6 citations · 9 across the 3 of their papers we have counts for
5 papers
Proof-of-Work Cryptocurrencies: Does Mining Technology Undermine Decentralization?
Agostino Capponi, Sveinn Olafsson, Humoud Alsabah
Does the proof-of-work protocol serve its intended purpose of supporting decentralized cryptocurrency mining? To address this question, we develop a game-theoretical model where mi…
Personalized Robo-Advising: Enhancing Investment through Client Interaction
Agostino Capponi, Sveinn Olafsson, Thaleia Zariphopoulou
Automated investment managers, or robo-advisors, have emerged as an alternative to traditional financial advisors. The viability of robo-advisors crucially depends on their ability…
Change-point detection for Lévy processes
José E. Figueroa-López, Sveinn Ólafsson
Since the work of Page in the 1950s, the problem of detecting an abrupt change in the distribution of stochastic processes has received a great deal of attention. In particular, a…
Short-time asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps
José E. Figueroa-López, Sveinn Ólafsson
The implied volatility skew has received relatively little attention in the literature on short-term asymptotics for financial models with jumps, despite its importance in model se…
Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility
José E. Figueroa-López, Sveinn Ólafsson
In Figueroa-López et al. (2013), a second order approximation for at-the-money (ATM) option prices is derived for a large class of exponential Lévy models, with or without a Browni…