The past has learned that stock prices tend to move together. Moreover, at moments of high market fear, this co-movement is stronger and stock prices move predominantly downwards. In such a market situation, diversification benefits dry up and stock picking does not help to protect an investment portfolio. In this project we implement the Herd Behavior Index, […]

Given a financial market environment, an agent aims to solve her optimal investment strategy. This project is a continuation of “forward and backward preferences” proposed in IGL and IRL last year. In the previous project, under the binomial market model, comparing to the classical backward approach, we showed substantial improvement in both computation time and […]

This project solves the European-type basket option pricing problem. Finding analytical solutions or stable numerical schemes for the corresponding high-dimensional PDE is still an open problem. Hanbali and Linders (2019) propose an approximation of the problem using the element of comonotonicity. Their theoretical results have been further strengthened by Ling (2019) using a modern machine […]

Cyber risk refers to the potential losses that a firm might suffer due to a failure of its information system. The exponential increase in the use and the complexity of information systems has made cyber risk one of the most important and vulnerable operational risks for a company. In order to determine the total cyber […]