Recently equal risk pricing, a framework for fair derivative pricing, was extended to consider dynamic risk measures. However, all current implementations ei...

We explore the realized alpha-performance heterogeneity in green and brown stocks' universes using the peer performance ratios of Ardia and Boudt(2018). Focu...

A new factor-based representation of implied volatility surfaces is proposed. The factors adequately capture the moneyness and maturity slopes, the smile att...

Using a multi-level perspective approach combined with top-down macroeconomic models, we analyse the situation of the GCC countries in the perspective of a...

We assess different scenarios for a transition to zero-net emissions in Qatar. The key technologies involved in the transition include electric mobility, hyd...

The problem of portfolio management represents an important and challenging class of dynamic decision making problems, where rebalancing decisions need to be...

Optimization with stochastic dominance constraints has recently received an increasing amount of attention in the quantitative risk management literature. In...

This study assesses the contribution of various forest-based bioenergy technologies when transitioning to a low carbon economy. A detailed modeling of differ...

A compact operations research (OR) model is proposed to analyse the prospects of meeting the Paris Agreement targets when direct air capture technologies can...

The Tenth Montreal IPSW took place on August 13-27, 2020, and was jointly organized by the Centre de recherches mathématiques (CRM) and the Institute for Dat...

We propose a tone-based event study to reveal the aggregate abnormal tone dynamics in media articles around earnings announcements. We test whether they co...

Optimal stopping is the problem of deciding the right time at which to take a particular action in a stochastic system, in order to maximize an expected rewa...

Robotic process automation (RPA) is used in various fields of human activity in order to implement faster and more secure processes through a reduction in th...

We empirically test the prediction of Pastor, stambaugh, and Taylor (2020) that green firms outperform brown firms when concerns about climate change increas...

We consider a two-stage game in a differentiated duopoly, where firms can pursue both a financial and an environmental objective. We assume that the maximu...

The Ninth Montreal IPSW took place on August 19-23, 2019, and was jointly organized by the CRM and IVADO (Institute for Data Valorization). The workshop welc...

In this paper, we consider the problem of equal risk pricing and hedging in which the fair price of an option is the price that exposes both sides of the con...

Utility-based shortfall risk measure (SR) effectively captures decision maker’s risk attitude on tail losses by an increasing convex loss function. In this ...

We introduce a novel ensemble learning approach which combines random partitions models through Potts clustering with a non-parametric predictor such as sha...

In this paper we consider a differentiated oligopoly with two product varieties that are supplied by two groups of firms. We assume that firms can change t...