Laughterâthe Worst Medicine
Like many commentators, I regard August 9 2007 as the start of the âGlobal Financial Crisisâ. On that day, BNP Paribas declared that several of its funds were being closed because liquidity in...
View ArticleThe Saudi Stock Exchange Announces The Publication Of The Weekly Stock Market...
The total value of shares traded for the week ending 18 February 2016 amounted to SAR 28.86 billion, increasing by 1.10% over the previous week; while total stock market capitalization reached SAR...
View ArticleQuantile Cross-Spectral Measures of Dependence between Economic Variables....
In this paper we introduce quantile cross-spectral analysis of multiple time series which is designed to detect general dependence structures emerging in quantiles of the joint distribution in the...
View ArticleHousehold Income Distribution in the USA. (arXiv:1602.06234v1 [q-fin.GN])
In this article we present an alternative model for the distribution of household incomes in the United States. We provide arguments from two differing perspectives which both yield the proposed income...
View ArticleModeling Stock Price Dynamics with Fuzzy Opinion Networks....
We propose a mathematical model for the word-of-mouth communications among stock investors through social networks and explore how the changes of the investors' social networks influence the stock...
View ArticleAccrual valuation and mark to market adjustment. (arXiv:1602.06189v1 [q-fin.PR])
This paper provides intuition on the relationship of accrual and mark-to-market valuation for cash and forward interest rate trades. Discounted cashflow valuation is compared to spread-based valuation...
View ArticleBlunt Honesty, Incentives, and Knowledge Exchange. (arXiv:1602.06188v1...
We propose a simple mechanism to facilitate the buying and selling of useful, bluntly honest information. The for-profit, arm's length knowledge exchange this mechanism enables may dramatically...
View ArticleNoise Fit, Estimation Error and a Sharpe Information Criterion....
When optimizing the Sharpe ratio over a k-dimensional parameter space the thus obtained in-sample Sharpe ratio tends to be higher than what will be captured out-of-sample. For two reasons: the...
View ArticleDuality formulas for robust pricing and hedging in discrete time....
In this paper we derive robust super- and subhedging dualities for contingent claims that can depend on several underlying assets. In addition to strict super- and subhedging, we also consider relaxed...
View ArticleDensity analysis of non-Markovian BSDEs and applications to biology and...
In this paper, we provide conditions which ensure that stochastic Lipschitz BSDEs admit Malliavin differentiable solutions. We investigate the problem of existence of densities for the first components...
View ArticleFunding, Repo and Credit Inclusion in Option Pricing via Dividends....
This paper specializes a number of earlier contributions to the theory of valuation of financial products in presence of credit risk, repurchase agreements and funding costs. Earlier works, including...
View ArticleCME Group Announces The Launch Of LNG DES Japan (Rim) Futures Contract
CME Group, the world's leading and most diverse derivatives marketplace, today announced that it has expanded its suite of energy product offerings with the introduction of a new LNG DES Japan (Rim)...
View ArticleJapan's Financial Services Agency And Japan Exchange Group: Publication Of...
The Council of Experts Concerning the Follow-up of Japan’s Stewardship Code and Japan’s Corporate Governance Code has published “Publication of "Corporate Boards Seeking Sustainable Corporate Growth...
View ArticleCairo Amman Bank Weekly Amman Stock Exchange Report
Click here to download Cairo Amman Bank's weekly Amman Stock Exchange report.
View ArticleNovitasFTCL Research: Financial Performance Of Unlisted UK Fintech Companies...
Research discussing investments in fintech is extensive, yet there is almost no discussion of the actual financial performance of the companies comprising the sector. How fast are they growing? How...
View ArticleIOSCO Plays Key Role In Responding To Global Securities Marketsâ...
The Board of the International Organization of Securities Commissions (IOSCO) met for two days in Madrid to discuss and respond to the many ongoing and emerging challenges facing global securities...
View Article"India â Switzerland In Focus": As Part Of Its Activities In...
The recently published magazine "India – Switzerland in Focus" looks at the partnerships between India and Switzerland in areas such as business, politics, culture and innovation. Various companies...
View ArticleSchool Finance Reform and the Distribution of Student Achievement -- by...
We study the impact of post-1990 school finance reforms, during the so-called "adequacy" era, on gaps in spending and achievement between high-income and low-income school districts. Using an event...
View ArticleMisMatch in Human Capital Accumulation -- by Russell Cooper, Huacong Liu
This paper studies the allocation of heterogeneous agents to levels of educational attainment. The goal is to understand the magnitudes and sources of mismatch in this assignment, both in theory and in...
View ArticleSluggish Inflation Expectations: A Markov Chain Analysis -- by Narayana R....
A large body of recent empirical work on inflation dynamics documents that current real variables (like unemployment or output gaps) have little explanatory power for future inflation. Motivated by...
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