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Hossain, Mahmud; Lobo, Gerald J.; Mitra, Santanu - In: Review of Pacific Basin financial markets and policies … 25 (2022) 2, pp. 1-53

Persistent link: https://www.econbiz.de/10013370938

Elasticity Theory of Structuring

Soklakov, Andrei N. - 2016

Financial derivatives have often been criticized as casino-style betting instruments. It turns out that many naive ways of making them are indeed equivalent to gambling. Fortunately, this inadvertent effect can be understood and prevented. We present a theory of product design which achieves that

Persistent link: https://www.econbiz.de/10013007527

Financial markets as a complex system: A short time scale perspective

Marschinski, Robert; Matassini, Lorenzo - 2001

In this paper we want to discuss macroscopic and microscopic properties of financial markets. By analyzing quantitatively a database consisting of 13 minute per minute recorded financial time series, we identify some macroscopic statistical properties of the corresponding markets, with a special...

Persistent link: https://www.econbiz.de/10010301759

Shari'a governance in Bahrain : analysing the Islamic banking industry's implementation of the newly issued regulatory Shari’a governance module

Al-Saadi, Abdulrahman; Hassan, M. Kabir; Alkhan, Ahmed … - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-22

Shari’a governance is considered a crucial element of the Islamic banking industry. As recent as 2017, Islamic banks in the Kingdom of Bahrain were required by the regulator to have only a Shari’a Supervisory Board and an internal Shari’a function. In 2017, the Central Bank of Bahrain...

Persistent link: https://www.econbiz.de/10013471498

Macro-Finance Surface-Like Waves of Investment and Profits

Olkhov, Victor - 2017

This paper studies quantitative macro-finance model and describes Investment and Profits surface-like risk waves. We … cause disturbances of macro financial variables, for instance - Investment and Profits. Such disturbances can generate … domain and impact financial sustainability. We study simple model relations between Investment and Profits and describe …

Persistent link: https://www.econbiz.de/10012955887

Modeling dependencies in finance using copulae

Härdle, Wolfgang (contributor); Okhrin, Ostap (contributor) - 2008

general setup we discuss and provide an intensive literature review of estimation and simulation techniques. Separate section …

Persistent link: https://www.econbiz.de/10003727552

Market expectations and option prices : evidence for the Can$/US$ exchange rate

García, Alejandro; Prokopiw, Andrei - 2010

Security prices contain valuable information that can be used to make a wide variety of economic decisions. To extract this information, a model is required that relates market prices to the desired information, and that ideally can be implemented using timely and low-cost methods. The authors...

Persistent link: https://www.econbiz.de/10003951236

Arbitrage Opportunities in Diverse Markets via a Non-Equivalent Measure Change

Osterrieder, Joerg - 2017

We study arbitrage opportunities in diverse markets as introduced by R. Fernholz in [Fer99]. By a change of measure technique we are able to generate a variety of diverse markets. The construction is based on an absolutely continuous, but nonequivalent measure change which implies the existence...

Persistent link: https://www.econbiz.de/10012954502

Continuous Time Macro-Finance, Financial Transactions and Waves

Olkhov, Victor - 2017

ratings of agents play role of their coordinates x on economic space. Financial variables of agents like Investment or Assets …

Persistent link: https://www.econbiz.de/10012956145

The Inverted Parabola World of Classical Quantitative Finance : Non-Equilibrium and Non-Perturbative Finance Perspective

Halperin, Igor - 2020

Classical quantitative finance models such as the Geometric Brownian Motion or its later extensions such as local or stochastic volatility models do not make sense when seen from a physics-based perspective, as they are all equivalent to a negative mass oscillator with a noise. This paper...

Persistent link: https://www.econbiz.de/10012826182