Arbitrage-Free Pricing Of Derivatives In Nonlinear Market Models....
The main objective is to study no-arbitrage pricing of financial derivatives in the presence of funding costs, the counterparty credit risk and market frictions affecting the trading mechanism, such as...
View ArticleComputing the aggregate loss distribution based on numerical inversion of the...
A non-parametric method for evaluation of the aggregate loss distribution (ALD) by combining and numerically inverting the empirical characteristic functions (CFs) is presented and illustrated. This...
View ArticleA stability result on optimal Skorokhod embedding. (arXiv:1701.08204v1...
Motivated by the model- independent pricing of derivatives calibrated to the real market, we consider an optimization problem similar to the optimal Skorokhod embedding problem, where the embedded...
View ArticleHayne Leland recipient of the 2016 IAQFNorthfield Financial Engineer of the...
Hayne Leland recipient of the 2016 IAQF/Northfield Financial Engineer of the Year Award https://t.co/PcpQiGdDow â moneyscience (@moneyscience) January 31,â¦
View ArticleWeekly Top 5 Papers â January 30 2016
1. The Foreign Emoluments Clause and the Chief Executive by Andy Grewal (University of Iowa – College of Law)read more...
View ArticleA taxonomy of learning dynamics in 2 x 2 games. (arXiv:1701.09043v1 [q-fin.EC])
Learning would be a convincing method to achieve coordination on a Nash Equilibrium (NE). But does learning converge, and to what? We answer this question in generic 2-player, 2-strategy games, using...
View ArticleAn Optimal Execution Problem in the Volume-Dependent Almgren-Chriss Model....
In this study, we introduce an explicit trading-volume process into the Almgren--Chriss model, which is a standard model for optimal execution. We propose a penalization method of deriving a...
View ArticleOn a class of path-dependent singular stochastic control problems....
This paper studies a class of non-Markovian singular stochastic control problems, for which we provide a novel probabilistic representation. The solution of such control problem is proved to identify...
View ArticleUnderstanding food inflation in India: A Machine Learning approach....
Over the past decade, the stellar growth of Indian economy has been challenged by persistently high levels of inflation, particularly in food prices. The primary reason behind this stubborn food...
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ITG Reports Fourth Quarter 2016 Results
Profitability Driven by International Revenue Growth, U.S. Market Share Gains Continued NEW YORK, Feb. 01, 2017 (GLOBE NEWSWIRE) -- ITG (NYSE:ITG), a leading independent broker and financial technology...
View ArticleHow Successful Leaders Make Decisions
Lydia Dishman has written a column for Fast Company titled, "How Leaders at Google, Buzzfeed, and More Make Decisions." She has a number of interesting tidbits from various leaders. A few key...
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January 2017 Data Update 8: The Dark and Light Sides of Debt
There is no aspect of corporate finance where morality plays a bigger role than the decision of how much to borrow. That should come as no surprise. For generations, almost every religion has...
View ArticleA confidence-based model for asset and derivative prices in the BitCoin...
We endorse the idea, suggested in recent literature, that BitCoin prices are influenced by sentiment and confidence about the underlying technology; as a consequence, an excitement about the BitCoin...
View ArticleThe valuation of European option with transaction costs by mixed fractional...
This paper deals with the problem of discrete-time option pricing by the mixed fractional version of Merton model with transaction costs. By a mean-self-financing delta hedging argument in a...
View ArticleZipf's law for share price and company fundamentals. (arXiv:1702.00144v1...
We statistically investigate the distribution of share price and the distributions of three common financial indicators using data from approximately 8,000 companies publicly listed worldwide for the...
View ArticleFractional delta hedging strategy for pricing currency options with...
This study deals with the problem of pricing European currency options in discrete time setting, whose prices follow the fractional Black Scholes model with transaction costs. Both the pricing formula...
View ArticleFit for Growth: A Guide to Strategic Cost Cutting, Restructuring, and Renewal
A practical approach to business transformationread more...
View ArticleA Complete Guide to the Futures Market: Technical Analysis, Trading Systems,...
The essential futures market reference guideread more...
View Article12th BCBS-FSI High-level Meeting for Africa on "Strengthening financial...
Press release about the 12th BCBS-FSI High-level Meeting for Africa on "Strengthening financial sector supervision and current regulatory priorities", Cape Town, South Africa, 26-27 January 2017 (6...
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