2 papers
q-fin.PM2022
Optimal market completion through financial derivatives with applications to volatility risk
Matt Davison, Marcos Escobar-Anel, Yichen Zhu
This paper investigates the optimal choices of financial derivatives to complete a financial market in the framework of stochastic volatility (SV) models. We introduce an efficient…
q-fin.PM2022
Derivatives-based portfolio decisions. An expected utility insight
Marcos Escobar-Anel, Matt Davison, Yichen Zhu
This paper challenges the use of stocks in portfolio construction, instead we demonstrate that Asian derivatives, straddles, or baskets could be more convenient substitutes. Our re…