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- University College LondonGB54 papers
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4 papers · 1 filter
Heterogenous criticality in high frequency finance: a phase transition in flash crashes
Jeremy Turiel, Tomaso Aste
Flash crashes in financial markets have become increasingly important attracting attention from financial regulators, market makers as well as from the media and the broader audien…
Pricing methods for -quantile and perpetual early exercise options based on Spitzer identities
Carolyn E. Phelan, Daniele Marazzina, Guido Germano
We present new numerical schemes for pricing perpetual Bermudan and American options as well as -quantile options. This includes a new direct calculation of the optimal exercise…
The Physics of Financial Networks
Marco Bardoscia, Paolo Barucca, Stefano Battiston +6
The field of Financial Networks is a paramount example of the novel applications of Statistical Physics that have made possible by the present data revolution. As the total value o…
Optimizing Expected Shortfall under an constraint -- an analytic approach
Gábor Papp, Imre Kondor, Fabio Caccioli
Expected Shortfall (ES), the average loss above a high quantile, is the current financial regulatory market risk measure. Its estimation and optimization are highly unstable agains…