The Swiss Army Knife of Options Analytics
Finally, a solution to the most vexing problems of options pricing and fitting.
View ArticleConvexity Without Replication
We revise the standard analysis of constant maturity swaps, caps, and floors to account for dual forecast and discount curves. This reduces the pricing of these deals to evaluation of quadratic...
View ArticleElasticity of Variance of Variance
An empirical twoâhorse race between the Heston and SABR for the period around the 2008 financial crisis.
View ArticleThe Many�Worlds Interpretation of Risk Neutrality
There are many riskâneutral worlds, with different probabilities that support the same market prices. This matters in understanding how the originators of the BlackâScholes model each thought...
View ArticleEverything Is Rosy Now
âCapital markets are great shortâterm error correctors and poor longâterm predictors,â writes Kent. He calls the combination ârational myopia.â
View ArticleCars
Porsche arrives with its first allâelectric car for those who can't take Tesla seriously enough.
View ArticleThe skewed world of Jan Darasz
Wilmott, Volume 2020, Issue 105, Page 72-72, January 2020.
View ArticleThe SEC’s Office of Credit Ratings and NRSRO Regulation: Past, Present,...
The SECâs Office of Credit Ratings and NRSRO Regulation: Past, Present, and Future Jessica Kane SFVegas 2020 Keynote February 24, 2020
View ArticleSEC Updates List of Firms Using Inaccurate Information to Solicit Investors
The Securities and Exchange Commission today announced that it updated its Public Alert: Unregistered Soliciting Entities (PAUSE) list by adding 25 soliciting entities and four fictitious regulators.Â...
View Articlehttps://t.co/lCeZepoxwt
Research: Criptocurrencies, Fiat Money, Blockchains and Databases. (arXiv:2002.08466v1 [https://t.co/lCeZepoxwt]) https://t.co/9lzGV3fTPz â moneyscienceâ¦
View ArticlePredictive intraday correlations in stable and volatile market environments:...
Standard methods and theories in finance can be ill-equipped to capture highly non-linear interactions in financial prediction problems based on large-scale datasets, with deep learning offering a way...
View ArticleForecasting Foreign Exchange Rate: A Multivariate Comparative Analysis...
In todays global economy, accuracy in predicting macro-economic parameters such as the foreign the exchange rate or at least estimating the trend correctly is of key importance for any future...
View ArticleA new hybrid approach for crude oil price forecasting: Evidence from...
Faced with the growing research towards crude oil price fluctuations influential factors following the accelerated development of Internet technology, accessible data such as Google search volume index...
View ArticleScoring Functions for Multivariate Distributions and Level Sets....
Interest in predicting multivariate probability distributions is growing due to the increasing availability of rich datasets and computational developments. Scoring functions enable the comparison of...
View ArticleOptimal Signal-Adaptive Trading with Temporary and Transient Price Impact....
We study optimal liquidation in the presence of linear temporary and transient price impact along with taking into account a general price predicting finite-variation signal. We formulate this problem...
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Change and obliquity: how to achieve complex objectives through indirect means
âThose only are happy who have their minds fixed on some object other than their own happiness⦠aiming thus at something else, they find happiness by the wayâ – John Stuart Mill  How come so...
View ArticleBlockchain: The revolution that hasn't quite happened
Blockchain: The revolution that hasn't quite happened - https://t.co/ShP5XnbE1M â moneyscience (@moneyscience) February 25, 2020
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