no code implementations • 29 Aug 2023 • Thisari K. Mahanama, Abootaleb Shirvani, Svetlozar Rachev, Frank J. Fabozzi
This paper introduces the concept of a global financial market for environmental indices, addressing sustainability concerns and aiming to attract institutional investors.
no code implementations • 29 Mar 2023 • Yuan Hu, W. Brent Lindquist, Svetlozar T. Rachev, Frank J. Fabozzi
Motivated by the Corns-Satchell, continuous time, option pricing model, we develop a binary tree pricing model with underlying asset price dynamics following It\^o-Mckean skew Brownian motion.
no code implementations • 16 Jun 2021 • Yuan Hu, Abootaleb Shirvani, W. Brent Lindquist, Frank J. Fabozzi, Svetlozar T. Rachev
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.
no code implementations • 16 Nov 2020 • Yuan Hu, Abootaleb Shirvani, W. Brent Lindquist, Frank J. Fabozzi, Svetlozar T. Rachev
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.
no code implementations • 10 May 2020 • Jiexin Dai, Abootaleb Shirvani, Frank J. Fabozzi
When pricing options, there may be different views on the instantaneous mean return of the underlying price process.
no code implementations • 24 Jan 2020 • Abootaleb Shirvani, Frank J. Fabozzi
In this paper, we offer a resolution to the excess volatility puzzle within the context of rational finance.
no code implementations • 9 Oct 2017 • Svetlozar Rachev, Stoyan Stoyanov, Stefan Mittnik, Frank J. Fabozzi, Abootaleb Shirvani
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.
no code implementations • 24 Sep 2017 • Svetlozar Rachev, Frank J. Fabozzi, Boryana Racheva-Iotova, Abootaleb Shirvani
We explain the main concepts of Prospect Theory and Cumulative Prospect Theory within the framework of rational dynamic asset pricing theory.
no code implementations • 2 Dec 2016 • Abootaleb Shirvani, Stoyan V. Stoyanov, Svetlozar T. Rachev, Frank J. Fabozzi
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.
