A Semi-Analytic Approach To Valuing Auto-Callable Accrual Notes....
We develop a semi-analytic approach to the valuation of auto-callable structures with accrual features subject to barrier conditions. Our approach is based on recent studies of multi-assed binaries,...
View ArticleFilling the gaps smoothly. (arXiv:1608.05145v1 [q-fin.CP])
The calibration of a local volatility models to a given set of option prices is a classical problem of mathematical finance. It was considered in multiple papers where various solutions were proposed....
View ArticleCFTC Charges Forex Capital Markets, LLC With Undercapitalization, Failing To...
The U.S. Commodity Futures Trading Commission (CFTC) filed a civil enforcement action in the U.S. District Court for the Southern District of New York against Forex Capital Markets, LLC (FXCM),...
View ArticleCFTC Charges Deutsche Bank AG With Multiple Swap Reporting Violations,...
The U.S. Commodity Futures Trading Commission (CFTC) filed a civil Complaint in the U.S. District Court for the Southern District of New York today, charging Deutsche Bank AG (Deutsche Bank), a global...
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Open Interest Of TOCOM Gold Rolling Spot Renews All-Time High Above 110,000...
The Tokyo Commodity Exchange Inc. announced that open interest of Gold Rolling Spot futures contract was 110,694 contracts at the close of the August 19 sessions rising above 110,000 contracts for the...
View ArticleHKEX: Arrangements For Adjustment Of SOHO China Futures
Hong Kong Exchanges and Clearing Limited (HKEX) has announced the arrangements for the adjustment to SOHO China Ltd (SOHO China) futures to account for SOHO China’s special dividend.read more...
View ArticleMalawi Stock Exchange Weekly Trading Report - 19 August, 2016
Click here to download Malawi Stock Exchange's weekly trading report for the week ending 19 August, 2016.
View ArticleIncorporating energy into production functions
In my last post on my Debtwatch blog, I finished by saying that the Physiocrats were the only School of economics to properly consider the role of energy in production. They ascribed it solely to...
View ArticleThai Listed Firms Show Strong Growth With Q2 Earnings Up 12%
Companies listed on The Stock Exchange of Thailand (SET) reported a net profit of THB 245.25 billion (approx. USD 7.03 billion) in the second quarter of 2016, growing 11.83 percent from Q2/2015, and up...
View ArticleWeekly Top 5 Papers â August 19, 2016
1. Explaining Nationalist Political Views: The Case of Donald Trump by Jonathan Rothwell (Gallup)read more...
View ArticleApproval Of Shenzhen Hong-Kong Stock Connect
The China Securities Regulatory Commission (CSRC), Hong Kong Securities & Futures Commission (SFC) issued a joint announcement on 16 August, 2016, approving in principle the establishment of mutual...
View ArticleMonetary Authority Of Singapore Sets Out Strategies For Electronic Payments...
The Monetary Authority of Singapore (MAS) today articulated strategies to promote electronic payments in Singapore, and has published a “Singapore Payments Roadmap” which it has commissioned KPMG...
View ArticleThe Impact of Removing Tax Preferences for U.S. Oil and Natural Gas...
This paper presents a novel methodology for estimating impacts on domestic supply of oil and natural gas arising from changes in the tax treatment of oil and gas production. It corrects a downward bias...
View ArticleEstimating Path Dependence in Energy Transitions -- by Kyle C. Meng
Addressing climate change requires transitioning away from coal-based energy. Recent structural change models demonstrate that temporary interventions could induce permanent fuel switching when...
View ArticleFrom Chronic Inflation to Chronic Deflation: Focusing on Expectations and...
The paper discusses policy relevant models, going from (1) chronic inflation in the 20th century after WWII, to (2) credit sudden stop episodes that got exacerbated in Developed Market economies after...
View ArticleThe Persistent Power of Behavioral Change: Long-Run Impacts of Temporary...
I use a field experiment in rural Kenya to study how temporary incentives to save impact long-run economic outcomes. Study participants randomly selected to receive large temporary interest rates on an...
View ArticleThe I Theory of Money -- by Markus K. Brunnermeier, Yuliy Sannikov
A theory of money needs a proper place for financial intermediaries. Intermediaries diversify risks and create inside money. In downturns, micro-prudent intermediaries shrink their lending activity,...
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