Tilman Sayer

Advanced Logic Analytics

London

United Kingdom

SCHOLARLY PAPERS

6

DOWNLOADS

509

CITATIONS

0

Scholarly Papers (6)

Actions:
Email selected abstracts
1.

An Impact Measure for News: Its Use in Daily Trading Strategies

Number of pages: 25 Posted: 12 Dec 2015
Xiang Yu, Gautam Mitra, Cristiano Arbex-Valle and Tilman Sayer
OptiRisk Systems, Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications, OptiRisk Systems and Advanced Logic Analytics
Downloads 254 (118,638)

Abstract:

Loading...

news sentiment, news impact, efficient market hypothesis daily trading, predictive analytics, asset returns, volatility of assets, liquidity of assets, GARCH model, bid-ask spread, news metadata, market data, volatility pumping, Kelly strategy

2.

Filter-based Portfolio Strategies in an HMM Setting with Varying Correlation Parametrizations

Number of pages: 31 Posted: 02 Dec 2016 Last Revised: 24 Nov 2017
Christina Erlwein-Sayer, Stefanie Grimm, Peter Ruckdeschel, Jörn Sass and Tilman Sayer
Fraunhofer Gesellschaft - Institute of Industrial Mathematics (ITWM), Fraunhofer Gesellschaft - Department of Finance, University of Oldenburg - School of Mathematics and Science, University of Kaiserslautern - Department of Mathematics and Advanced Logic Analytics
Downloads 114 (238,806)
Citation 1

Abstract:

Loading...

Multivariate HMM, Filtering, Regime switching model, Portfolio optimization

3.

Pricing Employee Stock Options under Stochastic Volatility

Number of pages: 25 Posted: 10 Jan 2013
Tilman Sayer
Advanced Logic Analytics
Downloads 83 (296,625)

Abstract:

Loading...

Heston model, employee stock options, subjective market beliefs, tree model, performance hurdle

4.

Computation of the Delta of European Options Under Stochastic Volatility Models

Number of pages: 19 Posted: 02 Dec 2016
Yeliz Yolcu-Okur, Tilman Sayer, Bilgi Yilmaz and B. Alper Inkaya
Middle Eastern Technical University Ankara, Advanced Logic Analytics, Middle Eastern Technical University Ankara and Middle Eastern Technical University Ankara
Downloads 58 (357,751)

Abstract:

Loading...

Greeks, Malliavin calculus, Stochastic volatility

5.

Joining the Heston and a Three-Factor Hull-White Model: A Closed-Form Approach

International Journal of Theoretical and Applied Finance, Vol. 18, No. 8, 2015
Posted: 21 Jun 2014 Last Revised: 28 Jan 2017
Roman Horsky and Tilman Sayer
Das Fraunhofer-Institut für Techno- und Wirtschaftsmathematik ITWM and Advanced Logic Analytics

Abstract:

Loading...

Option valuation, Heston model, two-factor Hull-White model, Stochastic volatility, Stochastic interest rate, Analytic solution

6.

Pricing American Options in the Heston Model: A Close Look on Incorporating Correlation

Journal of Derivatives, Vol. 20, No. 3, 2013
Posted: 30 Mar 2011 Last Revised: 20 Jun 2014
Peter Ruckdeschel, Tilman Sayer and Alexander Szimayer
University of Oldenburg - School of Mathematics and Science, Advanced Logic Analytics and University of Hamburg - Faculty of Economics and Business Administration

Abstract:

Loading...

Heston Model, American Options, Moment Matching, Correlation, Tree Method