Stock Trader's Almanac 2018
Stock Trader's Almanac 2018 provides the cleanest historical data in the business to give traders and investors an advantage in the market. The 2018 edition is consistent with decades of the Stock...
View ArticleCFTC Commissioner Quintenz Names Margo Bailey Special Counsel
Commodity Futures Trading Commission (CFTC) Commissioner Brian Quintenz announced today that Margo Bailey will serve as his Special Counsel.
View ArticleWeekly Top 5 Papers – November 6th, 2017
1. Private Benefits in Public Offerings: Tax Receivable Agreements in IPOs by Gladriel Shobe (Brigham Young University – J. Reuben Clark Law School)read more...
View ArticleCFTC Orders Cargill, Inc. to Pay a $10 Mln Penalty for Providing Inaccurate...
The Commodity Futures Trading Commission (CFTC) today announced the filing and simultaneous settlement of charges against Cargill, Inc., of Minnesota, for providing mid-market marks that concealed from...
View ArticleOptimal investment-consumption and life insurance selection problem under...
We discuss an optimal investment, consumption and insurance problem of a wage earner under inflation. Assume a wage earner investing in a real money account and three asset prices, namely: a real zero...
View ArticleCash Accumulation Strategy based on Optimal Replication of Random Claims with...
This paper presents a numerical model to solve the problem of cash accumulation strategies for products with an unknown future price, like assets. Stock prices are modeled by a discretized Wiener...
View ArticleManaging Biotechnology: From Science to Market in the Digital Age
A comprehensive overview of the new business context for biopharma companies, featuring numerous case studies and state-of-the-art marketing models read more...
View ArticleThe Dangers of Benchmarking
Freek Vermeulen of the London Business School recently penned an insightful blog post titled "Don't Be Fooled By Success." He explains three key downsides associated with benchmarking the top firms...
View ArticleCFTC’s Division of Clearing and Risk Provides No-Action Relief for...
The Commodity Futures Trading Commissionâs (Commission) Division of Clearing and Risk (DCR) today provided no-action relief for three international financial institutions from the swap clearing...
View ArticleDis-embedded Openness: Inequalities in European Economic Integration at the...
The process of European integration resulted in a marked increase in transnational economic flows, yet regional inequalities along many developmental indicators remain. We analyze the unevenness of...
View ArticleThe perverse incentive for insurance instruments that are derivatives:...
When an insurance note is also a derivative a serious problem arises because a derivative must be fulfilled immediately. This feature of derivatives prevents claims processing procedures that screen...
View ArticleMean Field Limit of a Behavioral Financial Market Model. (arXiv:1711.02573v1...
In the past decade there has been a growing interest in agent-based econophysical financial market models. The goal of these models is to gain further insights into stylized facts of financial data. We...
View ArticleAsymptotic properties of maximum likelihood estimator for the growth rate of...
We consider a stable Cox--Ingersoll--Ross process driven by a standard Wiener process and a spectrally positive strictly stable L\'evy process, and we study asymptotic properties of the maximum...
View ArticleThe Sentient Enterprise: The Evolution of Business Decision Making
Mohan and Oliver have been very fortunate to have intimate views into the data challenges that face the largest organizations and institutions across every possible industryand what they have been...
View ArticleFunctional central limit theorems for rough volatility. (arXiv:1711.03078v1...
We extend Donsker's approximation of Brownian motion to fractional Brownian motion with Hurst exponent $H \in (0,1)$ and to Volterra-like processes. Some of the most relevant consequences of our `rough...
View ArticleThe Calibration of Stochastic-Local Volatility Models - An Inverse Problem...
We tackle the calibration of the so-called Stochastic-Local Volatility (SLV) model. This is the class of financial models that combines the local and stochastic volatility features and has been subject...
View ArticleConstrained portfolio-consumption strategies with uncertain parameters and...
This paper studies the properties of the optimal portfolio-consumption strategies in a {finite horizon} robust utility maximization framework with different borrowing and lending rates. In particular,...
View ArticleImplied volatility smile dynamics in the presence of jumps....
The main purpose of this work is to examine the behavior of the implied volatility smiles around jumps, contributing to the literature with a high-frequency analysis of the smile dynamics based on...
View ArticleLess-Expensive Valuation of Long Term Annuities Linked to Mortality, Cash and...
This paper proposes a paradigm shift in the valuation of long term annuities, away from classical no-arbitrage valuation towards valuation under the real world probability measure. Furthermore, we...
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