Smile Modelling in Commodity Markets. (arXiv:1808.09685v2 [q-fin.PR] UPDATED)
We present a stochastic-local volatility model for derivative contracts on commodity futures able to describe forward-curve and smile dynamics with a fast calibration to liquid market quotes. A...
View ArticleForecasting NIFTY 50 benchmark Index using Seasonal ARIMA time series models....
This paper analyses how Time Series Analysis techniques can be applied to capture movement of an exchange traded index in a stock market. Specifically, Seasonal Auto Regressive Integrated Moving...
View ArticleSocial Cost of Carbon: What Do the Numbers Really Mean?. (arXiv:2001.08935v1...
The Social Cost of Carbon (SCC) is estimated by integrated assessment models and is widely used by government agencies to value the climate impacts of rulemakings, however, the core discussion around...
View ArticleBig Data based Research on Mechanisms of Sharing Economy Restructuring the...
Many researches have discussed the phenomenon and definition of sharing economy, but an understanding of sharing economy's reconstructions of the world remains elusive. We illustrate the mechanism of...
View ArticleRefined model of the covariance/correlation matrix between securities....
A new methodology has been introduced to clean the correlation matrix of single stocks returns based on a constrained principal component analysis using financial data. Portfolios were introduced,...
View ArticlePricing commodity swing options. (arXiv:2001.08906v1 [q-fin.PR])
In commodity and energy markets swing options allow the buyer to hedge against futures price fluctuations and to select its preferred delivery strategy within daily or periodic constraints, possibly...
View ArticleChoosing the Right Return Distribution and the Excess Volatility Puzzle....
Proponents of behavioral finance have identified several "puzzles" in the market that are inconsistent with rational finance theory. One such puzzle is the "excess volatility puzzle". Changes in equity...
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Business automation in investment banking: fast forward…. or not?
By 2020 service automation, based on robotic process automation (RPA), cognitive automation (CA) and artificial intelligence (AI) has reached an intriguing and confusing moment in its evolution across...
View ArticleDifference between the determinants of operational risk reporting in Islamic...
In this study, the author investigates the operational risk reporting practices of Islamic banking institutions (IBIs) and conventional banks (CBs) in Saudi Arabia. Moreover, the author explores the...
View ArticleRisk capital reserve and measurement precision in modeling heavy-tailed...
This paper provides a rationale for adopting quantitative buffer capital, designed to absorb variations due to measurement errors, especially those originating from the estimation risk.
View ArticleVolatility forecasting: the role of internet search activity and implied...
In this study, the authors search for a benchmark model with available market-based predictors to evaluate the net contribution of internet search activity data in forecasting volatility. The paper...
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Data Update 2 for 2020: Retrospective on a Disruptive Decade
My data updates usually look at the data for the most recent year and what I learn from them, but 2020 also marks the end of a decade. In this post, I look back at markets over the period, a testing...
View ArticleSEC Office of Compliance Inspections and Examinations Publishes Observations...
The Securities and Exchange Commission Commission's Office of Compliance Inspections and Examinations (OCIE) today issued examination observations related to cybersecurity and operational resiliency...
View ArticleSEC Charges Portfolio Manager and Advisory Firm with Misrepresenting Risk in...
The Securities and Exchange Commission today announced charges against a New York-based investment adviser for misleading investors about the management of risk in a mutual fund. Catalyst Capital...
View ArticleLeery Funk’s Open Letter to Sovereign Leaders
By Bill Kelly, CAIA Association CEO In the interest of brevity, I am going to skip the salutation and get right to the heart of the matter. As my name implies, I am Leery of the lofty promises that...
View ArticleNear-real-time monitoring in real-time gross settlement systems: a traffic...
This paper develops a method to identify quantitative risks in financial market infrastructures (FMIs) that is inspired by the Principles for Financial Market Infrastructures.
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