Pricing Derivatives in a Regime Switching Market with Time Inhomogeneous...
This paper studies pricing derivatives in an age-dependent semi-Markov modulated market. We consider a financial market where the asset price dynamics follow a regime switching geometric Brownian...
View ArticleOptimal shrinkage-based portfolio selection in high dimensions....
In this paper we estimate the mean-variance (MV) portfolio in the high-dimensional case using the recent results from the theory of random matrices. We construct a linear shrinkage estimator which is...
View ArticleAn Equilibrium Model with Computationally Constrained Agents....
We study a large economy in which firms cannot compute exact solutions to the non-linear equations that characterize the equilibrium price at which they can sell future output. Instead, firms use...
View ArticleEM Algorithm and Stochastic Control in Economics. (arXiv:1611.01767v1...
Generalising the idea of the classical EM algorithm that is widely used for computing maximum likelihood estimates, we propose an EM-Control (EM-C) algorithm for solving multi-period finite time...
View ArticleEffects of income redistribution on the evolution of cooperation in spatial...
Income redistribution is the transfer of income from some individuals to others directly or indirectly by means of social mechanisms, such as taxation, public services and so on. Employing a spatial...
View Article`To Have What They are Having': Portfolio Choice for Mimicking Mean-Variance...
We consider a group of mean-variance investors with mimicking desire such that each investor is willing to penalize deviations of his portfolio composition from compositions of other group members....
View ArticleASIC Welcomes Industry Funding Consultation
ASIC welcomes the Government's continued support for the introduction of an ASIC industry funding model and the release yesterday of the Proposals paper issued by Treasury on the proposed model.read...
View ArticleSpeech By Asley Adler, Chief Executive Officer, Hong Kong's Securities And...
A speech entitled "Keynote speech at 7th Pan-Asian Regulatory Summit" delivered by Mr Ashley Alder was posted on the SFC website today.read more...
View ArticleStatement On The UK Financial Conduct Authority’s Review Of Royal Bank...
This statement provides an update on the Financial Conduct Authority’s (FCA) review of Royal Bank of Scotland’s (RBS) treatment of small and medium enterprise (SME) customers in financial...
View ArticleChina Construction Bank Celebrates Listing A 600 Million USD Bond On Nasdaq...
Yuan Shengrui, Senior Executive Officer of the DIFC branch of China Construction Bank (CCB), today rang the market-opening bell to celebrate the listing of a 600 million US dollar bond on Nasdaq Dubai,...
View ArticleJacqueline Loh appointed new Chair of the Markets Committee
Press release about international central bank committees releasing reports on fixed income markets (January 2016)
View ArticleThinkMarkets Launch New MT4 Super Platform
Leading multi-asset trading platform, ThinkMarkets has announced its revamped platform MT4 Super, an enhanced custom version of Metatrader4. The move is part of ThinkMarkets’ ongoing push to enhance...
View ArticleFast payments - Enhancing the speed and availability of retail payments
The Committee on Payments and Market Infrastructures has issued a report on Fast payments. So-called fast payment services make funds immediately available to the payee and can be used...
View ArticleCentral banks are monitoring and fostering the development of fast payment...
Press release about CPMI issuing a report on "Fast payments - Enhancing the speed and availability of retail payments", 8 November 2016.
View ArticleChinese Vice Minister Of The Ministry Of Finance Took Part In The Opening...
A delegation headed by the Vice Minister of the Ministry of Finance arrived this morning for a visit at TASE and met Mr. Amnon Neubach, TASE Chairman of the Board. read more...
View ArticleNYSE, NYSE Arca And NYSE MKT Short Interest Reports
NYSE today reported short interest as of the close of business on the settlement date of October 31, 2016.read more...
View ArticleSEC: Movie Producer Charged With Defrauding Hedge Fund Investors
The Securities and Exchange Commission today charged a former movie producer and self-proclaimed private equity executive with defrauding investors in hedge funds and using the money he stole to...
View ArticleVIX Futures Volume In Non-U.S. Trading Hours Sets New Daily Record
CBOE Futures Exchange, LLC (CFE®) today announced record volume was set in futures contracts on the CBOE Volatility Index® (VIX® Index) traded in non-U.S. trading hours with an estimated 263,663...
View ArticleMondo Visione 2016 Exchange Forum Panellist Select Milano's Bepi...
For over 400 years the Hansa States traded with each other in what could loosely be described as an early version of the European Union, without a common currency. In the UK As the future European...
View ArticleCFTC Swaps Report Update
CFTC's Weekly Swaps Report has been updated, and is now available.read more...
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