A note on the Nelson Cao inequality constraints in the GJR-GARCH model: Is...
The majority of stylized facts of financial time series and several Value-at-Risk measures are modeled via univariate or multivariate GARCH processes. It is not rare that advanced GARCH models fail to...
View ArticleDuality in Regret Measures and Risk Measures. (arXiv:1705.00340v1 [q-fin.MF])
Optimization models based on coherent regret measures and coherent risk measures are of essential importance in financial management and reliability engineering. This paper studies the dual...
View ArticleStratonovich representation of semimartingale rank processes....
Suppose that $X_1, \ldots , X_n$ are continuous semimartingales that are reversible and have nondegenerate crossings. Then the corresponding rank processes can be represented by generalized...
View ArticlePeriodic strategies in optimal execution with multiplicative price impact....
In this work we study the optimal execution problem with multiplicative price impact in algorithm trading, when an agent holds an initial position of shares of a financial asset. The...
View ArticleLean derivation of the CRR pricing formula. (arXiv:1705.00212v1 [q-fin.MF])
We provide a lean non-technical exposition on the pricing of path-dependent and European-style derivatives in the Cox-Ross-Rubinstein (CRR) pricing model. The main tool for cleaning up the reasoning is...
View ArticleMulti-Period Trading via Convex Optimization. (arXiv:1705.00109v1 [q-fin.PM])
We consider a basic model of multi-period trading, which can be used to evaluate the performance of a trading strategy. We describe a framework for single-period optimization, where the trades in each...
View ArticleSIFMA Finalizes Muni Issue Price Model Documents
SIFMA today released the final versions of its municipal security issue price model documents. The documents were developed in an effort to aid industry market participants in compliance with the new...
View ArticleMerger Of The Two Stock Exchanges - SIX Swiss Exchange Absorbs SIX Structured...
For 10 years, exchange trading in structured products in Switzerland has been operated by SIX Structured Products Exchange Ltd (or its predecessor), a subsidiary of SIX Swiss Exchange Ltd.read more...
View ArticleTriOptima Launches triCalculate MVA Service As Part Of Its XVA Analytics...
TriOptima, a NEX Group business which lowers costs and mitigates risk in OTC derivatives markets, announces today that it has added MVA (margin valuation adjustment) analytics to its triCalculate XVA...
View ArticleDeutsche Börse Cash Market: Happy Birthday To The FinTech Hub!
Deutsche Börse's FinTech Hub in Frankfurt is celebrating its first birthday. Four financial sector start-ups officially moved into the hub at the beginning of May 2016, and have been based there...
View ArticleThe impact of macroprudential housing finance tools in Canada
This paper combines loan-level administrative data with household-level survey data to analyze the impact of recent macroprudential policy changes in Canada using a microsimulation model of mortgage...
View ArticleThe impact of warnings published in a financial stability report on loan-to...
This paper shows how central bank communications can play a role in macroprudential supervision. We document how specific warnings about real estate markets, published in the Central Bank of Chile's...
View ArticleEvaluating the impact of macroprudential policies on credit growth in Colombia
Macroprudential tools have been used around the world to counter potential risks and imbalances in the financial sector. Colombia is a good example of a country that has employed a variety of...
View ArticlePrudential policies and their impact on credit in the United States
We analyze how two types of recently used prudential policies affected the supply of credit in the United States. First, we test whether the U.S. bank stress tests had any impact on the supply of...
View ArticleThe impact of macroprudential policies and their interaction with monetary...
This paper summarises the results of a joint research project by eight central banks in the Americas region to evaluate the effectiveness of macroprudential tools and their interaction with monetary...
View ArticleACER Launched Three Calls For Expression Of Interest For The Establishment Of...
The Agency launched three calls for expression of interest for the establishment of a reserve list of Contract Staff for the following positions:read more...
View ArticleMonthly Report: Eurex Product Array Sees Volume Boost Post French Poll
Global capital market relief at the result of the first round of the French election prompted rallies in equity markets around Europe, while fixed income markets also saw sharp corrections. The moves...
View ArticleLondon Real Estate Exchange Limited (âIPSX Groupâ): Appointment...
IPSX Group today announces the appointment of Michael Higgins (non-executive Chairman) together with Imogen Joss and Alan Ramsay as non-executive directors of IPSX UK Limited (“IPSX UK”). read more...
View ArticleAI, Machine Learning & Sentiment Analysis Applied to Finance -...
AI, Machine Learning & Sentiment Analysis Applied to Finance: 28-29 June 2017 #machinelearning @unicomseminars https://t.co/8R76LSAKIR â moneyscienceâ¦
View ArticleMoneyScience: MoneyScience's event: Data Analytics and Behavioural Science...
Event - Data Analytics & Behavioural Science Applied to Retail and Consumer Markets - June 28,London https://t.co/UgLJByQbHv @UNICOMSeminars â moneyscienceâ¦
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