Efficient asymptotic variance reduction when estimating volatility in high...
This paper shows how to carry out efficient asymptotic variance reduction when estimating volatility in the presence of stochastic volatility and microstructure noise with the realized kernels (RK)...
View ArticlePython for Algorithmic Trading Course
Python for Algorithmic Trading Course https://t.co/EAYu1pQZia via @YouTube â Yves Hilpisch (@dyjh) January 6, 2017
View ArticleMSc Financial Risk Management - Postgraduate Programs - Marketplace.MoneyScience
Marketplace.MoneyScience - MSc Financial Risk Management at the ICMA Centre - @icmacentre https://t.co/Schwq6fhte #financialeducation â moneyscienceâ¦
View ArticleStress Testing Your Partners & Team Members
Stanford Professor Lindred Greer studies startup teams extensively. Not surprisingly, she advises students and others to be very careful in selecting partners and team members with whom to work. She...
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Wiley GAAP 2017 - Interpretation and Application of Generally Accepted...
Wiley GAAP 2017 contains complete coverage of the Financial Accounting Standards Board's (FASB) Accounting Standards Codification (ASC), the source of authoritative generally accepted accounting...
View ArticleWiley GAAP 2017: Interpretation and Application of Generally Accepted...
Save time with the keyword-searchable GAAP 2017 CD-ROM!read more...
View ArticleWiley GAAP 2017: Interpretation and Application of Generally Accepted...
Wiley GAAP 2017 contains complete coverage of the Financial Accounting Standards Board's (FASB) Accounting Standards Codification (ASC), the source of authoritative generally accepted accounting...
View Articlehttps://t.co/6XVFlTFjWs
3-D Fractals Offer Clues to Complex Systemshttps://t.co/6XVFlTFjWs â Fractalist (@TheFractalist) January 8, 2017
View ArticleThe Shapley Value of Digraph Games. (arXiv:1701.01677v1 [cs.GT])
In this paper the Shapley value of digraph (directed graph) games are considered. Digraph games are transferable utility (TU) games with limited cooperation among players, where players are represented...
View ArticleAnalytic properties of American option prices under a modified Black-Scholes...
This paper investigates analytic properties of American option prices under the finite moment log-stable (FMLS) model. Under this model the price of American options is characterised by the free...
View ArticleRobert Peston - Todayâs speech by Theresa May contains her... | Facebook
Is there a potentially fatal contradiction between Brexit and the big domestic ambitions of @theresa_may? https://t.co/hlY9db7uic â Robert Peston (@Peston)â¦
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Narrative and Numbers: How a number cruncher learned to tell stories!
When I taught my first valuation class in 1986 at New York University, I taught it with numbers, with barely a mention of stories. It was only with the passage of time that I realized that my...
View ArticleNAG Numerical Library - Data Solutions - Marketplace.MoneyScience
Marketplace: NAG Numerical Library - 100s of algorithms which are powerful, reliable, flexible and ready for use. https://t.co/L1Edz4YD7l â Financialâ¦
View ArticlePlanet Trump
With Donald Trump as president, 2017 will mark the beginning of a darker global order https://t.co/HZfrYwsOFM http://pic.twitter.com/n2OUXcm2tY â The Economistâ¦
View ArticleTrading strategies for stock pairs regarding to the cross-impact cost....
We extend the framework of trading strategy for single stocks from Gatheral [2010] to a pair of stocks. Our trading strategy with the executions of two round-trip trades can be described by the trading...
View ArticleRobust Portfolio Optimisation with Specified Competitors. (arXiv:1701.02958v1...
We extend Relative Robust Portfolio Optimisation models to allow portfolios to optimise their distance to a set of benchmarks. Portfolio managers are also given the option of computing regret in a way...
View ArticleModeling stochastic skew of FX options using SLV models with stochastic...
It is known that the implied volatility skew of FX options demonstrates a stochastic behavior which is called stochastic skew. In this paper we create stochastic skew by assuming the spot/instantaneous...
View ArticlePhase-type Approximation of the Gerber-Shiu Function. (arXiv:1701.02798v1...
The Gerber-Shiu function provides a way of measuring the risk of an insurance company. It is given by the expected value of a function that depends on the ruin time, the deficit at ruin, and the...
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