Research Seminar

Forecasting Implied Volatilities with Variational Autoencoders

The Cumulants of Lévy Processes

VIX Term Structure Managed Portfolios

Machine Learning and its Application in Finance

6-Month Progress Review

The Economic Value of Forecasting and Strategy Gains in Volatility Timing

6-Month Progress Review Rehearsal

2-Year Progress Review 

6-Month Progress Review 

2-Year Progress Review Rehearsal

6-Month Progress Review Rehearsal

Option Pricing under the Heston Model

Black-Scholes Model

The Binomial Tree Model for Option Pricing

Model-Free Relationships between Option Prices

2-Year Progress Review

No Arbitrage Principle, the Forward Price Formula, 

the Current Value of a Forward Contract and Futures Trading

2-Year Progress Review Rehearsal

Implied Volatility and SPXW Options: Historical Trends and Academic Perspectives

Understanding and Forecasting VIX: From Theory to Machine Learning

VIX term structure managed portfolios

Lin, Wei and Jin E. Zhang, 2022, The valid regions of Gram–Charlier

densities with high-order cumulants. Journal of Computational and

Applied Mathematics 407, 113945.

Lin, Wei, Kangli Shen, and Jin E. Zhang, 2023, Further exploration

into the valid regions of Gram–Charlier densities. Journal of

Computational and Applied Mathematics 429, 115231.

1-Year Progress Review

Machine Learning for Interest Rate Modeling After Covid-19