An Announcement Of The Issuance Of The Board Of The Saudi Arabia Capital...
As part of the Capital Market Authority's efforts to develop the capital market in the kingdom of Saudi Arabia, and regulate and monitor the work and activities of entities subject to its supervision...
View ArticleS&P Global Index Dashboard: Europe
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View ArticleStock Markets Steering Committee Of Hellenic Exchanges Athens Stock Exchanges
The Stock Markets Steering Committee of Hellenic Exchanges - Athens Stock Exchange, during today's session, approved,read more...
View ArticleAmundi Launches New ETF Benchmarked To FTSE China A50 Index
FTSE Russell, the global index and data provider, announces it has licenced its FTSE China A50 index to Amundi, who launched today its new Amundi FTSE China A50 Index ETF on Hong Kong Stock...
View ArticleMIAX Options Exchange - MIAX Options - Daylight Saving Time - November 6, 2016
Please be advised the MIAX Options Exchange is scheduled to end Daylight Saving Time 2016 at 2:00 a.m. on Sunday, November 6, 2016. Â The MIAX will adjust the system time back 1 hour for trading...
View ArticleU.S. Treasury: Report On U.S. Portfolio Holdings Of Foreign Securities
The findings from the annual survey of U.S. portfolio holdings of foreign securities at year-end 2015 were released today and posted on the Treasury web site at...
View ArticleAlberta Securities Commission Adopts Crowdfunding Rule Enabling...
The Alberta Securities Commission (ASC) announced today that it has adopted Multilateral Instrument 45-108 Crowdfunding (MI 45-108). The new rule is available immediately and introduces a crowdfunding...
View ArticleA Vision For Data At The SEC - Commissioner Kara M. Stein - Keynote Address...
Thank you, Michael [Barr], for that kind introduction.  Thank you also to the University of Michigan and the Office of Financial Research for organizing this important conference. I am pleased to be...
View ArticleMIAX Options Exchange: MIAX Options - Updated November 1, 2016 Fee Changes
Effective November 1, 2016, pending SEC approval, the MIAX Options Fee Schedule will be amended.  In addition to what was announced in the MIAX Fee Alert October 27, 2016, MIAX will remove Alcoa Inc....
View ArticleOptimal retirement income tontines. (arXiv:1610.10078v1 [q-fin.MF])
Tontines were once a popular type of mortality-linked investment pool. They promised enormous rewards to the last survivors at the expense of those died early. And, while this design appealed to the...
View ArticleMeta-CTA Trading Strategies based on the Kelly Criterion. (arXiv:1610.10029v1...
The influence of Commodity Trading Advisors (CTA) on the price process is explored with the help of a simple model. CTA managers are taken to be Kelly optimisers, which invest a fixed proportion of...
View ArticleMean Field Game of Controls and An Application To Trade Crowding....
In this paper we formulate the now classical problem of optimal liquidation (or optimal trading) inside a Mean Field Game (MFG). This is a noticeable change since usually mathematical frameworks focus...
View ArticleLoading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type...
Catastrophe risk is a major threat faced by individuals, companies, and entire economies. Catastrophe (CAT) bonds have emerged as a method to offset this risk and a corresponding literature has...
View ArticleLong-range Correlation and Market Segmentation in Bond Market....
This paper looks into the analysis of the long-range auto-correlations and cross-correlations in bond market. Based on Detrended Moving Average (DMA) method, empirical results present a clear evidence...
View ArticleModel-free bounds on Value-at-Risk using partial dependence information....
We derive bounds on the distribution function, therefore also on the Value-at-Risk, of $\varphi(\mathbf X)$ where $\varphi$ is an aggregation function and $\mathbf X = (X_1,...,X_d)$ is a random vector...
View ArticlePricing variance swaps with stochastic volatility and stochastic interest...
This paper considers the pricing of discretely-sampled variance swaps under the class of equity-interest rate hybridization. Our modeling framework consists of the equity which follows the dynamics of...
View ArticleNumerical study of splitting methods for American option valuation....
This paper deals with the numerical approximation of American-style option values governed by partial differential complementarity problems. For a variety of one- and two-asset American options we...
View ArticleManaging Systemic Risk in Financial Networks. (arXiv:1610.09542v1 [q-fin.RM])
To quantify and manage systemic risk in the interbank market, we propose a weighted, directed random network model. The vertices in the network are financial institutions and the weighted edges...
View ArticleMultifractal cross wavelet analysis. (arXiv:1610.09519v1 [q-fin.ST])
Complex systems are composed of mutually interacting components and the output values of these components are usually long-range cross-correlated. We propose a method to characterize the joint...
View ArticleUnderstanding the Tracking Errors of Commodity Leveraged ETFs....
Commodity exchange-traded funds (ETFs) are a significant part of the rapidly growing ETF market. They have become popular in recent years as they provide investors access to a great variety of...
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