Optimal mortgage contracts with time-inconsistent preferences
Volume 25, Issue 18, December 2019, Page 1834-1855.
View ArticleThree regime bivariate normal distribution: a new estimation method for...
Volume 25, Issue 18, December 2019, Page 1817-1833.
View ArticleSEC Issues Statement on Market Structure Innovation for Thinly Traded Securities
The Securities and Exchange Commission today issued a statement that invites exchanges and other market participants to submit innovative proposals designed to improve the secondary market structure...
View ArticleForethought Life Insurance Company
Regulation S-X Rule 3-13 Relief for Certain Non-Variable Insurance Products
View ArticleNationwide Life Insurance Company
Regulation S-X Rule 3-13 Relief for Certain Non-Variable Insurance Products
View ArticleSEC and Morehouse College Announce Atlanta Event for Minority Entrepreneurs
The Securities and Exchange Commission and Morehouse College will co-host a panel discussion on strategies to attract investment capital to minority businesses from 4 - 7 p.m. ET on Thursday, Oct. 24Â...
View ArticlePast performance guarantees no future results
Since, as everyone says, âpast performance is no guarantee of future results,â a history of close correlation between two assets, or between a single asset and a benchmark, is no guarantee of...
View ArticleGaussian Process Regression for Derivative Portfolio Modeling and Application...
Modeling counterparty risk is computationally challenging because it requires the simultaneous evaluation of all the trades with each counterparty under both market and credit risk. We present a...
View ArticleIntegrating electricity markets: Impacts of increasing trade on prices and...
This paper presents empirically-estimated average hourly relationships between regional electricity trade in the United States and prices, emissions, and generation from 2015 through 2018. Consistent...
View ArticleViability and Arbitrage under Knightian Uncertainty. (arXiv:1707.03335v4...
We reconsider the microeconomic foundations of financial economics under Knightian Uncertainty. We remove the (implicit) assumption of a common prior and base our analysis on a common order instead....
View ArticleThe value of power-related options under spectrally negative L'evy processes....
We provide analytical tools for pricing power options with exotic features (capped or log payoffs, gap options ...) in the framework of exponential L'evy models driven by one-sided stable or tempered...
View ArticleCurrency Based on Time Standard. (arXiv:1910.07859v1 [econ.GN])
The Total Economic Time Capacity of a Year 525600 minutes is postulated as a time standard for a new Monetary Minute currency in this evaluation study. Consequently, the Monetary Minute MonMin is...
View ArticleFighting for Not-So-Religious Souls: The Role of Religious Competition in...
Many countries embroiled in non-religious civil conflicts have experienced a dramatic increase in religious competition in recent years. This study examines whether increasing competition between...
View ArticleResidual Switching Network for Portfolio Optimization. (arXiv:1910.07564v1...
This paper studies deep learning methodologies for portfolio optimization in the US equities market. We present a novel residual switching network that can automatically sense changes in market regimes...
View ArticleOptimal dividends with partial information and stopping of a degenerate...
Abstract We study the optimal dividend problem for a firmâs manager who has partial information on the profitability of the firm. The problem is formulated as one of singular stochastic control with...
View ArticleA Black–Scholes inequality: applications and generalisations
Abstract The space of call price curves has a natural noncommutative semigroup structure with an involution. A basic example is the BlackâScholes call price surface, from which an interesting...
View ArticleWhy Don't We Agree? Evidence from a Social Network of Investors
ABSTRACT We study sources of investor disagreement using sentiment of investors from a social media investing platform, combined with information on the users' investment approaches (e.g., technical,...
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Relaxation Methods
An introduction to relaxation algorithms for applications in physics.Continue reading on Cantorâs Paradise »
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