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ISDA, AFME, ICMA, SIFMA and SIFMA AMG Publish Global Benchmark Report
ISDA, the Association of Financial Markets in Europe (AFME), International Capital Market Association (ICMA) and the Securities Industry and Financial Markets Association (SIFMA) and its asset...
View ArticleIBOR Global Benchmark Transition Report
Interbank offered rates (IBORs) play a central role in financial markets, and act as reference rates to hundreds of trillions of dollars in notional amount of derivatives and trillions of dollars in...
View ArticleInterbank Offered Rate (IBOR) Fallbacks for 2006 ISDA Definitions
Consultation on Certain Aspects of Fallbacks for Derivatives Referencing GBP LIBOR, CHF LIBOR, JPY LIBOR, TIBOR, Euroyen TIBOR and BBSW ISDA is amending its standard documentation to implement...
View ArticleSecond ISDA IBOR Fallbacks Webinar
ISDA IBOR Fallbacks:Â Consultation on Certain Aspects of Fallbacks for Derivatives Frequently Asked Questions Explained In July, ISDA launched a market-wide consultation on technical issues related to...
View ArticleMoneyScience: Beyond LIBOR: A Primer on the New Benchmark Rates
Resource: Beyond LIBOR: A Primer on the New Benchmark Rates https://t.co/Ueq5AfPlx3 â moneyscience (@moneyscience) January 20, 2020
View ArticleMoneyScience: Burying LIBOR
Resource: Burying LIBOR https://t.co/CliSHFEBbg â moneyscience (@moneyscience) January 20, 2020
View ArticleThe End of the Bonus Culture Is Coming to Wall Street
Wall Street Pay: The End of Traders' Bonus Culture Is Coming Soon - Bloomberg https://t.co/s8YOOECYPd â Jeremy M. Kissel (@JeremyKissel) January 21, 2020
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The Great Purge of 1933
How Antisemitism Destroyed Mathematics in GermanyContinue reading on Cantorâs Paradise »
View ArticleSEC Files Charges Against Scheme to Sell Fictitious Interests in Marijuana...
The Securities and Exchange Commission today announced charges against Guy S. Griffithe and Robert W. Russell, and three companies they controlled, for an alleged scheme that defrauded investors who...
View ArticleHope May Not Be a Strategy…But Neither is a 60/40
By Guest Contributor Aaron Filbeck, CFA, CAIA, CIPM, Associate Director, Content Development The death of the 60/40 may be a welcome change for multi-asset investors who understand that exposure to...
View ArticleMoneyScience: Quant Jobs
Quant Jobs in the UK - https://t.co/ZdCCF2rDSr #quant #jobsearch â moneyscience (@moneyscience) January 21, 2020
View ArticleIs the presidential premium spurious?
Publication date: Available online 20 January 2020Source: Journal of Empirical FinanceAuthor(s): Oumar Sy, Ashraf Al ZamanAbstractA hotly debated question in finance is whether the higher stock returns...
View ArticleA Dynamic Bayesian Model for Interpretable Decompositions of Market...
We propose a heterogeneous simultaneous graphical dynamic linear model (H-SGDLM), which extends the standard SGDLM framework to incorporate a heterogeneous autoregressive realised volatility (HAR-RV)...
View ArticleTerm Structure Modeling under Volatility Uncertainty. (arXiv:1904.02930v2...
We study a forward rate model in the presence of volatility uncertainty. The forward rate is modeled as a diffusion process in the spirit of Heath, Jarrow, and Morton (1992). The uncertainty about the...
View ArticleKernel-based collocation methods for Heath-Jarrow-Morton models with Musiela...
We propose kernel-based collocation methods for numerical solutions to Heath-Jarrow-Morton models with Musiela parametrization. The methods can be seen as the Euler-Maruyama approximation of some...
View ArticleHigh-Frequency Jump Tests: Which Test Should We Use?. (arXiv:1708.09520v3...
We conduct an extensive evaluation of price jump tests based on high-frequency financial data. After providing a concise review of multiple alternative tests, we document the size and power of all...
View ArticleSwap Portfolios and Reverse-Weighted Portfolios, with an Application to...
A market portfolio is a portfolio in which each asset is held at a weight proportional to its market value. A swap portfolio is a portfolio in which each one of a pair of assets is held at a weight...
View ArticleMarkov risk mappings and risk-averse optimal stopping under ambiguity....
We aim to analyse a Markovian discrete-time optimal stopping problem for a risk-averse decision maker under model ambiguity. In contrast to the analytic approach based on transition risk mappings, a...
View ArticleA tail dependence-based MST and their topological indicators in modelling...
In the present work we analyze the dynamics of indirect connections between insurance companies that result from market price channels. In our analysis we assume that the stock quotations of insurance...
View ArticleWho voted for a No Deal Brexit? A Composition Model of Great Britains 2019...
The purpose of this paper is to use the votes cast at the 2019 European elections held in United Kingdom to re-visit the analysis conducted subsequent to its 2016 European Union referendum vote. This...
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