Optimal Control of an Energy Storage Facility Under a Changing Economic...
In this paper we consider an energy storage optimization problem in finite time in a model with partial information that allows for a changing economic environment. The state process consists of the...
View ArticleBayesian Dividend Optimization and Finite Time Ruin Probabilities....
We consider the valuation problem of an (insurance) company under partial information. Therefore we use the concept of maximizing discounted future dividend payments. The firm value process is...
View ArticleDividend maximization in a hidden Markov switching model. (arXiv:1602.04656v1...
In this paper we study the valuation problem of an insurance company by maximizing the expected discounted future dividend payments in a model with partial information that allows for a changing...
View ArticleRuin under stochastic dependence between premium and claim arrivals....
We investigate, focusing on the ruin probability, an adaptation of the Cramer-Lundberg model for the surplus process of an insurance company, in which, conditionally on their intensities, the two mixed...
View ArticleMediation with near insolvent defaulting suppliers: a linear optimisation...
This paper presents a model to describe contractual dispute resolution by mediation in situations where a defaulting supplier is near insolvent. While each party has internal constraints, and if...
View ArticleMarket Dynamics. On Supply and Demand Concepts. (arXiv:1602.04423v1 [q-fin.EC])
The disbalance of Supply and Demand is typically considered as the driving force of the markets. However, the measurement or estimation of Supply and Demand at price different from the execution price...
View ArticleLocal Volatility Models in Commodity Markets and Online Calibration....
We introduce a local volatility model for the valuation of options on commodity futures by using European vanilla option prices. The corresponding calibration problem is addressed within an online...
View ArticlePath probability of stochastic motion: A functional approach....
The path probability of a particle undergoing stochastic motion is studied by the use of functional technique, and the general formula is derived for the path probability distribution functional. The...
View ArticleJapan Exchange Group: Commencement Of Proof Of Concept Testing For Blockchain...
Japan Exchange Group, Inc. (JPX) and IBM Japan have agreed to jointly begin conducting proof of concept (PoC) tests for blockchain, or distributed ledger, technology.Blockchain technology is gaining...
View ArticleASIC Bans Former Director And Responsible Manager Of Macquarie Subsidiary
ASIC has banned Mr Timothy Hornibrook of Clovelly, New South Wales, from providing financial services for a period of six years.read more...
View ArticleHow To Lead A Quest: A handbook for pioneering executives
The biggest threat facing modern business is the sheer complexity of an uncertain future. That, and the fact that everyone is busy. Too busy for progress.read more...
View ArticleDFM Achieves 98% Compliance In Preliminary Annual Results Disclosure Of UAE...
Dubai Financial Market (DFM) today announced that its UAE listed companies have showed a 98% compliance to disclose their preliminary results for the financial year 2015 within the deadline of 45 days...
View ArticleBorsa Ä°stanbul Markets Monthly Bulletin - January 2016
Click here to download Borsa Ä°stanbul Markets monthly bulletin fopr January 2016.
View ArticleMOEX Improves Clearing Of OTC Derivatives
Beginning 15 February 2016, the Moscow Exchange Standardised OTC Derivatives Market will offer new types of centrally cleared OTC transactions, FX swaps and FX forwards. These will be in addition to...
View ArticleAxioma Appoints Managing Director For EMEA And Continues European Build-Out
Axioma, a leading provider of innovative risk solutions for buy-side institutions, today announced that Sunil Rajan has joined the company as Managing Director for EMEA.read more...
View ArticleeBroker Systems Adds ITRS Geneos To Its Trade And Risk Solutions Offering
Today, ITRS, a global real-time monitoring and analytics provider, has announced plans to integrate its market-leading Geneos technology with eBroker Systems’ trade and risk management platform to...
View ArticleTilting At Windmills: The Faustian Folly Of Quantitative Easing
As I explained in my last post, banks canât âlend out reservesâ under any circumstances, which undermines a major rationale that Central Bank economists gave for undertaking Quantitative Easing...
View ArticleTokyo Stock Exchange Imposes Disciplinary Action Against Deutsche Securities...
Tokyo Stock Exchange, Inc. (hereinafter, "TSE") has taken disciplinary action (imposition of a JPY 60 million fine) against Deutsche Securities Inc. (hereinafter, the "Company") pursuant to the...
View ArticleSGX Electricity Market Report
FULL ELECTRICITY MARKET REPORT AVAILABLE <HERE>read more...
View ArticleSGX: Evolving Dynamics In Seaborne Iron Ore Pricing
Please click here for full details.read more...
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