Robust Mean-Variance Hedging via G-Expectation. (arXiv:1602.05484v1 [q-fin.MF])
In this paper we study mean-variance hedging under the G-expectation framework. Our analysis is carried out by exploiting the G-martingale representation theorem and the related probabilistic tools, in...
View ArticleIs comonotonicity a good property for risk measures?. (arXiv:1602.05477v1...
We study comonotonicity of regulatory risk measures in terms of the primitives of the theory of risk measures: acceptance sets and eligible assets. We show that comonotonicity cannot be characterized...
View ArticleRobust Financial Bubbles. (arXiv:1602.05471v1 [q-fin.MF])
We study the concept of financial bubble in a market model endowed with a set of probability measures, typically mutually singular to each other. In this setting we introduce the notions of robust...
View ArticlePower-law cross-correlations estimation under heavy tails....
We examine the performance of six estimators of the power-law cross-correlations -- the detrended cross-correlation analysis, the detrending moving-average cross-correlation analysis, the height...
View ArticleStudies on Regional Wealth Inequalities: the case of Italy....
The paper contains a short review of techniques examining regional wealth inequalities based on recently published research work but is also presenting unpublished features. read more...
View ArticleFilterbased Stochastic Volatility in Continuous-Time Hidden Markov Models....
Regime-switching models, in particular Hidden Markov Models (HMMs) where the switching is driven by an unobservable Markov chain, are widely-used in financial applications, due to their tractability...
View ArticleHong Kong's Securities And Futures Commission Issues Third-Quarter Report
The Securities and Futures Commission (SFC) today published its Quarterly Report summarising key developments from October to December 2015.read more...
View ArticleCHAIN-FINANCE To Debut Blockchain Finance Workshop In London 16 March, 2016 -...
CHAIN-FINANCE, a provider of news, research & workshops on blockchain technologies for global financial services, today announced the debut of its first Blockchain-Finance Workshop in London on...
View ArticleEuropean Commission: Speech By Commissioner Jonathan Hill At The European...
Ladies and Gentlemen,read more...
View ArticleHKEx: Stock Exchange Participants' Market Share Report
Updated: 18/02/2016 read more...
View ArticleBroadridge Invests In Corporate Governance Solutions Provider To Expand...
Broadridge Financial Solutions, Inc. (NYSE:BR) today announced that it has enhanced its corporate governance solution offering in Europe by taking a minority stake and entering into an exclusive...
View ArticleKingston Uni releases monetarily sound forecast model of US Economy
PERG economists are developing a macroeconometric model to track the evolution of the US economy over the medium term, which is 3-5 years:read more...
View ArticleTokyo Commodity Exchange: Suspension Of Listing New Contracts Of Gold Options
The Tokyo Commodity Exchange, Inc. will update Gold options contract specifications in conjunction with the launch of the new trading system scheduled on September 20. To maintain consistent contract...
View ArticleESMA Publishes Translations Of Its Transparency Directive Standard Form For...
The European Securities and Markets Authority (ESMA) has published translations of its standard form for the disclosure of home Member State by issuers under the Transparency Directive (TD).read more...
View ArticleCASER Issues â¬168.8 Million In Subordinated Bonds On MARF - First...
The Mercado Alternativo de Renta Fija (MARF) has registered a Subordinated Bond issue by insurance company CASER to the value of €168.8 million.read more...
View ArticleUK's Financial Conduct Authority Publishes Call For Input On The Review Of...
The review will consider whether particular CCA provisions remain appropriate or should be modified, updated, or replaced by FCA rules or guidance in order to maintain the right degree of consumer...
View ArticleWarning: Unauthorised Use Of ESMAâs Identity And Logo
The European Securities and Markets Authority (ESMA) has been informed that its identity and logo have been used in communications targeting company employees in order to request the transfer of...
View ArticleEESC Supports An Effective Capital Markets Union But Raises Concerns About...
Investments and free flow of capital are essential for Europe's growth. However, the EU's capital markets are still underdeveloped and fragmented. Therefore, the European Commission adopted an Action...
View ArticleThe Swiss Finance Council (SFC) Presents Its Discussion Paper - âThe EU...
On the occasion of its second public event in Brussels, the Swiss Finance Council (SFC) presents its new Discussion Paper entitled ‘The EU and its Partners: Attracting International Investors’.read...
View ArticleDiscretionary Man GLG Turns 20 | The Hedge Fund Journal
As Man GLG passes its second decade, Hedge Fund Journal visited its London HQ https://t.co/uSFvP8UX0C â moneyscience (@moneyscience) February 18, 2016
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