Minimax theorems for American options in incomplete markets without...
In this paper we give sufficient conditions guaranteeing the validity of the well-known minimax theorem for the lower Snell envelope with respect to a family of absolutely continuous probability...
View ArticleStock Trading via Feedback Control: Stochastic Model Predictive or Genetic?....
This work underlies the poster presented at the XVIII Workshop on Quantitative Finance (QFW2017) in Milano on January 25-27, 2017. read more...
View ArticleThe stabilizing effect of volatility in financial markets....
In financial markets, greater volatility is usually considered synonym of greater risk and instability. However, large market downturns and upturns are often preceded by long periods where price...
View ArticleAmerican options in an imperfect market with default. (arXiv:1708.08675v1...
We study pricing and (super)hedging for American options in an imperfect market model with default, where the imperfections are taken into account via the nonlinearity of the wealth dynamics. The...
View ArticleChanging the Direction of the Economic and Demographic Research....
A simple but useful method of reciprocal values is introduced, explained and illustrated. This method simplifies the analysis of hyperbolic distributions, which are causing serious problems in the...
View ArticleMeasurement of Common Risk Factors: A Panel Quantile Regression Model for...
This paper investigates how to measure common market risk factors using newly proposed Panel Quantile Regression Model for Returns. By exploring the fact that volatility crosses all quantiles of the...
View ArticleSignificant ties: Identifying relationship lending in temporal interbank...
Relationship lending is conventionally interpreted as a strong partnership between a lender and a borrower. Nevertheless, we still lack consensus regarding how to quantify a lending relationship while...
View ArticleMethodology of the statistics on payments and financial market...
xxxxx Methodology of the statistics on payments and financial market infrastructures in the CPMI countries (Red Book statistics), August 2017.
View ArticleEnhanced statistics on cashless payments and financial market infrastructures
Press release about CPMI publishing "Enhanced statistics on cashless payments and financial market infrastructures starting from 2018", 30 August 2017.
View ArticleWe tasted science and it wasâ¦.delicious!
You know what’s great? Science. You know what’s even better? Having the chance to share it with others. All you have to do is look at the back of an SSRN mug to know that we like to share new ideas. We...
View ArticleMegalomaniac
Many of us wonder what drives President Trump. Or more uncharitably, what is the nature of his mental instability. The natural place to turn is the psychiatric community, but they have walled...
View Articlehttps://t.co/8WS35YWB0J
How the Father of Arbitrage Pricing Theory Influenced Wall Street. Interview with the late Stephen A. Ross https://t.co/8WS35YWB0J â moneyscienceâ¦
View ArticleValue-at-Risk and Expected Shortfall for the major digital currencies....
Digital currencies and cryptocurrencies have hesitantly started to penetrate the investors, and the next step will be the regulatory risk management framework. We examine the Value-at-Risk and Expected...
View ArticleSpontaneous Segregation of Agents Across Double Auction Markets....
In this paper we investigate the possibility of spontaneous segregation into groups of traders that have to choose among several markets. Even in the simplest case of two markets and Zero Intelligence...
View ArticleThe Joy of Leadership: How Positive Psychology Can Maximize Your Impact (and...
The difference between flourishing and floundering is 10X. The difference between quantity and quality is a factor of 10. The difference in levels of engagement is exponential. People functioning at...
View ArticleEffects of capital controls on foreign exchange liquidity
The literature on capital controls has focused on their use as tools to manage capital and improve macroeconomic and financial stability. However, there is a lack of analysis of their effect on foreign...
View ArticleInformal one-sided target zone model and the Swiss franc
This paper develops a new theoretical model with an asymmetric informal one-sided exchange rate target zone, with an application to the Swiss franc following the removal of the minimum exchange rate of...
View ArticleTime-Varying Extreme Value Dependence with Application to Leading European...
Extremal dependence between international stock markets is of particular interest in today's global financial landscape. However, previous studies have shown this dependence is not necessarily...
View ArticleRisk-Minimizing Hedging of Counterparty Risk. (arXiv:1709.01115v1 [q-fin.RM])
We study dynamic hedging of counterparty risk for a portfolio of credit derivatives. Our empirically driven credit model consists of interacting default intensities which ramp up and then decay after...
View ArticleChecklists and Illustrative Financial Statements 2017: Defined Contribution...
This edition covers plan types, such as 401(k) plans, 403(b) plans, and 11Ks. It contains the most comprehensive U.S. GAAP disclosure guidance available, and identifies the reporting requirements that...
View Article