We introduce an asymptotic expansion for forward start options in a multi-factor local-stochastic volatility model. We derive explicit approximation formulas for the so-called forward implied volatility which can be useful to price complex path-dependent options, as cliquets. The expansion...

This paper revisits the relationships among macroeconomic variables and asset returns. Based on recent developments in econometrics, we categorize competing models of asset returns into different "Equivalence Predictive Power Classes" (EPPC). During the pre-crisis period (1975-2005), some models...

Risk managers operate in the space of risk and returns, constrained by financial market regulations. How can risk managers assess risk associated with changing regulatory structures, given that theories about the relationship between risk and return are much more developed than theories about...

The purpose of this paper is to investigate the applicability of developed country turnaround predication models as well as an “in country” developed turnaround prediction model for a sample of financially distressed Malaysian companies over the period of 2000-2007.Multiple Discriminant...

В данной работе дана математическая постановка задачи планирования взаимодействия банка и корпоративных клиентов, направленного на достижение заданного...

This research investigates Value Line short-horizon and long-horizon earnings and stock price forecasts. From 1987-1998, Value Line analysts issued optimistic quarterly and annual EPS forecasts. This is consistent with prior research showing that analysts generally issued upwardly biased...

Option pricing and allocation tools in portfolio construction should be prospective - based on assumptions about how prices will change in the future. Most capital market assumptions used in portfolio construction are based on retrospective analysis, boiling down to simple calculations of...

Recent evidence indicates that market model alphas are stronger predictors of mutual fund flows than alphas with other models. Berk and van Binsbergen (2016) claim that this evidence indicates CAPM is the best asset pricing model but Barber, Huang and Odean (2016) (BHO) claim it is evidence...

You're probably familiar, at least in passing, with the 'convexity' of long-term bonds - i.e. that yields dropping 1% produce a bigger price move than yields rising 1%. A significant amount of brainpower has gone into understanding all the ramifications of this convexity in the fixed income...

Convolutional neural networks (CNN) and long short-term memory (LSTM) networks have become a staple of sequence learning. Due to the well-established fact that financial time series data exhibit exceptionally noisy characteristics, capital market anomalies are virtually impossible to detect. We...