2 papers
q-fin.MF2025
Jump risk premia in the presence of clustered jumps
Francis Liu, Natalie Packham, Artur Sepp
This paper presents an option pricing model that incorporates clustered jumps using a bivariate Hawkes process. The process captures both self- and cross-excitation of positive and…
stat.AP2022
Universal Behavior of Opponent Statistics and Applications to the MLB
Francis Liu
In most popular sports leagues, like the MLB, NBA, and NFL, none of the commonly used statistics take into account the strengths of the opponents a player faces. One of the main re…