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ISDA/SIFMA AMG Benchmark Strategies Forum 2020
Founding Sponsor: The ISDA Benchmark Strategies Forum 2020 will explore the issues market practitioners should consider as they adopt and trade alternative risk-free rates (RFRs). The conference...
View ArticleLiquidity impact on assets pricing in the context of Fama and French model
International Journal of Financial Innovation in Banking, Volume 2, Issue 4, Page 355-374, January 2019.
View ArticleExploring the antecedents of intention towards adoption of internet banking:...
International Journal of Financial Innovation in Banking, Volume 2, Issue 4, Page 334-354, January 2019.
View ArticleBlockchain technology: challenges and opportunities for banks
International Journal of Financial Innovation in Banking, Volume 2, Issue 4, Page 314-333, January 2019.
View ArticleA century of strategic management and corporate sustainability: how may...
International Journal of Financial Innovation in Banking, Volume 2, Issue 4, Page 304-313, January 2019.
View ArticleThe role of financial exclusion in weakening the performance of banks:...
International Journal of Financial Innovation in Banking, Volume 2, Issue 4, Page 279-303, January 2019.
View ArticleMoneyScience: MoneyScience's event: ICEPFM 2020: 14. International Conference...
Events this week: ICEPFM 2020: 14. International Conference on Econophysics and Physics of Financial Markets https://t.co/JoMVMzlSxy â moneyscienceâ¦
View ArticleAlgorithmic Trading – From Microwave Technology to Colocation and...
Algorithmic Trading â From Microwave Technology to Colocation and Neural Networks https://t.co/uX0QdU6y0X â Financial Technology (@fin_tech) January 20, 2020
View ArticleHow Inequality Imperils Cooperation - Issue 79: Catalysts - Nautilus
How Inequality Imperils Cooperation: A game theorist breaks down the effects of inequality https://t.co/EOfbqdWQ46 â moneyscience (@moneyscience) January 20,â¦
View ArticleMoneyScience: Libor Benchmark Reform: An Overview of Libor Changes and Its...
A useful #Libor benchmark rate reform and yield curve primer - https://t.co/FXC0iYDwao â Risk Management (@Risk_Mgmt) January 20, 2020
View ArticleMoneyScience: MoneyScience's post: Call for Papers - The Journal of...
Call for Papers - The Journal of Systematic Investing (JSI) https://t.co/DgON933JVm â moneyscience (@moneyscience) January 20, 2020
View ArticleA Dynamic Bayesian Model for Interpretable Decompositions of Market...
We propose a heterogeneous simultaneous graphical dynamic linear model (H-SGDLM), which extends the standard SGDLM framework to incorporate a heterogeneous autoregressive realised volatility (HAR-RV)...
View ArticleTerm Structure Modeling under Volatility Uncertainty. (arXiv:1904.02930v2...
We study a forward rate model in the presence of volatility uncertainty. The forward rate is modeled as a diffusion process in the spirit of Heath, Jarrow, and Morton (1992). The uncertainty about the...
View ArticleKernel-based collocation methods for Heath-Jarrow-Morton models with Musiela...
We propose kernel-based collocation methods for numerical solutions to Heath-Jarrow-Morton models with Musiela parametrization. The methods can be seen as the Euler-Maruyama approximation of some...
View ArticleHigh-Frequency Jump Tests: Which Test Should We Use?. (arXiv:1708.09520v3...
We conduct an extensive evaluation of price jump tests based on high-frequency financial data. After providing a concise review of multiple alternative tests, we document the size and power of all...
View ArticleSwap Portfolios and Reverse-Weighted Portfolios, with an Application to...
A market portfolio is a portfolio in which each asset is held at a weight proportional to its market value. A swap portfolio is a portfolio in which each one of a pair of assets is held at a weight...
View ArticleMarkov risk mappings and risk-averse optimal stopping under ambiguity....
We aim to analyse a Markovian discrete-time optimal stopping problem for a risk-averse decision maker under model ambiguity. In contrast to the analytic approach based on transition risk mappings, a...
View ArticleA tail dependence-based MST and their topological indicators in modelling...
In the present work we analyze the dynamics of indirect connections between insurance companies that result from market price channels. In our analysis we assume that the stock quotations of insurance...
View ArticleWho voted for a No Deal Brexit? A Composition Model of Great Britains 2019...
The purpose of this paper is to use the votes cast at the 2019 European elections held in United Kingdom to re-visit the analysis conducted subsequent to its 2016 European Union referendum vote. This...
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