Konstantin Zuev

California Institute of Technology

Pasadena, CA 91125

United States

SCHOLARLY PAPERS

7

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Scholarly Papers (7)

1.

Efficient Pricing of Barrier Options on High Volatility Assets Using Subset Simulation

Number of pages: 41 Posted: 01 Mar 2018 Last Revised: 28 Mar 2018
California Institute of Technology - Department of Computing and Mathematical Sciences, Monash University - Department of Econometrics & Business Statistics, Monash University - Department of Econometrics & Business Statistics and California Institute of Technology
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Simulation; Barrier Options Pricing; Path--Dependent Derivatives; Monte Carlo; Discretely Monitored

2.

Statistical Inference

Number of pages: 145 Posted: 28 Feb 2018
Konstantin Zuev
California Institute of Technology
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statistics, inference, hypothesis testing, estimation, regression

3.

The Nature of Causality and its Dark Aspect

Number of pages: 31 Posted: 28 Jan 2018 Last Revised: 17 May 2018
Department of Mathematical Sciences and Institute for Risk and Uncertainty, University of Liverpool, UK, Monash University - Department of Econometrics & Business Statistics and California Institute of Technology
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Causality, Complex Systems, Interconnected Dynamical Systems

4.

Time Series Analysis of S&P 500 Index: A Horizontal Visibility Graph Approach

Number of pages: 29 Posted: 06 Sep 2017
University of Liverpool - Department of Mathematical Sciences and Institute for Risk and Uncertainty, Monash University - Department of Econometrics & Business Statistics and California Institute of Technology
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S&P500 index, high frequency data, horizontal visibility graph, chaos theory, irreversibility, financial crises

5.

A Dynamic Analysis of S&P 500, FTSE 100 and EURO STOXX 50 Indices Under Different Exchange Rates

PLoS ONE, Volume 13, Issue 3, pp. 1-40 e0194067, March 2018 DOI: 10.1371/journal.pone.0194067
Number of pages: 41 Posted: 14 Jul 2017 Last Revised: 20 Mar 2018
Institute for Risk and Uncertainty, University of Liverpool, UK, University of Palermo, Monash University - Department of Econometrics & Business Statistics and California Institute of Technology
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Correlation; Cointegration; ECM-based long-run Granger causality; Crises; Exchange Rates; Uncertainty

6.

Causality Networks of Financial Assets

Journal of Network Theory in Finance, Volume 3, Issue 2, pp 17-67, June 2017, DOI: 10.21314/JNTF.2017.029
Number of pages: 73 Posted: 22 Dec 2016 Last Revised: 20 Jul 2017
Department of Mathematical Sciences and Institute for Risk and Uncertainty, University of Liverpool, UK, Monash University - Department of Econometrics & Business Statistics, Financial Network Analytics Ltd and California Institute of Technology
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Causality, Efficient Market Hypothesis, Network Theory, Bonds, Oil

7.

Investors' Behavior on S&P 500 Index during Periods of Market Crashes: A Visibility Graph Approach

Handbook of Investors' Behavior during Financial Crises, Chapter 22, pp. 401-417, 2017, DOI: 10.1016/B978-0-12-811252-6.00022-0
Number of pages: 29 Posted: 16 Nov 2016 Last Revised: 30 Aug 2017
University of Liverpool - Department of Mathematical Sciences and Institute for Risk and Uncertainty, Monash University - Department of Econometrics & Business Statistics and California Institute of Technology
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High Frequency Data, S&P 500, Hurst Exponent, Irreversibility, Visibility Graph Method