3 papers
q-fin.MF2020
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…
q-fin.PM2019
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…
q-fin.MF2017
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…