Danial Saef
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View article: Scenario based merger & acquisition forecasting
Scenario based merger & acquisition forecasting Open
While there is no doubt that M&A activity in the corporate sector follows wave-like patterns, there is no uniquely accepted definition of such a “merger wave” in a time series context. Count-data time series models are often employed to me…
View article: Understanding temporal dynamics of jumps in cryptocurrency markets: evidence from tick-by-tick data
Understanding temporal dynamics of jumps in cryptocurrency markets: evidence from tick-by-tick data Open
Cryptocurrency markets have recently attracted significant attention due to their potential for high returns; however, their underlying dynamics, especially those concerning price jumps, continue to be explored. Building on previous resear…
View article: Regime-based Implied Stochastic Volatility Model for Crypto Option Pricing
Regime-based Implied Stochastic Volatility Model for Crypto Option Pricing Open
The increasing adoption of Digital Assets (DAs), such as Bitcoin (BTC), raises the need for accurate option pricing models. Yet, existing methodologies fail to cope with the volatile nature of the emerging DAs. Many models have been propos…
View article: Regime-based Implied Stochastic Volatility Model for Crypto Option Pricing
Regime-based Implied Stochastic Volatility Model for Crypto Option Pricing Open
The increasing adoption of Digital Assets (DAs), such as Bitcoin (BTC), rises the need for accurate option pricing models. Yet, existing methodologies fail to cope with the volatile nature of the emerging DAs. Many models have been propose…
View article: Regime-based Implied Stochastic Volatility Model for Crypto Option Pricing
Regime-based Implied Stochastic Volatility Model for Crypto Option Pricing Open
The increasing adoption of Digital Assets (DAs), such as Bitcoin (BTC), rises the need for accurate option pricing models. Yet, existing methodologies fail to cope with the volatile nature of the emerging DAs. Many models have been propose…
View article: Data Analytics Driven Controlling: bridging statistical modeling and\n managerial intuition
Data Analytics Driven Controlling: bridging statistical modeling and\n managerial intuition Open
Strategic planning in a corporate environment is often based on experience\nand intuition, although internal data is usually available and can be a\nvaluable source of information. Predicting merger & acquisition (M&A) events is\nat the he…