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Newsletter Sept 2019 Static Replication of a FOR-paying Double-No-Touch with...
Editorial Static Replication of a FOR-paying Double-No-Touch with One Double-Knock-Out Option How can we statically replicate a double-no-touch contract (DNT) paying one unit of foreign currency using...
View ArticleOptimal Dividend for Insurance Group with External Default Contagion....
This paper studies the optimal dividend for a multi-line insurance group, in which each insurance company is exposed to some external credit default risk. The external default contagion is considered...
View ArticleMean-variance portfolio selection under Volterra Heston model....
Motivated by empirical evidence for rough volatility models, this paper investigates continuous-time mean-variance (MV) portfolio selection under the Volterra Heston model. Due to the non-Markovian and...
View ArticleUnified Bayesian Conditional Autoregressive Risk Measures using the Skew...
Conditional Autoregressive Value-at-Risk and Conditional Autoregressive Expectile have become two popular approaches for direct measurement of market risk. Since their introduction several improvements...
View ArticleCharacterization of Fully Coupled FBSDE in Terms of Portfolio Optimization....
We provide a verification and characterization result of optimal maximal sub-solutions of BSDEs in terms of fully coupled forward backward stochastic differential equations. We illustrate the...
View ArticlePartial Uncertainty and Applications to Risk-Averse Valuation....
This paper introduces an intermediary between conditional expectation and conditional sublinear expectation, called R-conditioning. The R-conditioning of a random-vector in $L^2$ is defined as the best...
View ArticleNot so Particular about Calibration: Smile Problem Resolved....
We present a novel Monte Carlo based LSV calibration algorithm that applies to all stochastic volatility models, including the non-Markovian rough volatility family. Our framework overcomes the...
View ArticleModelling the health impact of food taxes and subsidies with price...
Background Food taxes and subsidies are one intervention to address poor diets. Price elasticity (PE) matrices are commonly used to model the change in food purchasing. Usually a PE matrix is generated...
View ArticleA varying terminal time mean-variance model. (arXiv:1909.13102v1 [math.OC])
To improve the efficient frontier of the classical mean-variance model in continuous time, we propose a varying terminal time mean-variance model with a constraint on the mean value of the portfolio...
View ArticleEquity Premium Puzzle or Faulty Economic Modelling?. (arXiv:1909.13019v1...
In this paper, we revisit the equity premium puzzle reported in 1985 by Mehra and Prescott. We show that the large equity premium that they report can be explained by choosing a more appropriate...
View ArticleTowards Federated Graph Learning for Collaborative Financial Crimes...
Financial crime is a large and growing problem, in some way touching almost every financial institution. Financial institutions are the front line in the war against financial crime and accordingly,...
View ArticleA revenue allocation scheme based on pairwise comparisons....
A model of sharing revenues among groups when group members are ranked several times is presented. The methodology is based on pairwise comparison matrices, allows for the use of any weighting method,...
View ArticleA Cloud-Native Globally Distributed Financial Exchange Simulator for Studying...
We describe a new public-domain open-source simulator of an electronic financial exchange, and of the traders that interact with the exchange, which is a truly distributed and cloud-native system that...
View ArticleQuantum Annealing Algorithm for Expected Shortfall based Dynamic Asset...
The 2008 mortgage crisis is an example of an extreme event. Extreme value theory tries to estimate such tail risks. Modern finance practitioners prefer Expected Shortfall based risk metrics (which...
View ArticleSEC’s Message for 2019 World Investor Week: Start Early
The Securities and Exchange Commission today announced that during World Investor Week staff will participate in more than 50 events around the country encouraging individuals to start early to save...
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US Equities: Resilient Force or Case Study in Denial?
As readers of this blog know, I don't write much about whether stocks collectively are over or under priced, other than my usual start of the year posts about markets or in response to market crisis....
View ArticleSEC Proposes to Require Proposed NMS Plan Fee Amendments to Follow Public...
The Securities and Exchange Commission today proposed to require an amendment to a national market system plan (NMS plan) that would establish or change a fee or other charge (Proposed Fee Change) to...
View ArticleGoldman Sachs Puts Stop-loss on Options
Goldman Sachs threw in the towel two years ago. Well, âa towel,â anyway. Goldman has lots of towels. But two years ago, Goldman gave up on market making at the US options exchanges. In time for the...
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