The perverse incentive for insurance instruments that are derivatives:...
When an insurance note is also a derivative a serious problem arises because a derivative must be fulfilled immediately. This feature of derivatives prevents claims processing procedures that screen...
View ArticleMean Field Limit of a Behavioral Financial Market Model. (arXiv:1711.02573v1...
In the past decade there has been a growing interest in agent-based econophysical financial market models. The goal of these models is to gain further insights into stylized facts of financial data. We...
View ArticleAsymptotic properties of maximum likelihood estimator for the growth rate of...
We consider a stable Cox--Ingersoll--Ross process driven by a standard Wiener process and a spectrally positive strictly stable L\'evy process, and we study asymptotic properties of the maximum...
View ArticleThe Sentient Enterprise: The Evolution of Business Decision Making
Mohan and Oliver have been very fortunate to have intimate views into the data challenges that face the largest organizations and institutions across every possible industryand what they have been...
View ArticleFunctional central limit theorems for rough volatility. (arXiv:1711.03078v1...
We extend Donsker's approximation of Brownian motion to fractional Brownian motion with Hurst exponent $H \in (0,1)$ and to Volterra-like processes. Some of the most relevant consequences of our `rough...
View ArticleThe Calibration of Stochastic-Local Volatility Models - An Inverse Problem...
We tackle the calibration of the so-called Stochastic-Local Volatility (SLV) model. This is the class of financial models that combines the local and stochastic volatility features and has been subject...
View ArticleConstrained portfolio-consumption strategies with uncertain parameters and...
This paper studies the properties of the optimal portfolio-consumption strategies in a {finite horizon} robust utility maximization framework with different borrowing and lending rates. In particular,...
View ArticleImplied volatility smile dynamics in the presence of jumps....
The main purpose of this work is to examine the behavior of the implied volatility smiles around jumps, contributing to the literature with a high-frequency analysis of the smile dynamics based on...
View ArticleLess-Expensive Valuation of Long Term Annuities Linked to Mortality, Cash and...
This paper proposes a paradigm shift in the valuation of long term annuities, away from classical no-arbitrage valuation towards valuation under the real world probability measure. Furthermore, we...
View ArticleOptimal Brownian Stopping between radially symmetric marginals in general...
Given an initial (resp., terminal) probability measure $\mu$ (resp., $\nu$) on $\mathbb{R}^d$, we characterize those optimal stopping times $\tau$ that maximize or minimize the functional $\mathbb{E}...
View ArticleUnderstanding Business Accounting For Dummies - UK, 4th UK Edition
The easy way to get your head around company financeread more...
View ArticleJ.K. Lasser's Small Business Taxes 2018: Your Complete Guide to a Better...
J.K. Lasser's Small Business Taxes 2018 is the small business owner's ultimate guide to a money-saving, stress-free tax season. Providing straightforward advice from the nation's most trusted tax...
View ArticleJ.K. Lasser's 1001 Deductions and Tax Breaks 2018: Your Complete Guide to...
J.K. Lasser's 1001 Deductions and Tax Breaks 2018 is the complete and thorough guide to reducing your tax burden. By listing every possible deduction and credit available to individual taxpayers, this...
View ArticleThe Little Book of Common Sense Investing: The Only Way to Guarantee Your...
The best-selling investing "bible" offers new information, new insights, and new perspectivesread more...
View ArticleProject Management Metrics, KPIs, and Dashboards: A Guide to Measuring and...
Harold Kerzner’s essential strategies on measuring project management performanceread more...
View ArticleThe 7 Secrets of Neuron Leadership: What Top Military Commanders,...
Leadership techniques backed by the world's most effective teamsread more...
View ArticleThe Growth Mindset: Leadership Makes a Difference in Wealth Management
The Growth Mindset provides a roadmap to the future for financial professionals. While the FinTech revolution is changing the wealth management industry, there is one thing that technology cannot...
View ArticleChildren, Time Allocation and Consumption Insurance -- by Richard Blundell,...
We consider the life cycle choices of a household that in each period decides how much to consume and how to allocate spouses' time to work, leisure, and childcare. In an environment with uncertainty,...
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