SSRN Weekly Top 5 Papers â October 2nd, 2017
1. Social Animal House: The Economic and Academic Consequences of Fraternity Membership by Jack Mara (10 Thoughts), Lewis Davis (Union College – Department of Economics) and Stephen Schmidt (Union...
View ArticleKelly's Criterion in Portfolio Optimization: A Decoupled Problem....
Kelly's Criterion is well known among gamblers and investors as a method for maximizing the returns one would expect to observe over long periods of betting or investing. These ideas are conspicuously...
View ArticleSystemic risk in a mean-field model of interbank lending with self-exciting...
In this paper we consider a mean-field model of interacting diffusions for the monetary reserves in which the reserves are subjected to a self- and cross-exciting shock. This is motivated by the...
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Weygandt's Managerial Accounting: Tools for Business Decision Making, Global...
Weygandt's Managerial Accounting provides students with a clear introduction to fundamental managerial accounting concepts. This edition helps students get the most out of their accounting course...
View ArticlePetal Walker, Chief Counsel to Former CFTC Commissioner Bowen, Leaving Agency
Petal Walker, Chief Counsel to former Commodity Futures Trading Commission (CFTC) Commissioner Sharon Bowen will leave the CFTC effective today.
View ArticleKeep It Real: Tail Probabilities of Compound Heavy-Tailed Distributions....
We propose an analytical approach to the computation of tail probabilities of compound distributions whose individual components have heavy tails. Our approach is based on the contour integration...
View ArticleA series representation for the Black-Scholes formula. (arXiv:1710.01141v1...
We prove and test an efficient series representation for the European Black-Scholes call, which generalizes and refines previously known approximations, and works in every market configuration.
View ArticleValuation of Employee Stock Options (ESOs) by means of Mean-Variance Hedging....
We consider the problem of ESO valuation in continuous time. In particular, we consider models that assume that an appropriate random time serves as a proxy for anything that causes the ESO's holder to...
View ArticleManaging Volatility Risk: An Application of Karhunen-Lo\`eve Decomposition...
Implied volatilities form a well-known structure of smile or surface which accommodates the Bachelier model and observed market prices of interest rate options. For the swaptions that we study, three...
View ArticleScientists pinpoint the singularity for quantum computers
Scientists pinpoint the singularity for quantum computershttps://t.co/FIlE8kN4vy â Financial Technology (@fin_tech) October 3, 2017
View Article6 Fresh Horrors From the Equifax CEO's Congressional Hearing
It's hard to see how #equifax can possibly survive. https://t.co/gliAhO0Jxd â Financial Technology (@fin_tech) October 4, 2017
View ArticleBasel III liquidity monitoring tools
Basel III liquidity monitoring tools - Occasional Paper No 14, October 2017. While the introduction of the Liquidity Coverage Ratio and Net Stable Funding Ratio have made the measurement of liquidity...
View ArticleBoards of Directors Assessing Corporate Culture: It's About Time!
The Board of Directors bears responsibility for oversight and control of the management of an enterprise. Their duty to monitor management actions and performance includes assessing the risks that the...
View ArticleKeynote Remarks of Commissioner Brian Quintenz before the Symphony Innovate...
Keynote Remarks of Commissioner Brian Quintenz before the Symphony Innovate 2017 Conference
View ArticleThe Computational Complexity of Clearing Financial Networks with Credit...
We consider the problem of clearing a system of interconnected banks. Prior work has shown that when banks can only enter into simple debt contracts with each other, then a clearing vector of payments...
View ArticleOn Drawdown-Modulated Feedback Control in Stock Trading. (arXiv:1710.01503v1...
Control of drawdown, that is, the control of the drops in wealth over time from peaks to subsequent lows, is of great concern from a risk management perspective. With this motivation in mind, the focal...
View ArticleOn Inefficiency of Markowitz-Style Investment Strategies When Drawdown is...
The focal point of this paper is the issue of "drawdown" which arises in recursive betting scenarios and related applications in the stock market. Roughly speaking, drawdown is understood to mean drops...
View ArticleTransform Analysis for Hawkes Processes with Applications in Dark Pool...
Hawkes processes are a class of simple point processes that are self-exciting and have clustering effect, with wide applications in finance, social networks and many other fields. This paper considers...
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