17 citations · 32 across the 4 of their papers we have counts for
6 papers
Reproducing kernel Hilbert space methods for modelling the discount curve
Andreas Celary, Paul Krühner, Zehra Eksi
We consider the theory of bond discounts, defined as the difference between the terminal payoff of the contract and its current price. Working in the setting of finite-dimensional…
Affine Pricing and Hedging of Collateralized Debt Obligations
Zehra Eksi, Damir Filipović
This study deals with the pricing and hedging of single-tranche collateralized debt obligations (STCDOs). We specify an affine two-factor model in which a catastrophic risk compone…
Optimal Convergence Trading with Unobservable Pricing Errors
Sühan Altay, Katia Colaneri, Zehra Eksi
We study a dynamic portfolio optimization problem related to convergence trading, which is an investment strategy that exploits temporary mispricing by simultaneously buying relati…
Portfolio optimization for a large investor controlling market sentiment under partial information
Sühan Altay, Katia Colaneri, Zehra Eksi
We consider an investor faced with the utility maximization problem in which the risky asset price process has pure-jump dynamics affected by an unobservable continuous-time finite…
Pairs Trading under Drift Uncertainty and Risk Penalization
Sühan Altay, Katia Colaneri, Zehra Eksi
In this work, we study a dynamic portfolio optimization problem related to pairs trading, which is an investment strategy that matches a long position in one security with a short…
Optimal Liquidation under Partial Information with Price Impact
Katia Colaneri, Zehra Eksi, Rüdiger Frey +1
We study the optimal liquidation problem in a market model where the bid price follows a geometric pure jump process whose local characteristics are driven by an unobservable finit…