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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...
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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 ArticleMoneyScience: Beyond LIBOR: A Primer on the New Benchmark Rates
Resource: Beyond LIBOR: A Primer on the New Benchmark Rates https://t.co/Ueq5AfPlx3 â moneyscience (@moneyscience) January 20, 2020
View ArticleMoneyScience: Burying LIBOR
Resource: Burying LIBOR https://t.co/CliSHFEBbg â moneyscience (@moneyscience) January 20, 2020
View ArticleThe End of the Bonus Culture Is Coming to Wall Street
Wall Street Pay: The End of Traders' Bonus Culture Is Coming Soon - Bloomberg https://t.co/s8YOOECYPd â Jeremy M. Kissel (@JeremyKissel) January 21, 2020
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The Great Purge of 1933
How Antisemitism Destroyed Mathematics in GermanyContinue reading on Cantorâs Paradise »
View ArticleSEC Files Charges Against Scheme to Sell Fictitious Interests in Marijuana...
The Securities and Exchange Commission today announced charges against Guy S. Griffithe and Robert W. Russell, and three companies they controlled, for an alleged scheme that defrauded investors who...
View ArticleHope May Not Be a Strategy…But Neither is a 60/40
By Guest Contributor Aaron Filbeck, CFA, CAIA, CIPM, Associate Director, Content Development The death of the 60/40 may be a welcome change for multi-asset investors who understand that exposure to...
View ArticleMoneyScience: Quant Jobs
Quant Jobs in the UK - https://t.co/ZdCCF2rDSr #quant #jobsearch â moneyscience (@moneyscience) January 21, 2020
View ArticleIs the presidential premium spurious?
Publication date: Available online 20 January 2020Source: Journal of Empirical FinanceAuthor(s): Oumar Sy, Ashraf Al ZamanAbstractA hotly debated question in finance is whether the higher stock returns...
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...
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