Financial literacy and responsible finance in the FinTech era: capabilities...
Volume 26, Issue 4-5, March-April 2020, Page 297-301.
View ArticlePaul A. Montoya Named Associate Regional Director in Chicago Office
The Securities and Exchange Commission today announced that Paul A. Montoya has been named Associate Regional Director for Enforcement in the Chicago Regional Office. Mr. Montoya succeeds Robert J....
View ArticleLykke on Twitter
#LykkeFastFact Lykke intends to launch the 1st regulated #SecurityToken exchange upon receipt of #FINMA's Swiss Securities Dealer & #OTF license. Upon receiptâ¦
View ArticleClimate: The ‘OUR’ Between Dog and Wolf
By Bill Kelly, CEO, CAIA Association While this weekâs post may harken to a certain book written by John Coates, there is a different play on the metaphor at work here, with our wheezing planet...
View ArticleClik here to view.
Data Update 3 for 2020: The Price of Risk!
When investing, risk is a given and if you choose to avoid it, at any cost, you will and in the last decade, you have borne a staggering cost in terms of returns unearned. At the other extreme, seeking...
View ArticleCommunity Matters: Heterogeneous Impacts of a Sanitation Intervention....
We study the effectiveness of a community-level information intervention aimed at improving sanitation using a cluster-randomized controlled trial (RCT) in Nigerian communities. The intervention,...
View ArticlePricing of debt and equity in a financial network with comonotonic...
In this paper we present formulas for the valuation of debt and equity of firms in a financial network under comonotonic endowments. We demonstrate that the comonotonic setting provides a lower bound...
View ArticleA class of stochastic games and moving free boundary problems....
In this paper we propose and analyze a class of stochastic $N$-player games that includes finite fuel stochastic games as a special case. We first derive sufficient conditions for the Nash equilibrium...
View ArticleKelly Criterion: From a Simple Random Walk to L'{e}vy Processes....
The original Kelly criterion provides a strategy to maximize the long-term growth of winnings in a sequence of simple Bernoulli bets with an edge, that is, when the expected return on each bet is...
View ArticleOptimal liquidation for a risk averse investor in a one-sided limit order...
In a general one-sided limit order book where the unaffected price process follows a Levy process, we consider the problem for an investor with constant absolute risk aversion to optimally liquidate a...
View ArticleOptimal liquidation trajectories for the Almgren-Chriss model with Levy...
We consider an optimal liquidation problem with infinite horizon in the Almgren-Chriss framework, where the unaffected asset price follows a Levy process. The temporary price impact is described by a...
View ArticleCrowded trades, market clustering, and price instability. (arXiv:2002.03319v1...
Crowded trades by similarly trading peers influence the dynamics of asset prices, possibly creating systemic risk. We propose a market clustering measure using granular trading data. For each stock the...
View ArticleStochastic optimization of the Dividend strategy with reinsurance in...
The present paper addresses the issue of the stochastic control of the optimal dynamic reinsurance policy and dynamic dividend strategy, which are state-dependent, for an insurance company that...
View ArticleStability and asymptotic analysis of the F"ollmer-Schweizer...
First, we consider the problem of hedging in complete binomial models. Using the discrete-time F"ollmer-Schweizer decomposition, we demonstrate the equivalence of the backward induction and sequential...
View ArticleAn internal fraud model for operational losses in retail banking....
This paper develops a dynamic internal fraud model for operational losses in retail banking. It considers public operational losses arising from internal fraud in retail banking within a group of...
View ArticleUK hopes to have freeports up and running next year
"Some trade experts say the net benefit of freeports is limited and they often just redistribute economic activity from elsewhere in the country."â¦
View ArticleClik here to view.
‘Robot’ mania and language: useful or self-defeating?
âWhen I use a word,â Humpty Dumpty said in rather a scornful tone, âit means just what I choose it to mean â neither more nor less.â â Lewis Carroll, Alice In Wonderland. In Lewis...
View ArticleThe value of informational arbitrage
Abstract In the context of a general semimartingale model, we aim at determining how much an investor is willing to pay to learn additional information that allows achieving arbitrage. If such a value...
View Article