Interacting Default Intensity with Hidden Markov Process. (arXiv:1603.02902v1...
In this paper we consider a reduced-form intensity-based credit risk model with a hidden Markov state process. A filtering method is proposed for extracting the underlying state given the observation...
View ArticleSmall-time asymptotics for basket options -- the bi-variate SABR model and...
We compute a sharp small-time estimate for the price of a basket call under a bi-variate SABR model with both $\beta$ parameters equal to $1$ and three correlation parameters, which extends the work of...
View ArticleLibor at crossroads: stochastic switching detection using information theory...
This paper studies the 28 time series of Libor rates, classified in seven maturities and four currencies), during the last 14 years. The analysis was performed using a novel technique in financial...
View ArticleConvex duality in optimal investment and contingent claim valuation in...
This paper studies convex duality in optimal investment and contingent claim valuation in markets where traded assets may be subject to nonlinear trading costs and portfolio constraints. Under fairly...
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Make the Deal: Negotiating Mergers and Acquisitions
Make the Deal is a direct and accessible guide to striking a powerful M&A deal. Merging business, finance, and law, this insightful examination of M&A strategy is designed to help you...
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FTSE Russell Signs Collaboration Agreement With Trendrating
FTSE Russell, the global index provider, has today announced that it has signed a collaboration agreement with momentum investing specialist and analytics firm, Trendrating. The agreement will see...
View ArticleEuropean Central Bank Monetary Policy Decisions - Eurozone Interest Rate...
At today’s meeting the Governing Council of the ECB took the following monetary policy decisions:read more...
View ArticleNew Telephone Number For Finansinspektionen (FI) - Swedish Financial...
All +46 8 numbers to Finansinspektionen have been changed to +46 8 408 9 followed by the same extension (final four numbers) as before. The new switchboard number is +46 8 408 980 00. Mobile numbers...
View ArticleSimCorp France Strengthens Its Sales And Marketing Team
SimCorp, a leading provider of investment management solutions and services for the global financial services industry, today announced that it has strengthened its sales and marketing team in France...
View ArticleAlgomi Announces Tom Glocer As New Strategic Advisor And Appoints Howard...
Algomi, the network company providing information-matching solutions for the optimisation of fixed income liquidity, today names Tom Glocer, former CEO of Thomson Reuters, as a Strategic Advisor. The...
View ArticleNAB Asset Servicing Appoints Thomson Reuters In Australia As Preferred Market...
Thomson Reuters today announced its appointment by NAB Asset Servicing, the largest custodian in the Australian market, to be its new preferred data partner, delivering market data, exchange-traded...
View ArticleVertical Integration at Amazon
The Wall Street Journal reports today that Amazon will be moving aggressively to expand its in-house logistics capabilities. Here is the lead of the article:Amazon.com Inc. is taking to the air with a...
View ArticleMoscow Exchange Indices Monthly Review: February 2016
In February, Moscow Exchange"s Indices reflected the positive trend on the Russian stock market. The MICEX Index was up 3.10% to 1,840.17 (from 1,784.92 on 29 January), while the dollar-denominated RTS...
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