Purpose – The purpose of this paper is to examine the efficacy of recent policy initiatives taken by the US Securities and Exchange Commission banning naked “short-selling” of specific financial stocks. The paper also considers the merits of reinstating “uptick rule” 10a-1, which...

In this paper, we present algorithms to solve a complex system of partial integro-differential equations (PIDE's) of parabolic type. The system is motivated by applications in finance where the solution of the system gives the price of European options in a regime-switching jump diffusion model....

CUTTING-EDGE DEVELOPMENTS IN HIGH-FREQUENCY FINANCIAL ECONOMETRICS In recent years, the availability of high-frequency data and advances in computing have allowed financial practitioners to design systems that can handle and analyze this information. Handbook of Modeling High-Frequency Data in...