Preliminary Projects

“Precautionary Motives under Nonconcave Utility”(2018) with James Huang

 

“Arbitrage with Production, Collateral Constraints and Heterogeneous Beliefs” (2016) — paper available upon request

Presented or Accepted for Presentation at:

  • SFI Finance Workshop, October 2016, Zürich (poster)
  • EEA-ESEM 2016, August 2016, Geneva (poster)

Recent Posts

FAQs for the AD-DG Model

In a recent working paper, cited as Thul and Zhang (2014) below, we propose a novel jump-diffusion model whose jump sizes follow an asymmetrically displaced double gamma (AD-DG) distribution. In this blog post I discuss some of the feedback that we received during seminar and conference presentations. The collection is not exhaustive and will be extended from time to time.

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  1. Stochastic Volatility with AD-DG Jumps Leave a reply