EVENT POSTPONED: SEC Announces Conference on Municipal Securities Disclosure
The Securities and Exchange Commission today announced that it will host a March 10 conference to focus on municipal securities, which are predominantly owned by Main Street investors and help finance...
View ArticleTax- and expense-modified risk-minimization for insurance payment processes....
We study the problem of determining risk-minimizing investment strategies for insurance payment processes in the presence of taxes and expenses. We consider the situation where taxes and expenses are...
View ArticleAtomic Swaptions: Cryptocurrency Derivatives. (arXiv:1807.08644v2 [cs.CR]...
The atomic swap protocol allows for the exchange of cryptocurrencies on different blockchains without the need to trust a third-party. However, market participants who desire to hold derivative assets...
View ArticleOption Pricing with Greed and Fear Factor: The Rational Finance Approach....
We explain the main concepts of Prospect Theory and Cumulative Prospect Theory within the framework of rational dynamic asset pricing theory. We derive option pricing formulas when asset returns are...
View ArticleEffect of segregation on inequality in kinetic models of wealth exchange....
Empirical distributions of wealth and income can be reproduced using simplified agent-based models of economic interactions, analogous to microscopic collisions of gas particles. Building upon these...
View ArticleFavoritism in Research Assistantship Selection in Turkish Academia....
This article analyzes the procedure for the initial employment of research assistants in Turkish universities to see if it complies with the rules and regulations. We manually collected 2409 applicant...
View ArticleCopula-based local dependence between energy, agriculture and metal commodity...
This paper studies the extreme dependencies between energy, agriculture and metal commodity markets, with a focus on local co-movements, allowing the identification of asymmetries and changing trend in...
View ArticleCoronavirus and financial volatility: 40 days of fasting and fear....
40 days after the start of the international monitoring of COVID-19, we search for the effect of official announcements regarding new cases of infection and death ratio on the financial markets...
View ArticleThe Relative Value of the $delta-$Symmetric Strangle under the Black Scholes...
In this article we propose and calculate, under the Black Scholes option pricing model, a measure of the relative value of a delta- Symmetric Strangle. The proposed measure accounts for the price of...
View ArticleOn solutions of a partial integro-differential equation in Bessel potential...
In this paper we focus on qualitative properties of solutions to a nonlocal nonlinear partial integro-differential equation (PIDE). Using the theory of abstract semilinear parabolic equations we prove...
View ArticlePerceptions of Coronavirus Mortality and Contagiousness Weaken Economic...
We provide the first analysis on how fear of the novel coronavirus affects current economic sentiment. First, we collect a global dataset on internet searches indicative of economic anxieties, which...
View ArticleSkillCheck: An Incentive-based Certification System using Blockchains....
Skill verification is a central problem in workforce hiring. Companies and academia often face the difficulty of ascertaining the skills of an applicant since the certifications of the skills claimed...
View ArticleModel independent WWR for regulatory CVA and for accounting CVA and FVA....
Wrong way risk (WWR) is a consideration for regulatory capital for credit valuation adjustment (CVA). WWR is also of interest for pricing and accounting and in these cases must include funding as well...
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The future of work: opportunities for a gender new deal
Advances in artificial intelligence (AI) have sparked renewed fears regarding the future of work. One widely discussed solution to this perceived problem is a universal basic income (UBI), provoking...
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