Extreme portfolio loss correlations in credit risk. (arXiv:1706.09809v1...
The stability of the financial system is associated with systemic risk factors such as the concurrent default of numerous small obligors. Hence it is of utmost importance to study the mutual dependence...
View ArticleDynamical selection of Nash equilibria using Experience Weighted Attraction...
We study the distribution of strategies in a large game that models how agents choose among different double auction markets. We classify the possible mean field Nash equilibria, which include...
View ArticleParameter estimation for stable distributions with application to commodity...
This paper explores the theory behind the rich and robust family of {\alpha}-stable distributions to estimate parameters from financial asset log-returns data. We discuss four-parameter estimation...
View ArticleHilbert transform, spectral filtering and option pricing. (arXiv:1706.09755v1...
We show how spectral filtering techniques can improve the convergence of numerical schemes which use discrete Hilbert transforms based on a sinc function expansion, and thus ultimately on the fast...
View ArticleAsymptotics for the Discrete-Time Average of the Geometric Brownian Motion...
The time average of geometric Brownian motion plays a crucial role in the pricing of Asian options in mathematical finance. In this paper we consider the asymptotics of the discrete-time average of a...
View ArticleLeadership is Everyone's Business, Participant Workbook, 2e
Backed by over 20 years of original research, The Leadership Challenge® Workshop is a unique and intense discovery process created by best-selling authors Jim Kouzes and Barry Posner. The Workshop...
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2017 Valuation Handbook - U.S. Guide to Cost of Capital + Quarterly PDF...
The New Industry Standard in Business Valuation Reference Materials – with Quarterly PDF Updates2017 Valuation Handbook – U.S. Guide to Cost of Capital provides the key annual valuation data...
View ArticleComputational aspects of robust optimized certainty equivalents....
Accounting for model uncertainty in risk management leads to infinite dimensional optimization problems which are both analytically and numerically untractable. In this article we study when this fact...
View ArticleRegret-based Selection for Sparse Dynamic Portfolios. (arXiv:1706.10180v1...
This paper considers portfolio construction in a dynamic setting. We specify a loss function comprised of utility and complexity components with an unknown tradeoff parameter. We develop a novel...
View ArticleOscillations in the Tsallis income distribution. (arXiv:1706.10141v1...
Oscillations in the cumulative individual income distribution have been found in the data of various countries studied by different authors at different time periods, but the dynamical origins of this...
View ArticleTop Stocks 2008: A Sharebuyer's Guide to Leading Australian Companies
Top Stocks 2008 is written for every investor who has ever thought, \'There are 1700 companies on the Australian Stock Exchange -- where do I start?\'Popular finance author Martin Roth runs the top...
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The Superannuation Handbook 2008-09
Each year The Superannuation Handbook is fully revised and updated to reflect the many changes to superannuation rules, the ways you can save for retirement and the best way to eventually access...
View ArticleCapital treatment for simple, transparent and comparable short-term...
Press release about the Basel Committee proposing capital treatment for simple, transparent and comparable short-term securitisations (6 July 2017).
View ArticleCriteria for identifying simple, transparent and comparable short-term...
Press release about the Basel Committee and IOSCO proposing criteria for identifying simple, transparent and comparable short-term securitisations (6 July 2017).
View ArticleCapital treatment for simple, transparent and comparable short-term...
The Basel Committee is publishing the "Capital treatment for simple, transparent and comparable short-term securitisations - consultative document", July 2017.
View ArticleCriteria for identifying simple, transparent and comparable short-term...
The Basel Committee and the International Organization of Securities Commissions are publishing the "Criteria for identifying simple, transparent and comparable short-term securitisations -...
View ArticleInternational committees complete the April 2015 workplan on central...
5 July 2017read more...
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LME and the World Gold Council confirm LMEprecious launch on 10 July
The London Metal Exchange (LME) and the World Gold Council have today confirmed that LMEprecious will launch on 10 July 2017, as planned.
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