312 Harriman Hall
100 John S. Toll Drive
Stony Brook, NY 11794
United States
College of Business, Stony Brook University
ARMA-GARCH model, normal tempered stable distribution, Foster-Hart risk, value-at-risk (VaR), average value-at-risk (AVaR), reward-risk ratio
portfolio construction, asset allocation, risk parity, reward-risk measures, classical tempered stable distribution
Financial Risk, Normal Tempered Stable Distribution, Foster-Hart risk, Value-at-Risk (VaR), Average Value-at-Risk (AVaR)
momentum strategy, reward-risk measure, classical tempered stable distribution
option pricing; mean-variance portfolio; binomial pricing trees; stochastic continuous diffusions
Option Pricing, Long-Range Dependence, Fractional Levy Processes
Quanto option pricing, L'evy process, stable and tempered stable process, subordinator