Short Maturity Asian Options for the CEV Model. (arXiv:1702.03382v1 [q-fin.PR])
We present a rigorous study of the short maturity asymptotics for Asian options with continuous-time averaging, under the assumption that the underlying asset follows the Constant Elasticity of...
View ArticleA Theory of Market Efficiency. (arXiv:1702.03290v1 [q-fin.EC])
We introduce a mathematical theory called market connectivity that gives concrete ways to both measure the efficiency of markets and find inefficiencies in large markets. The theory leads to new...
View ArticleUK GAAP 2017: Generally Accepted Accounting Practice under UK and Irish GAAP
The New UK GAAP has now been in effect for two years. UK GAAP 2017 is fully updated to reflect the application of the new standard in practice.UK GAAP 2017 focusses on each area of the financial...
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Marketing Your Products as Designed by Users: Benefit or Hindrance?
The Boston Globe reported this weekend on the fascinating new research of Vienna University Professor Martin Schreier. He studied the marketing of crowdsourced products. Schreier found that...
View ArticleRegularities and Irregularities in Order Flow Data. (arXiv:1702.04289v1...
We identify and analyze statistical regularities and irregularities in the recent order flow of different NASDAQ stocks, focusing on the positions where orders are placed in the orderbook. This...
View ArticleContagion in financial systems: A Bayesian network approach....
We develop a structural default model for interconnected financial institutions in a probabilistic framework. For all possible network structures we characterize the joint default distribution of the...
View ArticlePricing Non-cash Collateralized Derivatives and Collateral Optimization with...
This article studies derivatives pricing when privately financed by non-cash collateral. The liability-side posting collateral must weigh in haircuts stipulated in collateral agreements against those...
View ArticleLabor Contract Law -An Economic View. (arXiv:1702.03977v1 [q-fin.EC])
China's new labor law -- Labor Contract Law has been put into practice for over one year. Since its inception, debates have been whirling around the nation, if not the world. In this article, we take...
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Problems with Constant Compound Interest (6)
Doctored Photo Credit: Marvin Isidore Macatol || And I say this is heresy!read more...
View ArticleKeynote Remarks of Chairman Timothy Massad at SEFCON VII
Keynote Remarks of Chairman Timothy Massad at SEFCON VII
View ArticleKeynote Address of CFTC Commissioner J. Christopher Giancarlo Before SEFCON VII
Keynote Address of CFTC Commissioner J. Christopher Giancarlo Before SEFCON VII Making Market Reform Work for America
View ArticleRemarks of Commissioner Sharon Y. Bowen before the Commodity Markets Council
Remarks of Commissioner Sharon Y. Bowen before the Commodity Markets Council
View ArticleStatement of CFTC Acting Chairman J. Christopher Giancarlo Concerning Staff...
Statement of CFTC Acting Chairman J. Christopher Giancarlo Concerning Staff No-Action Relief for March 1, 2017 Implementation of Variation Margin on Uncleared Swaps
View ArticleSpeech of Commissioner Sharon Y. Bowen Before 2017 Brodsky Family...
Speech of Commissioner Sharon Y. Bowen Before 2017 Brodsky Family Northwestern JD-MBA Lecture Series
View ArticleCFTC to Hold an Open Commission Meeting on November 4th to Consider a...
U.S. Commodity Futures Trading Commission (CFTC) Chairman Timothy Massad announced today that the CFTC will hold an open meeting on Friday, November 4th at 10 a.m. to consider a supplemental proposal...
View ArticleCFTC Issues Orders of Registration to Five Foreign Boards of Trade to Permit...
The U.S. Commodity Futures Trading Commission (CFTC) today issued Orders of Registration to five Foreign Boards of Trade (FBOT).
View ArticleCFTC Further Implements Trade Execution Requirement
The U.S. Commodity Futures Trading Commissionâs (CFTC) Division of Market Oversight (Division) today further extended the time-limited no-action relief for swaps executed as part of a package...
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