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
- 20 Students Enrolled
Requirements
- Some experience with statistics, stochastics and finance would be useful.
General Overview
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.
Courses that include this CL
Meet the instructors !
About the Instructor
Research Interest
- Option Pricing
- Cryptocurrencies
- Mathematical Statistics
- Natural Language Processing
Work in Progress
Bitcoin Pricing Kernels (with Prof. Cathy Chen)
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Electicity Price Forecasting (with Dr. Souhir Ben Amor)
P2P Crypto Loans (with Prof. Natalie Packham, Francis Liu)
iVCRIX (with Michael Althof)