Search results for: Svetlozar Rachev

2 Modeling Environmental, Social, and Governance Financial Assets with Lévy Subordinated Processes and Option Pricing

Authors: Abootaleb Shirvani, Svetlozar Rachev

Abstract:

ESG stands for Environmental, Social, and Governance and is a non-financial factor that investors use to specify material risks and growth opportunities in their analysis process. ESG ratings provide a quantitative measure of socially responsible investment, and it is essential to incorporate ESG ratings when modeling the dynamics of asset returns. In this article, we propose a triple subordinated Lévy process for incorporating numeric ESG ratings into dynamic asset pricing theory to model the time series properties of the stock returns. The motivation for introducing three layers of subordinator is twofold. The first two layers of subordinator capture the skew and fat-tailed properties of the stock return distribution that cannot be explained well by the existing Lévy subordinated model. The third layer of the subordinator introduces ESG valuation and incorporates numeric ESG ratings into dynamic asset pricing theory and option pricing. We employ the triple subordinator Lévy model for developing the ESG-valued stock return model, derive the implied ESG score surfaces for Microsoft, Apple, and Amazon stock returns, and compare the shape of the ESG implied surface scores for these stocks.

Keywords: ESG scores, dynamic asset pricing theory, multiple subordinated modeling, Lévy processes, option pricing

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1 A Novel Environmentally Benign Positive Electrode Material with Improved Energy Density for Lithium Ion Batteries

Authors: Wassima El Mofid, Svetlozar Ivanov, Andreas Bund

Abstract:

The increasing requirements for high power and energy lithium ion batteries have led to the development of several classes of positive electrode materials. Among those one promising material is LiNixMnyCo1−x−yO2 due to its high reversible capacity and remarkable cycling performance. Further structural stabilization and improved electrochemical performance of this class of cathode materials can be achieved by cationic substitution to a transition metal such as Al, Mg, Cr, etc. The current study discusses a novel NMC type material obtained by simultaneous cationic substitution of the cobalt which is a toxic element, with aluminum and iron. A compound with the composition LiNi0.6Mn0.2Co0.15Al0.025Fe0.025O2 (NMCAF) was synthesized by the self-combustion method using sucrose as fuel. The material has a layered α-NaFeO2 type structure with a good hexagonal ordering. Rietveld refinement analysis of the XRD patterns revealed a very low cationic mixing compared to the non-substituted material LiNi0.6Mn0,2Co0.2O2 suggesting a structural stabilization. Galvanostatic cycling measurements indicate improved electrochemical performance after the metal substitution. An initial discharge capacity of about 190 mAh.g−1 at slow rate (C/20), and a good cycling stability even at moderately faster rates (C/5 and C) have been observed. The long term cycling displayed a capacity retention of about 90% after 10 cycles.

Keywords: cationic substitution, lithium ion batteries, positive electrode material, self-combustion synthesis method

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