Tilman Sayer

Advanced Logic Analytics

London

United Kingdom

SCHOLARLY PAPERS

7

DOWNLOADS

699

SSRN CITATIONS

4

CROSSREF CITATIONS

0

Scholarly Papers (7)

1.

An Impact Measure for News: Its Use in Daily Trading Strategies

Number of pages: 25 Posted: 12 Dec 2015
OptiRisk Systems, Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications, OptiRisk Systems and Advanced Logic Analytics
Downloads 314 (115,430)
Citation 3

Abstract:

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news sentiment, news impact, efficient market hypothesis daily trading, predictive analytics, asset returns, volatility of assets, liquidity of assets, GARCH model, bid-ask spread, news metadata, market data, volatility pumping, Kelly strategy

2.

Filter-based Portfolio Strategies in an HMM Setting with Varying Correlation Parametrizations

Number of pages: 31 Posted: 02 Dec 2016 Last Revised: 24 Nov 2017
Fraunhofer Gesellschaft - Institute of Industrial Mathematics (ITWM), Fraunhofer Gesellschaft - Department of Finance, University of Oldenburg - School of Mathematics and Science, University of Kaiserslautern - Department of Mathematics and Advanced Logic Analytics
Downloads 148 (234,505)
Citation 2

Abstract:

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Multivariate HMM, Filtering, Regime switching model, Portfolio optimization

3.

Computation of the Delta of European Options Under Stochastic Volatility Models

Number of pages: 19 Posted: 02 Dec 2016
Middle Eastern Technical University Ankara, Advanced Logic Analytics, Middle Eastern Technical University Ankara and Middle Eastern Technical University Ankara
Downloads 108 (297,248)

Abstract:

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Greeks, Malliavin calculus, Stochastic volatility

4.

Pricing Employee Stock Options under Stochastic Volatility

Number of pages: 25 Posted: 10 Jan 2013
Tilman Sayer
Advanced Logic Analytics
Downloads 91 (332,510)

Abstract:

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Heston model, employee stock options, subjective market beliefs, tree model, performance hurdle

5.

An Impact Measure for News: It's Use in (Daily) Trading Strategies

The Handbook of Sentiment Analysis in Finance (2016), Chapter 13.
Number of pages: 27 Posted: 30 Nov 2020
OptiRisk Systems, OptiRisk Systems, OptiRisk Systems and Advanced Logic Analytics
Downloads 38 (507,585)

Abstract:

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news sentiment, news impact score, trading strategies, volatility, liquidity

6.

Joining the Heston and a Three-Factor Hull-White Model: A Closed-Form Approach

International Journal of Theoretical and Applied Finance, Vol. 18, No. 8, 2015
Posted: 21 Jun 2014 Last Revised: 28 Jan 2017
Roman Horsky and Tilman Sayer
Das Fraunhofer-Institut für Techno- und Wirtschaftsmathematik ITWM and Advanced Logic Analytics

Abstract:

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Option valuation, Heston model, two-factor Hull-White model, Stochastic volatility, Stochastic interest rate, Analytic solution

7.

Pricing American Options in the Heston Model: A Close Look on Incorporating Correlation

Journal of Derivatives, Vol. 20, No. 3, 2013
Posted: 30 Mar 2011 Last Revised: 20 Jun 2014
University of Oldenburg - School of Mathematics and Science, Advanced Logic Analytics and University of Hamburg - Faculty of Economics and Business Administration

Abstract:

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Heston Model, American Options, Moment Matching, Correlation, Tree Method