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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...
Persistent link: https://www.econbiz.de/10014236873
approximating formula for the Black and Scholes call function that can be useful for deriving the risk of options i.e. the implied … moneyness …
Persistent link: https://www.econbiz.de/10012823891
This paper will give a brief overview of the work of introducing machine learning intelligence in the Kineta e-markets system, to facilitate auto-hedging, smart price engine algorithms and proprietary automatic positioning within the foreign exchange market. In this paper we will give a brief...
Persistent link: https://www.econbiz.de/10013043450
In the past year, generative AI, led by Chat GPT by Open AI and Bard, a language experiment by Google, generated tremendous attention amongst the public. Their impact on finance, law and general productivity are difficulty to articulate with words. This paper aims to strengthen the...
Persistent link: https://www.econbiz.de/10014352641
Monetary policy has pursued the concept of inflation targeting. This has been implemented in many countries. Here interest rates are supposed to respond to an inflation gap and output gap. Yet, recently monetary policy, in particular in the US after the subprime and the credit crises, the...
Persistent link: https://www.econbiz.de/10014203097
Investors can construct commodity benchmarks better aligned with their investment objectives. This is important because common “plain-vanilla” benchmarks, constructed to mimic relative production activity, may be inconsistent with a CIO’s objectives.CIOs can use the Real Asset Sensitivity...
Persistent link: https://www.econbiz.de/10013250624
in deflated price processes is then addressed. Applications include the pricing of options on relativities and the asset …
Persistent link: https://www.econbiz.de/10012998891
modeling permits access to skewness via randomized drifts. Optimal portfolios maximize a conservative market value seen as a …
Persistent link: https://www.econbiz.de/10013004140
Seemingly infallible arbitrage strategies can fail. When they do, they can take the markets down with them. The near collapse of Long-Term Capital Management parallels the experience of portfolio insurance in 1987
Persistent link: https://www.econbiz.de/10013006371
Abstract. This paper describes how an efficient and exact Monte-Carlo simulation of the Hull-White model could be performed. For that purpose the joint conditional distribution of the short interest rate and the discount factor is derived. The proposed approach can be straightforward extended to...
Persistent link: https://www.econbiz.de/10013007339