12 citations · 45 across the 49 of their papers we have counts for
7 papers · 1 filter
Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models
Nuerxiati Abudurexiti, Kai He, Dongdong Hu +3
The paper Zhao et al. (2015) shows that mean-CVaR-skewness portfolio optimization problems based on asymetric Laplace (AL) distributions can be transformed into quadratic optimizat…
Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes
Abootaleb Shirvani, Stefan Mittnik, W. Brent Lindquist +1
We propose a doubly subordinated Levy process, NDIG, to model the time series properties of the cryptocurrency bitcoin. NDIG captures the skew and fat-tailed properties of bitcoin…
Moment Matching Method for Pricing Spread Options with Mean-Variance Mixture Lévy Motions
Dongdong Hu, Hasanjan Sayit, Svetlozar T. Rachev
The paper Borovkova et al. [4] uses moment matching method to obtain closed form formulas for spread and basket call option prices under log normal models. In this note, we also us…
Market Complete Option Valuation using a Jarrow-Rudd Pricing Tree with Skewness and Kurtosis
Yuan Hu, Abootaleb Shirvani, W. Brent Lindquist +2
Applying the Cherny-Shiryaev-Yor invariance principle, we introduce a generalized Jarrow-Rudd (GJR) option pricing model with uncertainty driven by a skew random walk. The GJR pric…
Global and Tail Dependence: A Differential Geometry Approach
Davide Lauria, Svetlozar T. Rachev, A. Alexandre Trindade
Measures of tail dependence between random variables aim to numerically quantify the degree of association between their extreme realizations. Existing tail dependence coefficients…
Global Index on Financial Losses due to Crime in the United States
Thilini Mahanama, Abootaleb Shirvani, Svetlozar Rachev
Crime can have a volatile impact on investments. Despite the potential importance of crime rates in investments, there are no indices dedicated to evaluating the financial impact o…