Generative adversarial networks (GANs) have been extremely successful in generating samples, from seemingly high dimensional probability measures. However, these methods struggle to capture the temporal dependence of joint probability distributions induced by time-series data. Furthermore, long...

Using an outlier identification methodology this study assesses the impact of extreme news and economic announcements have on the daily log-returns of 16 commodity spot price series and 25 commodity index series and their conditional volatility. Between January 1, 1997 and December 31, 2007, the...

We introduce a method for volatility computation from listed prices of American options on an underlying close to log-normal. From prices of American calls and puts, traded at an exchange at multiple strikes we compute the underlying volatility and implied volatility of an untraded European...

We give a general treatment of the Vanna-Volga mark-to-market volatility smile correction in application to pricing of contracts with European exercise on a single underlying. The method remains applicable in cases of delayed or misaligned expiries and absolute dividends. It is also applied to...

This paper develops a quantitative model of trade, military conflicts, and defense spending. Trade liberalization between two countries reduces probability of an armed conflict between them, causing both to cut defense spending. This in turn causes a domino effect on defense spending by other...

This paper develops a quantitative model of trade, military conflicts, and defense spending. Trade liberalization between two countries reduces probability of an armed conict between them, causing both to cut defense spending. This in turn causes a domino effect on defense spending by other...

The article focuses on the analysis of economic growth of Ukraine and its regions, using the proposed by the authors indicators of quality and indicators of the population living standards under innovation growth. The main purpose of the research is developing a method of multi-factor assessment...

In this paper we estimated the demand for local public spending for the Brazilian municipalities within a median voter’s framework. The median voter theorem provides a method of aggregating individual voter's demands to obtain community demand. The rationale for applying that framework came...

This paper focuses on the valuation and hedging of gas storage facilities, using a spot-based valuation framework coupled with a financial hedging strategy implemented with futures contracts. The contributions of this paper are two-fold. Firstly, we propose a model that unifies the dynamics of...

Commodity prices again! The twentieth century has only been the latest spectator to the impacts and importance of commodity price fluctuations. It is reasonably well known that commodity price records have come down to us from the ancient civilizations of India, Mesopotamia, Egypt, Greece and...