Shenzhen
http://jaehyukchoi.net/phbs_en
Peking University HSBC Business School
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implied volatility, arithmetic Brownian motion, ABM, Bachelier, rational approximation, closed form approximation
bitcoin, BitMEX, market efficiency, price discovery, spillover
Multi-Asset Black-Scholes-Merton, Spread Option, Basket Option, Asian Option, Curse of Dimensionality
BitMEX, Cryptocurrency, Ethereum, Futures, Perpetual Swaps
Bachelier model, Black-Scholes model, Displaced diffusion model, Normal model
Gaussian term structure model, volatility surface calibration, fast swaption pricing, swaption analytics
Stochastic Volatility, SABR Model, Bougerol's Identity, Johnson's SU Distribution
American option, Least square Monte Carlo, Longstaff-Schwartz algorithm, Look-ahead bias, Leave-one-out-cross-validation
Political Network, Guanxi, Local Government Financing Vehicles, Municipal Corporate Bonds, Credit Risk
Yield curve, estimation risk, density forecasting, machine learning
Stochastic Volatility, SABR Model, CEV Model
Generalized Hyperbolic Distribution, Inverse Gaussian Distribution, Normal Variance-Mean Mixture, Numerical Quadrature
Stochastic Volatility, SABR Model, CEV Model, Gauss-Hermite Quadrature
risk parity, equal risk contribution, cyclical coordinate descent, Newton method
