Record surge in atmospheric CO2 in 2016
How do financial markets and insurers react to news like this? Record surge in atmospheric CO2 seen in 2016 https://t.co/L39tqrkxQ4 — Risk Management…
View ArticleWeekly Top 5 Papers â October 30th, 2017
1. Private Benefits in Public Offerings: Tax Receivable Agreements in IPOs by Gladriel Shobe (Brigham Young University – J. Reuben Clark Law School)read more...
View ArticleWhy Don't We Reflect & Learn?
Most leaders acknowledge the value of learning from past experience. Some organizaitons have established highly regarded best practices for deriving lessons learned from past projects. For instance,...
View ArticleCFTC Commissioner Behnam Named Sponsor of the Market Risk Advisory Committee
The Commodity Futures Trading Commission (CFTC) today announced that Commissioner Rostin Behnam will sponsor the Market Risk Advisory Committee (MRAC). The agency also announced temporary sponsors for...
View ArticleOn Fair Reinsurance Premiums; Capital Injections in a Perturbed Risk Model....
We consider a risk model in which deficits after ruin are covered by a new type of reinsurance contract that provides capital injections which depend on a chosen level of retention. To allow the...
View ArticleSimulating the deep decarbonisation of residential heating for limiting...
We take a simulation-based approach for modelling ten scenarios, aiming at near-zero global CO2 emissions by 2050 in the residential heating sector, using different combinations of policy instruments....
View ArticleStatistical validation of financial time series via visibility graph....
Statistical physics of complex systems exploits network theory not only to model, but also to effectively extract information from many dynamical real-world systems. A pivotal case of study is given by...
View ArticleLarge deviation principle for Volterra type fractional stochastic volatility...
We study fractional stochastic volatility models for the asset price, in which the volatility process is a positive continuous function $\sigma$ of a continuous fractional stochastic process...
View ArticleResearch on ruin probability of risk model based on AR(1) series....
In this text, we establish the risk model based on AR(1) series and propose the basic model which has a dependent structure under intensity of claim number. Considering some properties of the risk...
View ArticleDual control Monte Carlo method for tight bounds of value function under...
The aim of this paper is to study the fast computation of the lower and upper bounds on the value function for utility maximization under the Heston stochastic volatility model with general utility...
View ArticleQuantum attacks on Bitcoin, and how to protect against them....
The key cryptographic protocols used to secure the internet and financial transactions of today are all susceptible to attack by the development of a sufficiently large quantum computer. One particular...
View ArticlePolynomial processes for power prices. (arXiv:1710.10293v1 [q-fin.CP])
Polynomial processes have the property that expectations of polynomial functions (of degree $n$, say) of the future state of the process conditional on the current state are given by polynomials (of...
View ArticleThe Vanishing Pavilions: The Gutting of the Government and the Loss of Oral...
What will be the longest-term damage of the Trump era? A strong, principled leader will restore some semblance of decency and ethics. Foreign governments might view this period as a bad dream, or an...
View ArticleWhy We Need to Reflect
In my last blog post, I discussed several reasons why organizations don't learn effectively from experience. New research from Giada Di Stefano, Francesca Gino, Gary Pisano & Bradley Staats...
View ArticleFractional Brownian motion with zero Hurst parameter: a rough volatility...
It has been recently established that the volatility of financial assets is rough. This means that the behavior of the log-volatility process is similar to that of a fractional Brownian motion with...
View ArticleA continuous selection for optimal portfolios under convex risk measures does...
One of the crucial problems in mathematical finance is to mitigate the risk of a financial position by setting up hedging positions of eligible financial securities. This leads to focusing on...
View ArticlePricing of commodity derivatives on processes with memory....
Spot option prices, forwards and options on forwards relevant for the commodity markets are computed when the underlying process S is modelled as an exponential of a process {\xi} with memory as e.g. a...
View ArticleProfit Driven Business Analytics: A Practitioner's Guide to Transforming Big...
Profit-Driven Business Analytics provides actionable guidance on optimizing the use of data to add value and drive better business. Combining theoretical and technical insights into daily operations...
View ArticleStock Trader's Almanac 2018
Stock Trader's Almanac 2018 provides the cleanest historical data in the business to give traders and investors an advantage in the market. The 2018 edition is consistent with decades of the Stock...
View ArticleCan I Have Your Attention?: Inspiring Better Work Habits, Focusing Your Team,...
"A must read for anyone in the business of leading others."Ken May, CEO of Top Golf; former CEO of Fedex"If you want your team to stay focused, you will want to read Can I Have Your Attention?"Chester...
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