12 citations · 45 across the 49 of their papers we have counts for
21 papers · 1 filter
The Three-Dimensional Decomposition of Volatility Memory
Ziyao Wang, A. Alexandre Trindade, Svetlozar T. Rachev
This paper develops a three-dimensional decomposition of volatility memory into orthogonal components of level, shape, and tempo. The framework unifies regime-switching, fractional…
Probability Weighting Meets Heavy Tails: An Econometric Framework for Behavioral Asset Pricing
Akash Deep, Svetlozar T. Rachev, Frank J. Fabozzi
We develop an econometric framework integrating heavy-tailed Student's distributions with behavioral probability weighting while preserving infinite divisibility. Using 432{,}7…
An Empirical Implementation of the Shadow Riskless Rate
Davide Lauria, JiHo Park, Yuan Hu +3
We address the problem of asset pricing in a market where there is no risky asset. Previous work developed a theoretical model for a shadow riskless rate (SRR) for such a market in…
Hedging via Perpetual Derivatives: Trinomial Option Pricing and Implied Parameter Surface Analysis
Jagdish Gnawali, W. Brent Lindquist, Svetlozar T. Rachev
We introduce a fairly general, recombining trinomial tree model in the natural world. Market-completeness is ensured by considering a market consisting of two risky assets, a riskl…
Dynamic Asset Pricing in a Unified Bachelier-Black-Scholes-Merton Model
W. Brent Lindquist, Svetlozar T. Rachev, Jagdish Gnawali +1
We present a unified, market-complete model that integrates both the Bachelier and Black-Scholes-Merton frameworks for asset pricing. The model allows for the study, within a unifi…
An Axiomatic Risk-Reward Framework for Sustainable Investing
Gabriele Torri, Rosella Giacometti, Darinka Dentcheva +2
Continued interest in sustainable investing calls for an axiomatic approach to measures of risk and reward that focus not only on financial returns, but also on measures of environ…