We study the optimal portfolio allocation problem from a Bayesian perspective using value at
risk (VaR) and conditional value at risk (CVaR) as risk measures. By applying the posterior …

In the search for robust, accurate, and highly efficient financial option valuation techniques,
we here present the SWIFT method (Shannon wavelets inverse Fourier technique), based …

In this paper, we propose a general data-driven framework that unifies the valuation and risk
measurement of financial derivatives, which is especially useful in markets with thinly-traded …

A general and efficient nonparametric density estimation procedure for local bases,
including B-splines, is proposed, which employs a novel statistical Galerkin method …

This study addresses the effect of selecting an appropriate risk measure and the impact of
this choice on the efficient frontier of the project portfolio of an organisation. The appropriate …

Due to the problem of parameter uncertainty, specifying the location of the tangency portfolio
(TP) on the set of feasible portfolios becomes a challenging task. The set of feasible …

In this paper, we present the data-driven COS method, ddCOS. It is a Fourier-based financial
option valuation method which assumes the availability of asset data samples: a …

This paper formulates a new risk measure called as credible delta-gamma-normal Value-at-
Risk (CredDGN). CredDGN is a generalization of credible Value-at-Risk (CredVaR), which …

This paper develops a Credible Delta Normal Value at Risk (CredDN) as a method to
assess the options risk. The method is constructed by combining Credible Value at Risk …

The current research introduces a novel risk metric called credible delta-gamma (theta)-
normal Value-at-Risk (CredDGTN VaR) for the purpose of the option risk assessment …