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Found 8 papers, 0 papers with code
Asset management with an ESG mandate
We investigate the portfolio frontier and risk premia in equilibrium when an institutional investor aims to minimize the tracking error variance and to attain an ESG score higher than the benchmark's one (ESG mandate).
Hedging carbon risk with a network approach
As a consequence, while it is possible to obtain an efficient hedging portfolio strategy with our methodology for the carbon factor, the same cannot be achieved for the ESG one.
Is (independent) subordination relevant in option pricing?
We prove that a local semimartingale is not equivalent to a BM with a time-change that is independent from the BM.
A fast Monte Carlo scheme for additive processes and option pricing
In this paper, we present a very fast Monte Carlo scheme for additive processes: the computational time is of the same order of magnitude of standard algorithms for Brownian motions.
Short-time implied volatility of additive normal tempered stable processes
Empirical studies have emphasized that the equity implied volatility is characterized by a negative skew inversely proportional to the square root of the time-to-maturity.
Synthetic forwards and cost of funding in the equity derivative market
There is statistical evidence that, in the EURO STOXX 50 market, the implicit interest rate curve coincides with the EUR OIS one, while, in the S&P 500 market, a cost of funding of, on average, 34 basis points is added on top of the USD OIS curve.
Neural Network Middle-Term Probabilistic Forecasting of Daily Power Consumption
Middle-term horizon (months to a year) power consumption prediction is a main challenge in the energy sector, in particular when probabilistic forecasting is considered.
Additive normal tempered stable processes for equity derivatives and power law scaling
We introduce a simple model for equity index derivatives.
