International committees complete the April 2015 workplan on central...
5 July 2017read more...
View ArticleDynamic Quantile Function Models. (arXiv:1707.02587v1 [stat.ME])
We offer a novel way of thinking about the modelling of the time-varying distributions of financial asset returns. Borrowing ideas from symbolic data analysis, we consider data representations beyond...
View ArticleConsistency of extended Nelson-Siegel curve families with the Ho-Lee and Hull...
Nelson and Siegel curves are widely used to fit the observed term structure of interest rates in a particular date. By the other hand, several interest rate models have been developed such their...
View ArticleThe LIVING Supply Chain: The Evolving Imperative of Operating in Real Time
Creates a managerial compass for entering into the LIVING (Live, Intelligent, Velocity, Interactive, Networked, and Good) era of supply chain management and defines the imperative for creating Velocity...
View ArticleViability and Arbitrage under Knightian Uncertainty. (arXiv:1707.03335v1...
We reconsider the microeconomic foundations of financial economics under Knightian Uncertainty. In a general framework, we discuss the absence of arbitrage, its relation to economic viability, and the...
View ArticleThe discontinuation of the EUR/CHF minimum exchange rate in January 2015: was...
We derive risk-neutral probability densities for future euro/Swiss franc exchange rates as implied by option prices. We find that the credibility of the Swiss franc floor somewhat decreased as the spot...
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Perceived Versus Real Risk Tolerance
Picture Credit: Denise Krebs || What RFK said is not applicable to investing. Â Safety First! Â Don’t lose money!read more...
View ArticleIt’s not you – solving a Rubik’s cube quickly is officially...
The question of whether a scrambled Rubikâs cube of any size can be solved in a given number of moves is NP-complete https://t.co/G2MMphhhZ4 â moneyscienceâ¦
View ArticleBiased Algorithms Are Everywhere, and No One Seems to Care
"Biased Algorithms Are Everywhere, and No One Seems to Care" https://t.co/AccY2Mb9xx â JC Kommer (@Alea_) July 12, 2017
View ArticleGrooming Future Leaders
Retired Brigadier General Bernard Banks, now teaching at Kellogg, offers some interesting insights on developing future leaders. Banks explains that companies need to begin grooming future leaders...
View ArticleModeling the price of Bitcoin with fractional Brownian motion: a Monte Carlo...
The long-term dependence of Bitcoin (BTC), manifesting itself through a Hurst exponent $H>0.5$, is exploited in order to predict future BTC/USD price. A Monte Carlo simulation with $10^5$ fractional...
View ArticleBayesian Realized-GARCH Models for Financial Tail Risk Forecasting...
The realized GARCH framework is extended to incorporate the two-sided Weibull distribution, for the purpose of volatility and tail risk forecasting in a financial time series. Further, the realized...
View ArticleA Model of Interbank Flows, Borrowing, and Investing. (arXiv:1707.03542v1...
We consider a model when private banks with interbank cash flows as in (Carmona, Fouque, Sun, 2013) borrow from the outside economy at a certain interest rate, controlled by the central bank, and...
View ArticlePortfolio Risk Assessment using Copula Models. (arXiv:1707.03516v1 [q-fin.RM])
In the paper, we use and investigate copulas models to represent multivariate dependence in financial time series. We propose the algorithm of risk measure computation using copula models. Using the...
View ArticleBanking risk as an epidemiological model: an optimal control approach....
The process of contagiousness spread modelling is well-known in epidemiology. However, the application of spread modelling to banking market is quite recent. In this work, we present a system of...
View ArticleMean Reversion Trading with Sequential Deadlines andTransaction Costs....
We study the optimal timing strategies for trading a mean-reverting price process with afinite deadline to enter and a separate finite deadline to exit the market. The price process is modeled by a...
View ArticleThe partial damage loss cover ratemaking of the automobile insurance using...
It is illustrated a methodology to compute the pure premium for the automobile insurance (claim frequency and severity) using generalized linear models. It is obtained the pure premium for the partial...
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