A probability-free and continuous-time explanation of the equity premium and...
This paper gives yet another definition of game-theoretic probability in the context of continuous-time idealized financial markets. Without making any probabilistic assumptions (but assuming positive...
View ArticleComments on the BCBS proposal for a New Standardized Approach for Operational...
On March 4th 2016 the Basel Committee on Banking Supervision published a consultative document where a new methodology, called the Standardized Measurement Approach (SMA), is introduced for computing...
View ArticleRecursive utility optimization with concave coefficients. (arXiv:1607.00721v1...
This paper concerns the recursive utility maximization problem. We assume that the coefficients of the wealth equation and the recursive utility are concave. Then some interesting and important cases...
View ArticleTime-Inconsistent Stochastic Linear-quadratic Differential Game....
We consider a general time-inconsistent stochastic linear-quadratic differential game. The time-inconsistency arises from the presence of quadratic terms of the expected state as well as...
View ArticleLimit order trading with a mean reverting reference price....
Optimal control models for limit order trading often assume that the underlying asset price is a Brownian motion since they deal with relatively short time scales. The resulting optimal bid and ask...
View ArticleEstimation and prediction of credit risk based on rating transition systems....
Risk management is an important practice in the banking industry. In this paper we develop a new methodology to estimate and predict the probability of default (PD) based on the rating transition...
View ArticleCME Group Achieved Average Daily Volume Of 16.4 Million Contracts Per Day In...
CME Group, the world's leading and most diverse derivatives marketplace, today announced that June 2016 average daily volume (ADV) reached 16.4 million contracts per day, up 13 percent from June 2015....
View ArticleIrish Stock Exchange: ISEFundHub Adds Calamos Investments And Yuki International
The Irish Stock Exchange’s (ISE) web-based fund information portal,ISEFundHub, has added data from two new investment managers -Calamos Investments and Yuki International which join over 50 other...
View ArticleBats Global Markets, Inc. To Hold Second Quarter 2016 - Earnings Conference...
Bats Global Markets, Inc. (BATS: Bats), a leading global operator of exchanges and services for financial markets, will hold its second quarter 2016 earnings conference call on Thursday, August 4, at...
View ArticleHKEX: Updated Arrangements For Adjustment Of Hengan Options
Hong Kong Exchanges and Clearing Limited (HKEX) has announced updated arrangements for the adjustment of Hengan International Group Company Limited (Hengan) options to account for Hengan's spin-off and...
View ArticleACER: Limited Progress In Implementation Of Projects Of Common Interest
ACER published today its second consolidated annual report on the progress of Projects of Common Interest (PCIs) in electricity and gas. The report contains the results of the monitoring of the...
View ArticleMoscow Exchange Indices Monthly Review: June 2016
In June, Moscow Exchange"s Indices reflected the negative trend by the MICEX Index on the Russian stock market. The MICEX Index was down 0.42% to 1,891.09 (from 1,899.01 on 31 May), while the...
View ArticleCasablanca Stock Exchange Highlights â Second Quarter 2016
CLOSING OF THE CASABLANCA STOCK EXCHANGE DEMUTUALIZATION PROCESSread more...
View ArticleTMX Group Limited Announces Release Date For Q2 2016 Financial Results And...
TMX Group Limited will announce its financial results for the second quarter ended June 30, 2016 in the evening of Wednesday, August 3, 2016. An analyst conference call to review the results will be...
View ArticleStatement By Deutsche Börse AG On London Stock Exchange Group...
Deutsche Börse AG welcomes the London Stock Exchange Group plc (LSEG) shareholders’ approval on the recommended all-share merger between LSEG and Deutsche Börse.read more...
View ArticleCME: June Ag Barometer Shows Rebound In Producer Sentiment
Producer sentiment surrounding the U.S. agricultural economy rebounded in June after a dip in May, according to the latest survey results from the Purdue/CME Group Ag Economy Barometer.read more...
View ArticleSurvey Reveals Large Proportion Of Buy-Side Firms Struggling With...
SimCorp, a leading provider of investment management solutions and services for the global financial services industry, today announced the results of a new TABB Group study, entitled ‘The Buy-side...
View ArticleOCC Named Clearinghouse Of The Year By Global Investor/ISF
OCC, the world's largest equity derivatives clearing organization said today it was named Clearinghouse of the Year by Global Investor/ISF Magazine. The award was presented to OCC on June 30th in...
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CBOE Holdings Reports June 2016 Trading Volume
CBOE Holdings, Inc. (NASDAQ: CBOE) reported today that June average daily volume (ADV) for options contracts traded on Chicago Board Options Exchange® (CBOE®) and C2 Options Exchange (C2), and futures...
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