Valuing Tradeability in Exponential L'evy Models. (arXiv:1912.00469v1...
The present article provides a novel theoretical way to evaluate tradeability in markets of ordinary exponential L'evy type. We consider non-tradeability as a particular type of market illiquidity and...
View ArticleOn Extensions of the Barone-Adesi & Whaley Method to Price American-Type...
The present article provides an efficient and accurate hybrid method to price American standard options in certain jump-diffusion models as well as American barrier-type options under the Black &...
View ArticleEndogenous Liquidity Crises. (arXiv:1912.00359v1 [q-fin.TR])
Empirical data reveals that the liquidity flow into the order book (depositions, cancellations andmarket orders) is influenced by past price changes. In particular, we show that liquidity tends...
View ArticleOptimal forest rotation under carbon pricing and forest damage risk....
Forests will have two notable economic roles in the future: providing renewable raw material and storing carbon to mitigate climate change. The pricing of forest carbon leads to longer rotation times...
View ArticleA Machine Learning Approach to Adaptive Robust Utility Maximization and...
We investigate the adaptive robust control framework for portfolio optimization and loss-based hedging under drift and volatility uncertainty. Adaptive robust problems offer many advantages but require...
View ArticleHeuristic Strategies in Uncertain Approval Voting Environments....
In many collective decision making situations, agents vote to choose an alternative that best represents the preferences of the group. Agents may manipulate the vote to achieve a better outcome by...
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Do tweets from CEOs matter to investors?
Social media provides todayâs CEOs a quicker and more direct way to communicate with investors. The Securities and Exchange Commission cleared public companies to use social media to disclose...
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Brexit will leave the UK worse off economically in all scenarios
Since the UK voted to leave the European Union in June 2016, Brexit has dominated UK politics and economic policy. Three and a half years after the referendum, the UK is yet to leave the EU, there is...
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1931: Debt, Crisis, and the Rise of Hitler – Book Review
1931: Debt, Crisis, and the Rise of Hitler. Tobias Straumann. Oxford: Oxford University Press, 2019. Find this book:Â 1931 was an inflection point in history, a year in which so much of such...
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How to change the paradigm in finance to incorporate a changing environment
Climate change poses existential threats to global prosperity, but political and economic systems are unprepared for responding to that risk. Governance, incentives and thinking are still misaligned....
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To meet its ambitious ‘net zero’ target, the UK will need to ramp...
UK greenhouse gas emissions are declining and have been declining for some time. The UK has a framework of long-run targets developed by the Committee on Climate Change, an independent body of experts...
View ArticleMoneyScience: Book: Financial Instrument Pricing Using C++ - Daniel Duffy
Resource: Book: Financial Instrument Pricing Using C++ - Daniel Duffy https://t.co/i7sFfwwFpK â moneyscience (@moneyscience) December 3, 2019
View ArticleMoneyScience: Selena Gomez & Richard Thaler explain Synthetic CDOs
Resource: Selena Gomez & Richard Thaler explain Synthetic CDOs https://t.co/yYsueiUHnK â moneyscience (@moneyscience) December 3, 2019
View ArticleMoneyScience: Online Training - Clojure: The Complete Beginner's Guide
Resource: Online Training - Clojure: The Complete Beginner's Guide https://t.co/oy3E8qkjjl â moneyscience (@moneyscience) December 3, 2019
View ArticleMoneyScience: How To Perform Sentiment Analysis in Python 3 Using the Natural...
Resource: How To Perform Sentiment Analysis in Python 3 Using the Natural Language Toolkit (NLTK) https://t.co/3An5DVLmXh â moneyscience (@moneyscience)â¦
View ArticleStatistical mechanics and time-series analysis by L'evy-parameters with the...
We develop a method that relates the truncated cumulant-function of the fourth order with the L'evian cumulant-function. This gives us explicit formulas for the L'evy-parameters, which allow a...
View ArticleVariance Reduction Applied to Machine Learning for Pricing Bermudan/American...
In this paper we propose an efficient method to compute the price of multi-asset American options, based on Machine Learning, Monte Carlo simulations and variance reduction technique. Specifically, the...
View ArticleA unified Framework for Robust Modelling of Financial Markets in discrete...
We unify and establish equivalence between the pathwise and the quasi-sure approaches to robust modelling of financial markets in discrete time. In particular, we prove a Fundamental Theorem of Asset...
View ArticleQuantization goes Polynomial. (arXiv:1710.11435v3 [q-fin.PR] UPDATED)
Quantization algorithms have been successfully adopted to option pricing in finance thanks to the high convergence rate of the numerical approximation. In particular, very recently, recursive marginal...
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