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Obituary. William Fouse, quantitative analyst, 1928-2019 - The âFather of the index fundâ who co-founded Mellon Capital Management https://t.co/ir80svzbVX ââ¦
View ArticleGood institutions and banking sector competitiveness: A semi-parametric evidence
Publication date: Available online 25 October 2019Source: Finance Research LettersAuthor(s): Aklesso Y.G. Egbendewe, Djoulassi K. OloufadeAbstractThis research examines the role of institutionsâ...
View ArticlePrice mediated contagion through capital ratio requirements....
We develop a framework for price-mediated contagion in financial systems where banks are forced to liquidate assets to satisfy a risk-weight based capital adequacy requirement. In constructing this...
View ArticleChange of drift in one-dimensional diffusions. (arXiv:1910.11904v1 [q-fin.MF])
It is generally understood that a given one-dimensional diffusion may be transformed by Cameron-Martin-Girsanov measure change into another one-dimensional diffusion with the same volatility but a...
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Newsletter October 2019 First MathFinance Asia Conference in Singapore
Editorial First MathFinance Asia Conference in Singapore MathFinance Asia successfully hosted its 1st conference in Singapore at the Fullerton Hotel on 18th October 2019. The conference was well...
View ArticleUwe Wystup’s FX Column in Wilmott Magazine October 2019: “Reverse...
Two heavyweight vol models punch it out. Read article here. The post Uwe Wystupâs FX Column in Wilmott Magazine October 2019: âReverse Knockout Pricing Case Study: Stochastic Local Volatility...
View ArticleThe influence of Bitcoin on Portfolio Diversification and Design
Publication date: Available online 29 October 2019Source: Finance Research LettersAuthor(s): Md Akhtaruzzaman, Ahmet Sensoy, Shaen CorbetAbstractWe employ a VARMA DCC-GARCH model to search for...
View ArticleDoes political connection distort competition and encourage corporate risk...
Publication date: Available online 28 October 2019Source: Journal of Empirical FinanceAuthor(s): Isaac Otchere, Lemma W. Senbet, Pengcheng ZhuAbstractWe investigate the impact of political connection...
View ArticleQuantification of the estimation risk inherent in loss distribution approach...
In this paper, the authors contribute to the measurement of model risk by focusing on the quantification of estimation risk.
View ArticleCalendar / Seasonal Trading and Momentum Factor
We are continuing in our short series of articles about calendar / seasonal trading. The main focus of this paper is to show that the well-working calendar / seasonal anomalies can be refined. The aim...
View ArticleNatasha Vij Greiner Named Associate Director in SEC’s Investment...
The Securities and Exchange Commission today announced that Natasha Vij Greiner has been named Associate Director in its Office of Compliance Inspections and Examinationâs (OCIE) investment adviserÂ...
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