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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Pricing Kernel Bitcoin Derivative Option Rookley



Courselet Content

1 courselets • 2 courselet components •

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

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Last Updated 27th September 2022
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About the Instructor

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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)