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## Channel Catalog

(showing articles 1 to 20 of 20)
(showing articles 1 to 20 of 20)

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Would ordinary Americans be affected by a rate rise?

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What is the World Trade Organization?

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Dutch start-up Fairphone explains its vision of an 'ethical' mobile phone.

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As the US Federal Reserve decides what do about interest rates, BBC News looks at how life has changed since the last rise.

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We have applied the Long Short-Term Memory neural network to model S&P 500 volatilities incorporating Google domestic trends as indicators of the public mood and macroeconomic factors. In the 30% testing data, our Long Short-Term Memory model gives a mean absolute percentage error of 24.2%, outperforming linear Ridge/Lasso and autoregressive Garch benchmarks by at least 31%. This evaluation is done on the optimal observation and normalization scheme which maximizes the mutual information. Our preliminary investigation shows strong potential to better understand stock behaviors using deep learning neural network structures. read more...

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The Multi Variate Mixture Dynamics model is a tractable, dynamical, arbitrage-free multivariate model characterized by transparency on the dependence structure, since closed form formulae for terminal correlations, average correlations and copula function are available. It also allows for complete decorrelation between assets and instantaneous variances. Each single asset is modelled according to a lognormal mixture dynamics model, and this univariate version is widely used in the industry due to its flexibility and accuracy. The same property holds for the multivariate process of all assets, whose density is a mixture of multivariate basic densities. This allows for consistency of single asset and index/portfolio smile. In this paper, we generalize the MVMD model by introducing shifted dynamics and we propose a definition of implied correlation under this model. We investigate whether the model is able to consistently reproduce the implied volatility of FX cross rates, once the single components are calibrated to univariate shifted lognormal mixture dynamics models. We compare the performance of the shifted MVMD model in terms of implied correlation with those of the shifted Simply Correlated Mixture Dynamics model where the dynamics of the single assets are connected naively by introducing correlation among their Brownian motions. Finally, we introduce a model with uncertain volatilities and correlation. The Markovian projection of this model is a generalization of the shifted MVMD model. read more...

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In this paper, we study the Edgeworth expansion for a pre-averaging estimator of quadratic variation in the framework of continuous diffusion models observed with noise. More specifically, we obtain a second order expansion for the joint density of the estimators of quadratic variation and its asymptotic variance. Our approach is based on martingale embedding, Malliavin calculus and stable central limit theorems for continuous diffusions. Moreover, we derive the density expansion for the studentized statistic, which might be applied to construct asymptotic confidence regions. read more...

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The paper studies the Heath-Jarrow-Morton-Musiela equation of the bond market. The equation is analyzed in weighted spaces of functions defined on $[0,+\infty)$. Sufficient conditions for local and global existence are obtained . For equation with the linear diffusion term the conditions for global existence are close to the necessary ones. read more...

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In this paper we study a continuous-time stochastic linear quadratic control problem arising from mathematical finance. We model the asset dynamics with random market coefficients and portfolio strategies with convex constraints. Following the convex duality approach, we show that the necessary and sufficient optimality conditions for both the primal and dual problems can be written in terms of processes satisfying a system of FBSDEs together with other conditions. We characterise explicitly the optimal wealth and portfolio processes as functions of adjoint processes from the dual FBSDEs in a dynamic fashion and vice versa. We apply the results to solve quadratic risk minimization problems with cone-constraints and derive the explicit representations of solutions to the extended stochastic Riccati equations for such problems. read more...

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The companies that own Domino's Pizza in the UK and Australia have set up a joint venture to buy Germany's biggest pizza chain.

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Rolls-Royce will revamp its management structure and recruit a chief operating officer as Warren East strives to revive the ailing company.

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A think tank is calling for fundamental change to the system of tax and benefits in the UK.

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Shares in Asia are in positive territory on Wednesday, following Wall Street higher ahead of the US Federal Reserve's interest rate decision.

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The Department of Justice announced today that Crédit Agricole (Suisse) SA (CAS), Dreyfus Sons & Co Ltd, Banquiers (Dreyfus), and Baumann & Cie, Banquiers (Baumann), reached resolutions under the department’s Swiss Bank Program.  These banks collectively will pay penalties of more than \$130 million.read more...

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The Working Group on Payments and Transaction Banking of the Financial System Council will hold its seventh meeting on December 17, 2015 as follows.read more...

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Indonesia's forest fires and haze pollution have cost the country "more than twice" the amount spent on reconstruction efforts after the 2004 Aceh tsunami.

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The Korea Exchange (KRX) has entered an MOU* with the Taiwan Stock Exchange (TWSE) for a comprehensive cooperation in the ETF markets on December 11, 2015. * This MOU is the second one between the KRX and the TWSE since 2000. In the MOU agreement ceremony, Mr. Tseng Ming-chung, Chairman of Taiwan Financial Supervisory Commission, has attended and delivered the congratulatory speech. For more details, please refer to the attached file.  File  20151215 KRX and TWSE signed an MOU for cooperation(revised).pdf

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Has the world changed its tune since the last US rate rise?

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