Results 21 to 29 of about 32 (29)
Thiele's PIDE for unit-linked policies in the Heston-Hawkes stochastic volatility model [PDF]
The main purpose of the paper is to derive Thiele's differential equation for unit-linked policies in the Heston-Hawkes stochastic volatility model introduced in arXiv:2210.15343.
Baños, David R. +2 more
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Equilibrium price and optimal insider trading strategy under stochastic liquidity with long memory
, 2019 In this paper, the Kyle model of insider trading is extended by characterizing the trading volume with long memory and allowing the noise trading volatility to follow a general stochastic process.
He, Xinjiang +2 more
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Investment in capital markets [PDF]
, 2017 Investment in Capital Markets creates a strategic vision on the financial capital investment in the capital markets with the aim to get an increased return premium in the short and long time periods.
Ledenyov, Dimitri O. +1 more
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Le «recours en oppression» : quelles attentes raisonnables pour les créanciers ? [PDF]
, 2015 La gouvernance des sociétés par actions canadiennes accorde une place aux créanciers, qui contribuent considérablement à leur financement. Les créanciers fournissent une prestation en échange d’une promesse d’être payé plus tard, de sorte qu’ils sont en ...
Faure, Gabriel
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Interest rate convexity in a Gaussian framework
The contributions of this paper are twofold: we define and investigate the properties of a short rate model driven by a general Gaussian Volterra process and, after defining precisely a notion of convexity adjustment, derive explicit formulae for it ...
Jacquier, Antoine, Oumgari, Mugad
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Text mining arXiv: a look through quantitative finance papers
This paper explores articles hosted on the arXiv preprint server with the aim to uncover valuable insights hidden in this vast collection of research. Employing text mining techniques and through the application of natural language processing methods, we
Bianchi, Michele Leonardo
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ICT spending and inflation at the sectorial level
, 2011 The dissertation attempts to estimate the impact of Information and Communication Technologies investment (ICT) on price setting at the sectoral level.
Raffestin, Louis
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A Unifying Approach for the Pricing of Debt Securities
We propose a unifying framework for the pricing of debt securities under general time-inhomogeneous short-rate diffusion processes. The pricing of bonds, bond options, callable/putable bonds, and convertible bonds (CBs) are covered. Using continuous-time
Mackay, Anne, Vachon, Marie-Claude
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Product Intervention as a Macroprudential Tool: the Case of Catastrophe Bonds [PDF]
, 2018 GOLDBY, MA, Keller, A
core +2 more sources