67 citations · 112 across the 10 of their papers we have counts for
10 papers
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…
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…
Influence Of Climate Change On The Corn Yield In Ontario And Its Impact On Corn Farms Income At The 2068 Horizon
Antoine Kornprobst, Matt Davison
Our study aims at quantifying the impact of climate change on corn farming in Ontario under several warming scenarios at the 2068 horizon. It is articulated around a discrete-time…
Machine Learning for Yield Curve Feature Extraction: Application to Illiquid Corporate Bonds
Greg Kirczenow, Masoud Hashemi, Ali Fathi +1
This paper studies an application of machine learning in extracting features from the historical market implied corporate bond yields. We consider an example of a hypothetical illi…
Machine Learning for Yield Curve Feature Extraction: Application to Illiquid Corporate Bonds (Preliminary Draft)
Greg Kirczenow, Ali Fathi, Matt Davison
This paper studies the application of machine learning in extracting the market implied features from historical risk neutral corporate bond yields. We consider the example of a hy…
Estimation of multiple change points under a generalised Ornstein-Uhlenbeck framework
Fuqi Chen, Rogemar Mamon, Matt Davison
The use of an Ornstein-Uhlenbeck (OU) process is ubiquitous in business, economics and finance to capture various price processes and evolution of economic indicators exhibiting me…