Semi-analytic path integral solution of SABR and Heston equations: pricing...
We discuss a semi-analytical method for solving SABR-type equations based on path integrals. In this approach, one set of variables is integrated analytically while the second set is integrated...
View ArticleDensity forecasting comparison of volatility models. (arXiv:1605.00230v1...
We compare the predictive ability of several volatility models for a long series of weekly log-returns of the Dow Jones Industrial Average Index from 1902 to 2016. Our focus is particularly on...
View ArticleRobustness of mathematical models and technical analysis strategies....
The aim of this paper is to compare the performances of the optimal strategy under parameters mis-specification and of a technical analysis trading strategy. The setting we consider is that of a...
View ArticleDepreciation and the Time Value of Money. (arXiv:1605.00080v1 [q-fin.GN])
Generally accepted depreciation methods do not factor in the Time Value of Money, despite the concept being a core principle of financial asset valuation. By applying the concept to depreciation,...
View ArticleNonzero-sum stochastic differential games with impulse controls and...
We study the notion of Nash equilibrium in a general nonzero-sum impulse game for two players. The main mathematical contribution of the paper is a verification theorem which provides, under some...
View ArticlePMP Project Management Professional Exam Certification Kit, 3rd Edition
PMP Complete Review includes the Sybex Deluxe Study Guide and Review Guideread more...
View ArticleISE Holdings Reports Business Activity For April 2016
ISE’s options exchanges combined to represent 16.1% of equity options market share, excluding dividend trades. ISE’s options exchanges reported a combined ADV of 2.3 million contracts. Dividend trades...
View ArticleNew Zealand's Financial Markets Authority Issues Formal Warning To Craigs
Section 22 of the AML/CFT Act requires reporting entities to conduct enhanced due diligence on clients where the level of risk involved is such that this higher standard of customer due diligence...
View ArticleUS Agencies Propose Net Stable Funding Ratio Rule
The federal banking agencies proposed a rule to strengthen the resilience of large banking organizations by requiring them to maintain a minimum level of stable funding relative to the liquidity of...
View ArticleEEX New Participant: Endesa Generación S.A.
Endesa Generación S.A. has been additionally admitted to exchange trading for Freight Financial Options.
View ArticleEuropean Commission - EUROSTAT: Early Estimates Of CO2 Emissions From Energy...
Eurostat estimates that in 2015 carbon dioxide (CO2) emissions from fossil fuel combustion increased by 0.7% in the European Union (EU), compared with the previous year. CO2 emissions are a major...
View ArticleISDA Issues Invitation To Tender For Determinations Committees Secretary Role
The International Swaps and Derivatives Association, Inc. (ISDA) today announced that it has issued an invitation to tender for the secretarial role on the credit derivatives Determinations Committees...
View ArticlePost-Trade Distributed Ledger (PTDL) Group Appoints Three External Advisers...
The Post-Trade Distributed Ledger (PTDL) Group, which brings together major post-trade industry participants and regulators to share information and ideas about how distributed ledger technologies...
View ArticleFactor Models for Cancer Signatures. (arXiv:1604.08743v1 [q-bio.GN] CROSS...
We present a novel method for extracting cancer signatures by applying statistical risk models (this http URL) from quantitative finance to cancer genome data. Using 1389 whole genome sequenced samples...
View ArticleOn Optimal Retirement (How to Retire Early). (arXiv:1605.01028v1 [q-fin.ST])
We pose an optimal control problem arising in a perhaps new model for retirement investing. Given a control function $f$ and our current net worth as $X(t)$ for any $t$, we invest an amount $f(X(t))$...
View ArticleThe Local Fractional Bootstrap. (arXiv:1605.00868v1 [math.ST])
We introduce a bootstrap procedure for high-frequency statistics of Brownian semistationary processes. More specifically, we focus on a hypothesis test on the roughness of sample paths of Brownian...
View ArticleRevisiting a Theorem of L.A. Shepp on Optimal Stopping. (arXiv:1605.00762v1...
Using a bondholder who seeks to determine when to sell his bond as our motivating example, we revisit one of Larry Shepp's classical theorems on optimal stopping. We offer a novel proof of Theorem 1...
View ArticleSIFMA Executive Vice President Randy Snook Remarks At SIFMA 2016 Operations...
SIFMA Executive Vice President Randy Snook delivered opening remarks at the 43rd Annual Operations Conference in Miami Beach.read more...
View ArticleDalian Commodity Exchange: Notice On Providing the Material For Issuing The...
According to the “Notice on Fully Promoting the Pilot Program for Replacing Business Tax with Value-Added Tax” (Cai-Shui [2016] No. 36) issued by the Ministry of Finance and State Administration of...
View ArticleASIC- Innovation Hub: Regulatory Sandbox Proposal
ASIC today provided a further update on its Innovation Hub (see 15-211MR for our previous update). ASIC’s Innovation Hub has now been operating for just over a year and is continuing to assist...
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