Systemic Risk and Interbank Lending. (arXiv:1611.06672v1 [q-fin.MF])
We propose a simple model of inter-bank lending and borrowing incorporating a game feature where the evolution of monetary reserve is described by a system of coupled Feller diffusions. The...
View ArticleQuantifying immediate price impact of trades based on the $k$-shell...
Traders in a stock market exchange stock shares and form a stock trading network. Trades at different positions of the stock trading network may contain different information. We construct stock...
View ArticleModel reduction for calibration of American options. (arXiv:1611.06452v1...
American put options are among the most frequently traded single stock options, and their calibration is computationally challenging since no closed-form expression is available. Due to the higher...
View ArticleInterplay between endogenous and exogenous fluctuations in financial markets....
We address microscopic, agent based, and macroscopic, stochastic, modeling of the financial markets combining it with the exogenous noise. The interplay between the endogenous dynamics of agents and...
View ArticleRegression-based complexity reduction of the dual nested Monte Carlo methods....
In this paper we propose a novel dual regression-based approach for pricing American options. This approach reduces the complexity of the nested Monte Carlo method and has especially simple form for...
View ArticleShenzhen Stock Exchange Market Bulletin 21 November, 2016, Issue 39
SZSE promulgated the Guidelines on Information Disclosure of three industries: seed and planting, construction machinery, and decoration industry. Taking industrial characteristics, investor demand and...
View ArticleShanghai Stock Exchange: First AdjustmentTto SSE 50 ETF Option For Dividend...
On November 11, 2016, Huaxia Fund Management Co., Ltd. issued the “Announcement on Dividend Distribution of SSE 50 ETF”, stating that the SSE 50 ETF (ticker symbol: 50 ETF; code: 510050) would...
View ArticleASIC: Relief For Foreign Financial Service Providers From Luxembourg
ASIC has extended its relief for foreign financial service providers (FFSPs) from the requirement to hold an Australian financial services (AFS) licence when providing financial services to Australian...
View ArticleShanghai Stock Exchange Improves Review Remedy System To Protect Legitimate...
Approved by the China Securities Regulatory Commission (CSRC), the Shanghai Stock Exchange (SSE) has recently issued the “SSE Measures for Implementation of Review” (the Measures for short), further...
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“Do Half” Applied
Photo Credit: Attila Malarik || In many but not all situations, doing half is a smart idea!read more...
View ArticleAxioma Rolls Out Enhanced US Equity Risk Models
Axioma, a provider of innovative risk and portfolio management solutions, today launched the latest version of its US Equity risk models (“US4”), which offers improved methodologies and enhanced style...
View ArticleItiviti Presented With 2016 Technology Award By TMT News
Itiviti, world-leading technology provider for the capital markets industry, has been recognized by the 2016 Technology Awards, where Itiviti was named Best Capital Markets Technology Provider.read...
View Article"The Challenges For Insurance And Regulators In A Big Data World"...
It is a great pleasure to be at the ABI Conference today. Insurance is very important to the effective functioning of our society and economy. It is therefore very important to the FCA. On a slightly...
View ArticleDinosaur Merchant Bank Limited Deploys Ancoa Surveillance To Meet MAR
Ancoa, provider of contextual surveillance and insightful analytics for exchanges, regulators, buy & sell-side firms, today announced that Dinosaur Merchant Bank Limited has deployed Ancoa’s...
View ArticleBank Of Singapore Receives Regulatory Approval To Open A Branch In Dubai...
Bank of Singapore today announced that it has been granted a Category 4 license to operate a branch in the Dubai International Financial Centre (DIFC). This allows Bank of Singapore to offer a...
View ArticleHKEX: Further Updated Arrangements For Adjustment Of SMIC Structured Products...
Hong Kong Exchanges and Clearing Limited (HKEX) has announced the arrangements for the adjustment to Semiconductor Manufacturing International Corporation (SMIC) futures to account for SMIC's share...
View ArticleHKEX Announces Results Of Annual Review Of Trading-Fee Tiers For Stock Options
Hong Kong Exchanges and Clearing Limited (HKEX) will change the trading-fee tier of several of its Stock Option classes from 3 January 2017 based on its latest annual review of the classifications.read...
View ArticleTOCOM And SGX To Cooperate In Developing Asia’s LNG Market
The Tokyo Commodity Exchange, Inc. (TOCOM) and Singapore Exchange (SGX) have signed a memorandum of understanding (MOU) to cooperate in developing the liquefied natural gas (LNG) market in Asia, a...
View ArticleRegulatory Consistency Assessment Programme (RCAP) - Follow-up assessment of...
Full text of "Regulatory Consistency Assessment Programme (RCAP) - Follow-up assessment of Basel III risk-based capital regulations - Japan, December 2016
View ArticleRegulatory Consistency Assessment Programme (RCAP) - Assessment of Basel III...
Full text of "Regulatory Consistency Assessment Programme (RCAP) - Assessment of Basel III LCR regulations - Indonesia", December 2016
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