output
20142025
most citedA Semi-Parametric Approach to the Detection of Non-Gaussian Gravitational Wave Stochastic Backgrounds

32 citations

researchers with a paper here

Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.

collaborating institutions
Showing 2020Show all

6 papers · 1 filter

q-fin.MF2020

Option Pricing Incorporating Factor Dynamics in Complete Markets

Yuan Hu, Abootaleb Shirvani, W. Brent Lindquist +2

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 conside…

stat.ME2020★ 9 cited

Robust multivariate methods in Chemometrics

Peter Filzmoser, Sven Serneels, Ricardo Maronna +1

This chapter presents an introduction to robust statistics with applications of a chemometric nature. Following a description of the basic ideas and concepts behind robust statisti…

q-fin.TR2020★ 7 cited

Optimal Transport and Risk Aversion in Kyle's Model of Informed Trading

Kerry Back, Francois Cocquemas, Ibrahim Ekren +1

We establish connections between optimal transport theory and the dynamic version of the Kyle model, including new characterizations of informed trading profits via conjugate duali…

q-fin.MF2020★ 12 cited

Option Pricing in Markets with Informed Traders

Yuan Hu, Abootaleb Shirvani, Stoyan Stoyanov +3

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 mo…

q-fin.GN2020

Choosing the Right Return Distribution and the Excess Volatility Puzzle

Abootaleb Shirvani, Frank J. Fabozzi

Proponents of behavioral finance have identified several "puzzles" in the market that are inconsistent with rational finance theory. One such puzzle is the "excess volatility puzzl…

q-fin.MF2020★ 1 cited

Option Pricing in an Investment Risk-Return Setting

Abootaleb Shirvani, Frank J. Fabozzi, Stoyan V. Stoyanov

In this paper, we combine modern portfolio theory and option pricing theory so that a trader who takes a position in a European option contract and the underlying assets can constr…