Interacting Default Intensity with Hidden Markov Process. (arXiv:1603.02902v1...
In this paper we consider a reduced-form intensity-based credit risk model with a hidden Markov state process. A filtering method is proposed for extracting the underlying state given the observation...
View ArticleSmall-time asymptotics for basket options -- the bi-variate SABR model and...
We compute a sharp small-time estimate for the price of a basket call under a bi-variate SABR model with both $\beta$ parameters equal to $1$ and three correlation parameters, which extends the work of...
View ArticleLibor at crossroads: stochastic switching detection using information theory...
This paper studies the 28 time series of Libor rates, classified in seven maturities and four currencies), during the last 14 years. The analysis was performed using a novel technique in financial...
View ArticleConvex duality in optimal investment and contingent claim valuation in...
This paper studies convex duality in optimal investment and contingent claim valuation in markets where traded assets may be subject to nonlinear trading costs and portfolio constraints. Under fairly...
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Wiley Announces This Yearâs Authors Presenting at SXSW 2016
Wiley is excited to announce the authors speaking at SXSW Interactive 2016 and a keynote presentation by Brain Solis. Read More...
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Controversy for Jessica Alba at The Honest Company
Source: Wall Street JournalBy now, you all know the story of actress-turned-entrepreneur Jessica Alba. Four years ago, she co-founded The Honest Company. The firm aimed to provide families with...
View ArticleTOM MTF Statistics Week 10, 2016
Click here to download the weekly statistics update of TOM MTF for week 10, 2016. In week 10 a total of 428,913 equity and index option contracts were traded resulting in a TOM MTF market share versus...
View ArticleBM&FBOVESPA Announces The Market Maker For Cash-Settled Hydrous Ethanol...
BM&FBOVESPA hereby announces the institution registered for Market Maker activity for Cash-Settled Hydrous Ethanol Futures Contracts. Usina Alta Mogiana S/A is the selected institution and its...
View ArticleNigerian Stock Exchange Weekly Market Report For Week Ending 11 March 2016
A turnover of 1.111 billion shares worth N7.448 billion in 15,562 deals were traded this week by investors on the floor of the Exchange in contrast to a total of 1.476 billion shares valued at N7.992...
View ArticleMoscow Exchange Data Products
From 15 April 2016, Moscow Exchange will provide real-time market data and end-of-day files for download to proprietary databases and user applications only to subscribers of its information products....
View ArticleSIX Swiss Exchange: February 2016: Increasing Number Of Trades
The statistical monthly report contains the latest trade and turnover figures for SIX Swiss Exchange.read more...
View ArticleCME Group Announces Record FX Futures And Options Volume
CME Group, the world's leading and most diverse derivatives marketplace, today announced it reached a trading volume record for total FX futures and options yesterday, March 10, of 2,517,334 contracts,...
View ArticleStatement of Commissioner J. Christopher Giancarlo, Sponsor of the CFTC...
As sponsor of the CFTCâs Energy and Environmental Markets Advisory Committee (EEMAC), I have notified members that the non-binding report and recommendations issued on February 25, 2016, has been...
View ArticleStatement Of CFTC Commissioner J. Christopher Giancarlo, Sponsor Of The CFTC...
As sponsor of the CFTC’s Energy and Environmental Markets Advisory Committee (EEMAC), I have notified members that the non-binding report and recommendations issued on February 25, 2016, has been...
View ArticleFINRA Evaluates Membership Application Rules - Finds Rules Have Been...
The Financial Industry Regulatory Authority's rules governing its Membership Application Program (MAP) have been effective in meeting their investor-protection objectives, and there are opportunities...
View ArticleCFTC Commitments Of Traders Reports Update
The current reports for the week of March 8, 2016 are now available.read more...
View ArticleCalPERS Names Marlene Timberlake DâAdamo As Chief Compliance Officer -...
The California Public Employees' Retirement System (CalPERS) announced the selection of Marlene Timberlake D'Adamo as Chief Compliance Officer (CCO). She assumes her new role on April 11.read more...
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