Intermittency in Quantitative Finance

Quantitative Methods in Finance

Quantitative Data Analysis in Finance

Quantitative tools have been widely adopted in order to extract the massive information from a variety of financial data. Mathematics, statistics and computers algorithms have never been so important to financial practitioners in history. Investment banks develop equilibrium models to evaluate financial instruments; mutual funds applied time series to identify the risks in their portfolio; and ...

Quantitative Finance Research Centre

This paper demonstrates the usefulness and importance of the concept of honest times to financial modeling. It studies a financial market with asset prices that follow jump-diffusions with negative jumps. The central building block of the market model is its growth optimal portfolio (GOP), which maximizes the growth rate of strictly positive portfolios. Primary security account prices, when exp...

Essays on Quantitative Finance

We consider stochastic volatility models under parameter uncertainty and investigate how model derived prices of European options are affected. We let the pricing parameters evolve dynamically in time within a specified region, and formalise the problem as a control problem where the control acts on the parameters to maximise/minimise the option value. Through a dual representation with backwar...

Quantitative Finance Research Centre

We present the multi-factor quadratic reduced form model for pricing of credit risky securities. We use quadratic Gaussian processes to model the short term interest rate and the intensity of default showing that we get tractable formulas for the price of credit default swaps and credit default swaptions.