With the recent rise of Machine Learning (ML) as a candidate to partially replace classic Financial Mathematics (FM) methodologies, we investigate the performances of both in solving the problem of dynamic portfolio optimization in continuous-time, finite-horizon setting for a portfolio of two...

The aim of this technical document is threefold with the bigger picture being to contribute, within the challenging regulatory environment, to bring closer together traditional conflicting practices such as trading vs risk as well as risk responsiveness vs stability. In order to achieve this...

The change subsequent to the sub-prime crisis pushed pressure on decreased financial products complexity, going from exotics to vanilla options but increase in pricing efficiency. We introduce in this paper a more efficient methodology for vanilla option pricing using a scenario based particle...

In this paper, a shorter and more publication focused version of our recent article “A Bottom-Up Approach to the financial Markets” is presented. More specifically we propose a new approach to studying the financial markets using the Bottom-Up approach instead of the traditional Top-Down. We...

In this paper we propose a new approach to studying electronic trading & systemic risk by re-introducing the High Frequency Trading Ecosystem (HFTE) model [71]. We specify an approach in which agents interact through a topological structure designed to address the complexity demands of most...

A mathematical and a market argument on the sub-linearity of the wings for the implied variance is given. Gatheral stochastic volatility inspired (SVI) parameterization claim to have two key properties that have led to its subsequent popularity with practitioners is exposed. Namely the linearity...

Within the framework of the financial industry, when representing relationships between assets, correlation is typically used. However, academics have long since questioned this method due to the plethora of issues that plague it. Indeed, it is thought that cointegration is a natural replacement...

The financial industry is at the heart of our economy and fittingly comes under much scrutiny. Indeed, as a result of social and political pressure, particularly since the recent subprime crisis, more rigorous regulations have been imposed on both “authorized firms” and “approved...