This monograph surveys the technology and empirics of text analytics in finance. I present various tools of information extraction and basic text analytics. I survey a range of techniques of classification and predictive analytics, and metrics used to assess the performance of text analytics...

Derivative security pricing and risk measurement relies increasingly on lattice representations of stochastic processes, which are a discrete approximation of the movement of the underlying securities. Pricing is undertaken by summation of node values on the lattice. When the lattice is large...

In this paper we examine 52,322 financing rounds in 23,208 unique firms, over the period 1980 through 2000 by venture and buyouts funds and estimate the probability of exit, time to exit, exit multiples and the expected gains from private equity investments. The expected multiple (after...

We undertake a large-scale empirical examination of systemic risk among 1048 financial institutions in a large sample of 23 emerging markets, broken down into 5 regions. This work extends the large literature on systemic risk in the US, Europe, and other developed countries to emerging markets,...

Special purpose vehicles (SPVs), extremely popular financial structures for the creation of highly-rated tranched securities, experienced spectacular demise in the 2007-08 financial crisis. These financial vehicles epitomize the shadow banking sector, characterized by high leverage,...

In this paper, we demonstrate how an applied linguistics platform may be used to parse corporate email content and news to assess factors predicting escalating risk or the gradual shifting of other critical characteristics within the firm before they are eventually manifested in observable data...

In this paper, we demonstrate how an applied linguistics platform may be used to parse corporate email content and news to assess factors predicting escalating risk or the gradual shifting of other critical characteristics within the firm before they are eventually manifested in observable data...

In this paper, we develop a methodology to model, simulate and assess the joint default process of hundreds of issuers. Our study is based on a data set of default probabilities supplied by Moody's Risk Management Services. We undertake an empirical examination of the joint stochastic process of...

We present a scheme for pricing derivatives on M assets on K-factor recombining trees with N periods. The computational complexity of these trees is O(NK 1), i.e. polynomial in N, making it possible to price a wide range of derivatives without resorting to Monte Carlo simulation. Numerical...

The use of statistical packages in finance has two functions. One, econometric analysis of large volumes of data, and two, programming financial models. A popular package for these purposes is R. In this article we will examine two canonical applications of parallel programming for option...