cherny-Shiryaev-Yor invariance principle, we introduce a generalized Jarrow-Rudd (GJR) option pricing model with uncertainty driven by a skew random walk. The GJR pricing tree exhibits skewness and kurtosis in both the natural and risk-n
Externí odkaz:
http://arxiv.org/abs/2106.09128
Crime can have a volatile impact on investments. Despite the potential importance of crime rates in investments, there are no indices dedicated to evaluating the financial impact of crime in the United States. As such, this paper presents an index-ba
Externí odkaz:
http://arxiv.org/abs/2105.03514
Autor:
Shirvani, Abootaleb1 (AUTHOR) ashirvan@kean.edu, Mittnik, Stefan2 (AUTHOR) mittnik@gmx.de, Lindquist, William Brent3 (AUTHOR) brent.lindquist@ttu.edu, Rachev, Svetlozar3 (AUTHOR) zari.rachev@ttu.edu
Publikováno v:
Risks. May2024, Vol. 12 Issue 5, p82. 21p.
Using the Donsker-Prokhorov invariance principle we extend the Kim-Stoyanov-Rachev-Fabozzi option pricing model to allow for variably-spaced trading instances, an important consideration for short-sellers of options. Applying the Cherny-Shiryaev-Yor
Externí odkaz:
http://arxiv.org/abs/2011.08343
Natural disasters, such as tornadoes, floods, and wildfire pose risks to life and property, requiring the intervention of insurance corporations. One of the most visible consequences of changing climate is an increase in the intensity and frequency o
Externí odkaz:
http://arxiv.org/abs/2008.03672
Autor:
Hu, Yuan, Shirvani, Abootaleb, Stoyanov, Stoyan, Kim, Young Shin, Fabozzi, Frank J., Rachev, Svetlozar T.
The objective of this paper is to introduce the theory of option pricing for markets with informed traders within the framework of dynamic asset pricing theory. We introduce new models for option pricing for informed traders in complete markets where
Externí odkaz:
http://arxiv.org/abs/2006.02596