Pricing VIX derivatives with infinite‐activity jumps

J Cao, X Ruan, S Su, W Zhang - Journal of Futures Markets, 2020 - Wiley Online Library
In this paper, we investigate a two‐factor VIX model with infinite‐activity jumps, which is a
more realistic way to reduce errors in pricing VIX derivatives, compared with Mencía and …

[图书][B] Introduction to Econophysics: contemporary approaches with Python simulations

CR Da Cunha - 2021 - taylorfrancis.com
Econophysics explores the parallels between physics and economics and is an exciting
topic that is attracting increasing attention. However there is a lack of literature that explains …

[HTML][HTML] Mitigating Sociodemographic Bias in Opioid Use Disorder Prediction: Fairness-Aware Machine Learning Framework

M Yaseliani, M Noor-E-Alam, MM Hasan - JMIR AI, 2024 - ai.jmir.org
Background Opioid use disorder (OUD) is a critical public health crisis in the United States,
affecting> 5.5 million Americans in 2021. Machine learning has been used to predict patient …

Specification analysis of VXX option pricing models under Lévy processes

J Cao, X Ruan, S Su, W Zhang - Journal of Futures Markets, 2021 - Wiley Online Library
We conduct a comprehensive study on the specifications of VXX option pricing models
under Lévy processes during the period from 2010 to 2017 based on in‐sample and out‐of …

[PDF][PDF] Effect of interest rate capping on operating performance indicators of commercial banks in Kenya: A Case Study of KCB Bank (Kenya) Limited

FO Okwany - 2017 - academia.edu
The main purpose of this study was to investigate the effects of interest rate capping on the
operating performance of commercial banks in Kenya with a case study of KCB Bank Kenya …

Pricing Volatility Derivatives Under Lévy Processes

S Su - 2021 - openrepository.aut.ac.nz
In this thesis, we study the pricing of the volatility derivatives, including VIX options, VIX
futures, VXX options and S&P 500 variance futures, under Lévy processes with stochastic …

Dynamic Portfolio Decisions with Time-Varying Asset Returns and Labor Income

W Semmler - The Journal of Wealth Management, 2012 - search.proquest.com
This article establishes a basic framework on a portfolio model for a financial fund that
manages savings for retirement income and for which the inflows to the fund are asset …

Effect Of Interest Rate Capping On Loan Default Rate Among Deposit Taking Micro Financial Institutions In Kenya

V Mbithi - 2019 - erepository.uonbi.ac.ke
Capping of interest rates was undertaken by the government of Kenya as a strategy to help
curb the increased lending rates that were charged by commercial banks. The capping …

[PDF][PDF] Розповсюджувати та тиражувати без офіційного дозволу КНЕУ заборонено

ОІ Рогач, ІВ Журавльова, КВ Павлюк - 2017 - researchgate.net
У затвердженій Радою НБУ грошово-кредитній політиці на 2017 рік «Основні засади
грошово-кредитної політики на 2017 рік та середньострокову перспективу» наголошено …

[PDF][PDF] ARE FEMALEBORROWERS LESS RISKY THAN MEN? EMPIRICAL EVIDENCE FROM BURUNDIAN MICROFINANCE INSTITUTIONS.

N Rédempteur, N Cyriaque - … , GOUVERNANCE, MICROFINANCE ET …, 2016 - ub.edu.bi
The general purpose of this paper is to examine the creditworthiness of women compared to
men. We use a database gathered from Burundian National Federation of Saving and Credit …