The investment industry lacks an unified framework for handling derivative instruments in general portfolio management. With the increased use of derivatives, there is a need for a framework that aligns fundamental terminology and concepts. The main challenges with the current practices are...

State price density (SPD) contains important information concerning market expectations. In existing literature, a constrained estimator of the SPD is found by nonlinear least squares in a suitable Sobolev space. We improve the behavior of this estimator by implementing a covariance structure...

This paper provides a description of the proposed discipline of Financial Informatics. Financial Informatics is the application of Computer and Information Science to the storage, retrieval and processing of financial data. Given the ever increasing complexity of the financial marketplace,...