Behavioral Finance Option Pricing Formulas Consistent with Rational Dynamic...
We derive behavioral finance option pricing formulas consistent with the rational dynamic asset pricing theory. In the existing behavioral finance option pricing formulas, the price process of the...
View ArticleCounterparty Trading Limits Revisited:CSAs, IM, SwapAgent(r), from PFE to...
The utility of Potential Future Exposure (PFE) for counterparty trading limits is being challenged by new market developments, notably widespread regulatory Initial Margin (using 99% 10-day exposure),...
View ArticleShort Maturity Forward Start Asian Options in Local Volatility Models....
We study the short maturity asymptotics for prices of forward start Asian options under the assumption that the underlying asset follows a local volatility model. We obtain asymptotics for the cases of...
View ArticleRobust Forecast Aggregation. (arXiv:1710.02838v1 [q-fin.EC])
Bayesian experts with a common prior who are exposed to different evidence often make contradictory probabilistic forecasts. An aggregator who receives the forecasts must aggregate them in the best way...
View ArticleAn Optimized Microeconomic Modeling System for Analyzing Industrial...
In this paper, we provide an integrated systems modeling approach to analyzing global externalities from a microeconomic perspective. Various forms of policy (fiscal, monetary, etc.) have addressed...
View ArticleDouble Functional Median in Robust Prediction of Hierarchical Functional Time...
In this article, a new nonparametric and robust method of forecasting hierarchical functional time series is presented. The method is compared with Hyndman and Shang's method with respect to their...
View ArticleSmart Girls Screw Up Too: The No-Nonsense Guide to Creating The Life You Want
Own your screw ups, get inspired and create the life you want.read more...
View ArticleRisk weight for Asian Infrastructure Investment Bank
The Basel Committee on Banking Supervision is releasing the newsletter no 20 on "Risk weight for Asian Infrastructure Investment Bank", October 2017.
View ArticleInsurance supervisory strategies for a low interest rate environment
Insurance supervisory strategies for a low interest rate environment, FSI insights No 4, 10 October 2017
View ArticleBehavioural Finance, Applied: Centapse and Oxford Risk announce new partnership
Applied Behavioural Finance: Oxford Risk And Centapse Are Excited To Announce A New Partnership - https://t.co/BqGf9eJMUO â Centapse (@Centapse) October 10,â¦
View ArticleFeedback's Impact on Innovation: A Key Tradeoff
Harvard Business School Professor Daniel Gross has a very intriguing new product development research article forthcoming in the Rand Journal of Economics. Gross studied the impact of feedback on...
View ArticleFederal Court Enters More than $2 Million Judgment against Grand Island,...
The Commodity Futures Trading Commission (CFTC) announced that the Honorable Joan B. Gottschall of the U.S. District Court for the Northern District of Illinois entered a Final Judgment and Order...
View ArticleCFTC Finds that Proprietary Trading Firm Arab Global Commodities DMCC Engaged...
The Commodity Futures Trading Commission (CFTC) issued an Order filing and settling charges against Arab Global Commodities DMCC, a proprietary trading firm headquartered in Dubai, with several trading...
View ArticleMarket impact with multi-timescale liquidity. (arXiv:1710.03734v1 [q-fin.TR])
We present an extended version of the recently proposed "LLOB" model for the dynamics of latent liquidity in financial markets. By allowing for finite cancellation and deposition rates within a...
View ArticleA Strategic Investment Framework for Biotechnology Markets via Dynamic Asset...
In this paper, we propose an innovative investment framework incorporating asset allocation and class diversification oriented specifically for the biotechnology industry. With growing interests and...
View ArticleLarge deviations for risk measures in finite mixture models....
Due to their heterogeneity, insurance risks can be properly described as a mixture of different fixed models, where the weights assigned to each model may be estimated empirically from a sample of...
View ArticleLiquidity risk in markets with trading frictions: What can swing pricing...
Open-end mutual funds expose themselves to liquidity risk by granting their investors the right to daily redemptions at the fund's net asset value. We assess how swing pricing can dampen such risks by...
View ArticleIs the price right? Swing pricing and investor redemptions
How effective are available policy tools in managing liquidity risks in the mutual fund industry? We assess one such tool - swing pricing - which allows funds to adjust their settlement price in...
View ArticleIntellectual Property and Innovation Protection: New Practices and New Policy...
This book analyses the various ways in which intellectual property (IP) operates in relation to innovation activity. It reflects on the “classical” issues of the IP system related to the necessity of...
View ArticleCooperation, Coopetition and Innovation
In presenting the concepts and the logical structure of the reasoning offered by game theory and their applications, the book explains the rational process of decision making in the framework of firm...
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