Asymptotic Analysis for Spectral Risk Measures Parameterized by Confidence...
We study the asymptotic behavior of the difference $\Delta \rho ^{X, Y}_\alpha := \rho _\alpha (X + Y) - \rho _\alpha (X)$ as $\alpha \rightarrow 1$, where $\rho_\alpha $ is a risk measure equipped...
View ArticleQuantum Duality in Mathematical Finance. (arXiv:1711.07279v1 [q-fin.MF])
Mathematical finance explores the consistency relationships between the prices of securities imposed by elementary economic principles. Commonplace among these are replicability and the absence of...
View ArticleInfluence of jump-at-default in IR and FX on Quanto CDS prices....
We propose a new model for pricing Quanto CDS and risky bonds. The model operates with four stochastic factors, namely: hazard rate, foreign exchange rate, domestic interest rate, and foreign interest...
View ArticleStrict Local Martingales and Optimal Investment in a Black-Scholes Model with...
There are two major streams of literature on the modeling of financial bubbles: the strict local martingale framework and the Johansen-Ledoit-Sornette (JLS) financial bubble model. Based on a class of...
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Is Quantum computing the next big innovation for Quant Funds?https://t.co/Fjq1bD0AtK â Quant News (@QuantNews_com) November 21, 2017
View ArticleCoders who trade: Wall Street designs its staff for the future | Bloomberg...
Coders who trade: Wall Street designs its staff for the future https://t.co/WgNwadPvB7 â moneyscience (@moneyscience) November 21, 2017
View ArticleThe Blockchain Might Scare the Gig Economy to Death
The blockchain will track and rate you (and your Uber driver) every minute for the rest of your life https://t.co/cHu1OAEcEFâ¦
View ArticleFraming the Problem: The Decline of Campbell Soup & Other Packaged Food...
The Wall Street Journal reports today that Campbell Soup reported a disappointing quarter of financial performance yesterday, causing the company's shares to fall by 8%. The firm has now experienced 12...
View ArticlePrice Optimisation for New Business. (arXiv:1711.07753v1 [q-fin.CP])
This contribution is concerned with price optimisation of the new business for a non-life product. Due to high competition in the insurance market, non-life insurers are interested in increasing their...
View ArticleA New Approach for Solving the Market Clearing Problem With Uniform Purchase...
The European market clearing problem is characterized by a set of heterogeneous orders and rules that force the implementation of heuristic and iterative solving methods. In particular, curtailable...
View ArticleCorporate payments networks and credit risk rating. (arXiv:1711.07677v1 [cs.SI])
Understanding the structure of interactions between corporate firms is critical to identify risk concentration and the possible pathways of propagation of financial distress. In this paper we consider...
View ArticleStatistical properties of market collective responses. (arXiv:1711.07630v1...
We empirically analyze the price and liquidity responses to trade signs, traded volumes and signed traded volumes. Utilizing the singular value decomposition, we explore the interconnections of price...
View ArticleArtificial intelligence can be held to human-like standards of accountability
How can we make AI accountable for its decisions without stifling innovation? https://t.co/2vmlqPz3n3 â moneyscience (@moneyscience) November 22, 2017
View ArticleThe Benefits of Gratitude
We should all be thankful for the many blessings that we have received. We should express our gratitude to others more often. As leaders, saying thank you more often will help us engage our employees...
View ArticleCFTC Releases Annual Enforcement Results for Fiscal Year 2017
The Commodity Futures Trading Commission (CFTC) today released the agencyâs enforcement results for fiscal year (FY) 2017. In the fiscal year that ended September 30, 2017, the CFTC brought 49...
View ArticleValuation of equity warrants for uncertain financial market....
In this paper, within the framework of uncertainty theory, the valuation of equity warrants is investigated. Different from the methods of probability theory, the equity warrants pricing problem is...
View ArticleAsymmetric return rates and wealth distribution influenced by the...
Behavioral Finance has become a challenge to the scientific community. Based on the assumption that behavioral aspects of investors may explain some features of the Stock Market, we propose an agent...
View ArticleA New Interpretation of the Economic Complexity Index. (arXiv:1711.08245v1...
The Economic Complexity Index (ECI) introduced by Hidalgo and Hausmann (2009) has been successful in explaining differences in GDP/capita and economic growth across countries. There has been confusion,...
View ArticlePolynomial Jump-Diffusion Models. (arXiv:1711.08043v1 [q-fin.MF])
We develop a comprehensive mathematical framework for polynomial jump-diffusions, which nest affine jump-diffusions and have broad applications in finance. We show that the polynomial property is...
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