Quantification of Risk in Classical Models of Finance

Liquidity-free implied volatilities: an approach using conic finance

We consider the problem of calculating risk-neutral implied volatilities of European options without relying on option mid prices but solely on bid and ask prices. We provide an approach, based on the conic finance paradigm, that allows to uniquely strip risk-neutral implied volatilities from bid and ask quotes, and that does not require restrictive assumptions. Our methodology also allows to jointly calculate the implied liquidity of the market. The idea outlined in this paper can be applied to calculate other implied parameters from bid and ask security prices as soon as their theoretical ri…

Shot-Noise Processes in Finance

Shot-Noise processes constitute a useful tool in various areas, in particular in finance. They allow to model abrupt changes in a more flexible way than processes with jumps and hence are an ideal tool for modelling stock prices, credit portfolio risk, systemic risk, or electricity markets. Here we consider a general formulation of shot-noise processes, in particular time-inhomogeneous shot-noise processes. This flexible class allows to obtain the Fourier transforms in explicit form and is highly tractable. We prove that Markovianity is equivalent to exponential decay of the noise function. Mo…

迁移学习的风险及其在金融领域的应用

Risk of Transfer Learning and its Applications in Finance

该研究提出迁移风险概念并分析其性质以评估迁移学习可迁移性，将其应用于金融领域的股票收益预测与投资组合优化，证实迁移风险与迁移性能强相关，可高效识别合适的源任务。

Lévy-Ito Models in Finance

We present an overview of the broad class of financial models in which the prices of assets are Lévy-Ito processes driven by an $n$-dimensional Brownian motion and an independent Poisson random measure. The Poisson random measure is associated with an $n$-dimensional Lévy process. Each model consists of a pricing kernel, a money market account, and one or more risky assets. We show how the excess rate of return above the interest rate can be calculated for risky assets in such models, thus showing the relationship between risk and return when asset prices have jumps. The framework is applied t…

利用无泄漏两阶段XGBoost、KAN（柯尔莫戈罗夫-阿诺德网络）和集成模型预测供应链金融中的票据稀释

Predicting Invoice Dilution in Supply Chain Finance with Leakage Free Two Stage XGBoost, KAN (Kolmogorov Arnold Networks), and Ensemble Models

本文提出利用XGBoost、KAN和集成模型预测供应链金融中的票据稀释，通过实时动态信用限额提升预测准确性。

Lévy模型的二阶Esscher定价及其在风险管理和恐惧量化中的应用

Second-Order Esscher Pricing for Lévy Models with Applications: Risk Management and Fear Quantification

提出二阶Esscher变换作为经典Esscher框架的可处理扩展，用于Lévy驱动市场的期权定价和风险管理，推导了定价公式，并实证表明其参数与市场压力指标（如VIX）强相关。