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Beyond the Bid-Ask: Strategic Insights into Spread Prediction and the Global Mid-Price Phenomenon
This study introduces novel concepts in the analysis of limit order books (LOBs) with a focus on unveiling strategic insights into spread prediction and understanding the global mid-price (GMP) phenomenon.
The Financial Market of Environmental Indices
This paper introduces the concept of a global financial market for environmental indices, addressing sustainability concerns and aiming to attract institutional investors.
The Financial Market of Indices of Socioeconomic Wellbeing
The financial industry should be involved in mitigating the risk of downturns in the financial wellbeing indices around the world by implementing well-developed financial tools such as insurance instruments on the underlying wellbeing indices.
Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes
The first combines NDIG option pricing with the Cboe VIX model to compute an implied volatility; the second uses the volatility of the unit time increment of the NDIG model.
Market Complete Option Valuation using a Jarrow-Rudd Pricing Tree with Skewness and Kurtosis
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.
Global Index on Financial Losses due to Crime in the United States
Despite the potential importance of crime rates in investments, there are no indices dedicated to evaluating the financial impact of crime in the United States.
Option Pricing Incorporating Factor Dynamics in Complete Markets
Using the Donsker-Prokhorov invariance principle we extend the Kim-Stoyanov-Rachev-Fabozzi option pricing model to allow for variably-spaced trading instances, an important consideration for short-sellers of options.
A Natural Disasters Index
Natural disasters, such as tornadoes, floods, and wildfire pose risks to life and property, requiring the intervention of insurance corporations.
Rational Finance Approach to Behavioral Option Pricing
When pricing options, there may be different views on the instantaneous mean return of the underlying price process.
Choosing the Right Return Distribution and the Excess Volatility Puzzle
In this paper, we offer a resolution to the excess volatility puzzle within the context of rational finance.
Behavioral Finance -- Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle: The Rational Finance Approach
In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as anomalies the theory of rational finance cannot explain: Predictability of asset returns, The Equity Premium, (The Volatility Puzzle.
Option Pricing with Greed and Fear Factor: The Rational Finance Approach
We explain the main concepts of Prospect Theory and Cumulative Prospect Theory within the framework of rational dynamic asset pricing theory.
A New Set of Financial Instruments
In this paper, we propose a new method for hedging derivatives assuming that a hedger should not always rely on trading existing assets that are used to form a linear portfolio comprised of the risky asset, the riskless asset, and standard derivatives, but rather should design a set of specific, most-suited financial instruments for the hedging problem.
