Pricing Kernels and Risk Premia
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Pricing Kernels and Risk Premia
Bitcoin Pricing Kernels are inferred using a novel data set from Deribit, one of the largest Bitcoin derivatives exchanges. This enables arbitrage-free pricing of various instruments. State Price Densities are estimated with Rookley’s method.
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- 0 Rating
- 0 Reviews
- 13 Students Enrolled
Requirements
- Some experience with statistics, stochastics and finance would be useful.
Description
Bitcoin Pricing Kernels are inferred using a novel data set from Deribit, one of the largest Bitcoin derivatives exchanges. This enables arbitrage-free pricing of various instruments. State Price Densities are estimated with Rookley’s method.
Recently Added Courses/Courselets
About the Instructor
About the Instructor
Research Interest
- Option Pricing
- Cryptocurrencies
- Mathematical Statistics
- Natural Language Processing
Work in Progress
Bitcoin Pricing Kernels (with Prof. Cathy Chen)
Quantinar (with Raul Bag, Bruno Spilak)
Electicity Price Forecasting (with Dr. Souhir Ben Amor)
P2P Crypto Loans (with Prof. Natalie Packham, Francis Liu)
iVCRIX (with Michael Althof)