A Finite Volume - Alternating Direction Implicit Approach for the Calibration...
Calibration of stochastic local volatility (SLV) models to their underlying local volatility model is often performed by numerically solving a two-dimensional non-linear forward Kolmogorov equation. We...
View ArticleUnexpected Default in an Information Based Model. (arXiv:1611.02952v1 [math.PR])
This paper provides sufficient conditions for the time of bankruptcy (of a company or a state) for being a totally inaccessible stopping time and provides the explicit computation of its compensator in...
View ArticleDisentangling wrong-way risk: pricing CVA via change of measures and drift...
A key driver of Credit Value Adjustment (CVA) is the possible dependency between exposure and counterparty credit risk, known as Wrong-Way Risk (WWR). At this time, addressing WWR in a both sound and...
View ArticleThe missing assets and the size of Shadow Banking: an update....
In a recent paper, using data from Forbes Global 2000, we have observed that the upper tail of the firm size distribution (by assets) falls off much faster than a Pareto distribution. The missing mass...
View ArticleCME Group Declares Dividend
CME Group Inc., the world's leading and most diverse derivatives marketplace, today declared a fourth-quarter dividend of $0.60 per share, payable December 28, 2016, to shareholders of record as of...
View ArticleCFTC Submits Proposed Consent Order To Federal Court in Chicago That Would...
The U.S. Commodity Futures Trading Commission (CFTC) today announced that it submitted a proposed Consent Order that would resolve its civil enforcement action in the U.S. District Court for the...
View ArticleTokyo Commodity Exchange: Trading Session Resumed For All Markets
Trading session for all markets resumed at 10:45 JST after temporary suspension today.read more...
View ArticleUS Justice Department: Futures Trader Pleads Guilty To Illegally Manipulating...
A British futures trader pleaded guilty today to U.S. fraud and spoofing charges in connection with an over five-year scheme to defraud, which included his role in the May 6, 2010, “Flash Crash,” when...
View ArticleIt’s Déjà Vu All Over Again As Markets Take In Trump...
The Mondo Visione Exchange Forum kicks off today against a background of exchange mergers, increased electronification of markets, uncertainty in Europe as to what Brexit means and a new world order in...
View ArticleNew OMX Copenhagen Benchmark Portfolio Selected - New Portfolio Of The OMX...
Nasdaq (Nasdaq:NDAQ) announced today the results of the semi-annual review of the OMX Copenhagen Benchmark Index, (Nasdaq Copenhagen: OMXCB), which will become effective with the market open on...
View ArticleNew OMX Stockholm Benchmark Portfolio Selected - New Portfolio Of The OMX...
Nasdaq (Nasdaq:NDAQ) announced today the results of the semi-annual review of the OMX Stockholm Benchmark Index, (Nasdaq Stockholm: OMXSB), which will become effective with the market open on Thursday,...
View ArticleNew OMX Helsinki Benchmark Portfolio Selected - New Portfolio Of The OMX...
Nasdaq (Nasdaq:NDAQ) announced today the results of the semi-annual review of the OMX Helsinki Benchmark Index (Nasdaq Helsinki: OMXHB), which will become effective with the market open on Thursday,...
View ArticleSETL Appoints Martin Clements To Its Board - Cyber Security Expert To Join...
SETL, the London based financial blockchain specialist, has appointed national security expert Martin Clements CMG OBE to its board. read more...
View ArticleCiti And Deutsche Bank Join Neptune
Neptune, the open-standard network for bond pre-trade real-time AXE indications, today announced the addition of Citi and Deutsche Bank to its network. read more...
View ArticleTokyo Commodity Exchange: Good Delivery Material Price Differential For...
The price differential of the Good Delivery material for the November 2016 contract month in the Rubber market has be determined as follows,read more...
View ArticleFIA: October 2016 SEF Tracker Now Available Online
Total trading volume on SEFs averaged $419.0 billion per day during the month of October, with a decrease of 13.6% from the previous month and 1.9% from October 2015. Please click the links below to...
View ArticleTehran Stock Exchange Lists A New ETF
TSE lists a new fixed-income ETF (Kian).read more...
View ArticleEBA Consults On Guidelines For The Application Of The IRB Approach
The European Banking Authority (EBA) launched today a consultation on its draft Guidelines on the estimation of risk parameters for non-defaulted exposures, namely of the probability of default (PD)...
View ArticleEGX Is Hosting 25 Heads Of European And Asian Stock Markets In Sharm El Sheikh
The Egyptian Exchange (EGX) is hosting the annual conference of the Federation of Euro-Asian Stock Exchanges (FEAS) in Sharm El-Sheikh in presence of more than 25 heads of European, Asian and Arab...
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