Pure stable log-price models with stability index γ < 2 have no finite positive exponential moment and therefore cannot be used directly as risk-neutral exponential stock models. This paper reformulates the space-fractional American put problem under a symmetric tempered-stable log-price process, whose finite moment...
E. Pindza, B. F. Nteumagné, E. Maré· Frontiers in Applied Mathema...· 0 citations
Existing studies of cryptocurrency contagion typically analyse either event-driven shock propagation or time-varying correlations in isolation and often focus on small asset panels. This paper integrates univariate Hawkes intensity estimation, a pairwise cross-excitation layer, and a scalar DCC-GARCH model for twen...
E. Pindza, J. Mba· Asia-Pacific Financial Marke...· 1 citation
Crypto perpetual futures embed liquidation risk in one chain: leverage and funding move the margin boundary, the mark determines when a crossing is observed, and executable depth determines the concession paid after detection. The primary forecasting question is how to quantify both the probability of an isolated-margi...
Bitcoin option prices reflect terminal variance and the cost of managing convex exposure in a market with changing depth and execution quality. This paper asks whether a liquidity state can be separated from fractional rough volatility in Bitcoin option valuation. The contribution is a modelling combination: standard s...
E. Pindza, H. Mashele· FinTech· 0 citations
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