U.S. Treasury: Report On U.S. Portfolio Holdings Of Foreign Securities
The findings from the annual survey of U.S. portfolio holdings of foreign securities at year-end 2015 were released today and posted on the Treasury web site at...
View ArticleAlberta Securities Commission Adopts Crowdfunding Rule Enabling...
The Alberta Securities Commission (ASC) announced today that it has adopted Multilateral Instrument 45-108 Crowdfunding (MI 45-108). The new rule is available immediately and introduces a crowdfunding...
View ArticleA Vision For Data At The SEC - Commissioner Kara M. Stein - Keynote Address...
Thank you, Michael [Barr], for that kind introduction. Thank you also to the University of Michigan and the Office of Financial Research for organizing this important conference. I am pleased to be...
View ArticleMIAX Options Exchange: MIAX Options - Updated November 1, 2016 Fee Changes
Effective November 1, 2016, pending SEC approval, the MIAX Options Fee Schedule will be amended. In addition to what was announced in the MIAX Fee Alert October 27, 2016, MIAX will remove Alcoa Inc....
View ArticleOptimal retirement income tontines. (arXiv:1610.10078v1 [q-fin.MF])
Tontines were once a popular type of mortality-linked investment pool. They promised enormous rewards to the last survivors at the expense of those died early. And, while this design appealed to the...
View ArticleMeta-CTA Trading Strategies based on the Kelly Criterion. (arXiv:1610.10029v1...
The influence of Commodity Trading Advisors (CTA) on the price process is explored with the help of a simple model. CTA managers are taken to be Kelly optimisers, which invest a fixed proportion of...
View ArticleMean Field Game of Controls and An Application To Trade Crowding....
In this paper we formulate the now classical problem of optimal liquidation (or optimal trading) inside a Mean Field Game (MFG). This is a noticeable change since usually mathematical frameworks focus...
View ArticleLoading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type...
Catastrophe risk is a major threat faced by individuals, companies, and entire economies. Catastrophe (CAT) bonds have emerged as a method to offset this risk and a corresponding literature has...
View ArticleLong-range Correlation and Market Segmentation in Bond Market....
This paper looks into the analysis of the long-range auto-correlations and cross-correlations in bond market. Based on Detrended Moving Average (DMA) method, empirical results present a clear evidence...
View ArticleModel-free bounds on Value-at-Risk using partial dependence information....
We derive bounds on the distribution function, therefore also on the Value-at-Risk, of $\varphi(\mathbf X)$ where $\varphi$ is an aggregation function and $\mathbf X = (X_1,...,X_d)$ is a random vector...
View ArticlePricing variance swaps with stochastic volatility and stochastic interest...
This paper considers the pricing of discretely-sampled variance swaps under the class of equity-interest rate hybridization. Our modeling framework consists of the equity which follows the dynamics of...
View ArticleNumerical study of splitting methods for American option valuation....
This paper deals with the numerical approximation of American-style option values governed by partial differential complementarity problems. For a variety of one- and two-asset American options we...
View ArticleBorsa İstanbul Trading Session Hours Change
By the decision of the Council of Ministers no. 2016/9154 dated September 7, 2016, which went into force after being published in the Official Gazette no. 29825 dated September 8, 2016, the daylight...
View ArticleFor The First Time In The Saudi Capital Market Tadawul Is Planning To Launch...
For the first time in the Saudi Capital Market, The Saudi Stock Exchange (Tadawul) will list multiple Real Estate Investment Traded Funds “REITs” before year-end. read more...
View ArticleSaudi Arabia's Capital Market Authority Announces The Referral Of A Suspicion...
As part of the Capital Market Authority’s responsibilities to protect the market from unfair and unsound practices involving cheating, fraud and manipulation. In addition, to ensure fairness,...
View ArticleOCC Cleared Contract Volume Down 13 Percent In October - Securities Lending...
OCC, the world's largest equity derivatives clearing organization, announced today that cleared contract volume in October was 318,439,491 contracts, a 13 percent decrease from October 2015 monthly...
View ArticleThe Saudi Stock Exchange Performance Report – October 2016
At the end of October 2016 Tadawul All Share Index (TASI) closed at 6,012.22 points, increased by 388.88 points 6.92% over the close of the previous month.read more...
View ArticleCBOE Risk Management Conference Asia 2016
Chicago Board Options Exchange® (CBOE®) will host its 2nd annual CBOE Risk Management Conference (RMC) Asia, on Wednesday, November 30, through Thursday, December 1, 2016, at the Conrad Hong Kong...
View ArticleMGEX Reports October Volume
MGEX, a Designated Contract Market (DCM) and Derivatives Clearing Organization (DCO), reports its fourth-highest volume during the month of October, coming in at 153,358 contracts traded. Total volume...
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