10:00 am
Bonsoo KOO (Monash University) “Disentangling Structural Breaks in Factor Models”
Finance-Insurance Time: 10.00 am Date: 24th of April 2025 Room 3001 Bonsoo KOO (Monash University) "Disentangling Structural Breaks in Factor Models" Abstract : Through a routine normalization of the factor variance, standard methods for estimating factor models in macroeconomics do not distinguish between breaks of the factor variance and factor loadings. We argue that it is […]
Find out more »11:00 am
Andreas HEINEN (Universite de Cergy-Pontoise.) “Give and Take: Measuring Systemic Risk with Non-Exchangeable Dependence”
Finance-Insurance Time: 11.00 am Date: 24th of April 2025 Room 3001 Andreas HEINEN (Universite de Cergy-Pontoise.) "Give and Take: Measuring Systemic Risk with Non-Exchangeable Dependence" Abstract : Non-exchangeable dependence breaks the symmetry between the response of an individual firm to market distress and the reaction of the market to individual firm distress. We use a non-exchangeable […]
Find out more »3:00 pm
Nicolas BARADEL (Ecole Polytechnique & INRIA) “Deep learning for pricing and hedging European options in incomplete markets.””
Finance-Insurance Time: 15.00 am Date: 24th of April 2025 Room 3001 Nicolas BARADEL (Ecole Polytechnique & INRIA) "Deep learning for pricing and hedging European options in incomplete markets.” Abstract : We propose a deep learning framework for pricing and hedging European options in incomplete financial markets characterized by stochastic volatility and correlation. We introduce a single […]
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