A Spatial Interpolation Framework for Efficient Valuation of Large Portfolios...
Variable Annuity (VA) products expose insurance companies to considerable risk because of the guarantees they provide to buyers of these products. Managing and hedging these risks requires insurers to...
View ArticleOptimal Trading with a Trailing Stop. (arXiv:1701.03960v1 [q-fin.MF])
Trailing stop is a popular stop-loss trading strategy by which the investor will sell the asset once its price experiences a pre-specified percentage drawdown. In this paper, we study the problem of...
View ArticleA Black--Scholes inequality: applications and generalisation....
The space of call price functions has a natural noncommutative semigroup structure with an involution. A basic example is the Black--Scholes call price surface, from which an interesting inequality for...
View ArticleMarket volatility, monetary policy and the term premium
Based on empirical VAR models, we investigate the role of (option-implied) stock and bond market volatilities and monetary policy in the determination of the US 10-year term premium. Our preliminary...
View ArticleITG to Announce Fourth Quarter 2016 Results
NEW YORK, Jan. 17, 2017 (GLOBE NEWSWIRE) -- ITG (NYSE:ITG), a leading independent broker and financial technology provider, plans to announce fourth quarter 2016 financial results on Thursday, February...
View ArticleDon't Try to Imagine the Future! Ask Others Before You Decide
You have to make a decision. Suppose you are trying to decide on whether London or Dublin is a better place to visit with small children. You read the travel guides and try to imagine what it will be...
View ArticleCorporate Security Prices in Structural Credit Risk Models with Incomplete...
The paper studies derivative asset analysis in structural credit risk models where the asset value of the firm is not fully observable. It is shown that in order to compute the price dynamics of traded...
View ArticleAn application of time reversal to credit risk management....
This paper develops a risk management framework for companies, based on the leverage process (a ratio of company asset value over its debt) by analyzing the characteristics of general linear diffusions...
View ArticleA geometric approach to the transfer problem for a finite number of traders....
We present a complete characterization of the classical transfer problem for an exchange economy with an arbitrary finite number of traders. Our method is geometric, using an equilibrium manifold...
View ArticleInterpolating between matching and hedonic pricing models....
We consider the theoretical properties of a model which encompasses bi-partite matching under transferable utility on the one hand, and hedonic pricing on the other. This framework is intimately...
View ArticleLeading An Accounting Firm: The Pyramid of Success
The secret ingredient to any successful firm is great leadership. Fortunately, this new book demonstrates that great leadership skills can be nurtured and learned.read more...
View ArticleBecoming a Contract Controller: Tips for a Thriving Career
Opportunities for part-time or contract controllers and financial executives have grown exponentially in recent years. If you’ve ever considered following this fast-growing trend and striking out on...
View ArticleJ.K. Lasser's Your Income Tax Professional Edition 2017
J.K. Lasser's Your Income Tax: Professional Edition, 2017 offers individual taxpayers and tax professionals the latest, most up to date tax information. Completely annotated, this authoritative text...
View ArticleHedge Fund Compliance: Risks, Regulation, and Management
Hedge Fund Compliance + Website provides straightforward, practical guidance toward developing a hedge fund compliance program, drawn from the author's experience training financial regulators,...
View ArticleWords of Wisdom from Women to Watch: Career Reflections from Leaders in the...
Women to Watch presents the advice, guidance, and lessons learned from the most successful women in risk management and insurance. For the past 10 years, Business Insurance has highlighted key women in...
View ArticleClik here to view.
Clik here to view.
Audit Risk Alert: Understanding the Responsibilities of Auditors for Audits...
This Audit Risk Alert is intended to help auditors understand and implement the requirements of the new AU-C section 600, Statement on Auditing Standards -Special Considerations - Audits of Group...
View ArticlePayment, clearing and settlement systems in the Kingdom of Bahrain
Payment, clearing and settlement systems in the Kingdom of Bahrain published by the Committee on Payments and Market Infrastructures (CPMI), January 2017.
View ArticlePublic Finance in a Nutshell: A Cobb Douglas Teaching Tool for General...
To help first- or second-year graduate students in economics apply their theoretical training, this paper shows how to solve a simple and intuitive computable general equilibrium (CGE) model using a...
View Article