1151 Richmond St
London, Ontario N6A 3K7
Canada
Western University
Heterogeneous correlation; Random Forests; Decision Trees; Conditional Correlation
Affine models, Heston-Nandi GARCH, VIX volatility index
Multiple risk-aversion levels, Optimal control, Expected Utility Theory, multivariate utility, HJB equation
Asset Pricing, Machine Learning, Generalized Random Forest
CEV model; Expected Utility; HARA; Weak solutions
VIX maturity, Affine GARCH, Option pricing
Pricing, multi-asset options, GARCH models, Closed form solutions, Covariance dependent kernel, maximum likelihood estimation
Elasticity of volatility, elasticity of correlation, local correlation, estimation, portfolio optimization, expected utility theory, existence and uniqueness
Dynamic portfolio optimization, affine GARCH models, mean-variance, efficient frontier, HARA utility, CPPI strategy
Expected Utility, CRRA utility, multivariate Affine GARCH, Portfolio optimization
Affine GARCH, Maximum Likelihood Estimation, simulation, Option Pricing, Moment Generating Function
interest rate model, bond pricing, forward rates, fixed income products
4/2 stochastic volatility model, CRRA utility and consumption, optimal portfolio choice, Heston's model, 3/2 model, robust portfolio analysis
Affine GARCH, Maximum likelihood estimation, time-scale parameterization, Rough volatility
Utility maximization, Human capital modelling, Investor's life cycle, Borrowing costs, Welfare loss
ESG modeling, ESG rating, multi-attribute utility, sustainable investing, equilibrium analysis, ESG premium, JEL CLASSIFICATION Q51, G11, C68, C61
Dynamic portfolio optimization, Lévy GARCH models, jumps, wealth-equivalent loss
