Regime switching vine copula models for global equity and volatility indices....
For nearly every major stock market there exist equity and implied volatility indices. These play important roles within finance: be it as a benchmark, a measure of general uncertainty or a way of...
View ArticleOptimal investment and consumption with downside risk constraint in...
This paper extends the results of the article [C. Kl\"{u}ppelberg and S. M. Pergamenchtchikov. Optimal consumption and investment with bounded downside risk for power utility functions. In Optimality...
View ArticleDuality in nondominated discrete-time models for Americain options....
We aim to generalize the duality results of Bouchard and Nutz (2015) to the case of American options. By introducing an enlarged canonical space, we reformulate the superhedging problem for American...
View ArticleCapital Pricing in Margin Periods of Risk and Repo KVA. (arXiv:1604.05406v1...
The presence of hedging errors is practically a norm of derivatives businesses. Using the unhedgeable gap risk during a margin period of risk as a starting point, this article introduces a reserve...
View ArticleRepo Haircuts and Economic Capital. (arXiv:1604.05404v1 [q-fin.PR])
This article presents a model of haircuts and economic capital for repo. We propose a credit approach to solve haircuts such that the exposure to market risk meets a prescribed credit rating scale...
View ArticleDalian Commodity Exchange, Inner Mongolia Government Sign Strategic...
On April 15, Dalian Commodity Exchange (DCE) and the Government of Inner Mongolia signed a strategic cooperation memorandum at Dalian Futures Building. Yun Guangzhong, vice chairman of Inner Mongolia...
View ArticleASIC Welcomes Significant Reforms
ASIC today welcomed the Government’s announcement of major additional funding for the regulator.read more...
View ArticleNZX Regulatory Agenda 2016 Published
NZX today published its inaugural Regulatory Agenda which highlights the regulatory outcomes NZX Regulation is pursuing this year, and identifies three key strategic areas of focus for 2016. These...
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SR Labs Announces Expansion Of Its New York Team - Kevin Fellows Brings Both...
SR Labs, LLC, a global leader in enterprise grade market data and trading technology, are delighted to announce that Kevin Fellows has re-joined the company in a senior pre sales engineering role....
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