This paper presents a straightforward explanation of quantum computing, including the key aspects to understand its benefits, progress level, limitations and applications across various sectors, particularly finance, along with the potential risks it poses to existing cryptographic procedures. A...

We will present a model to compute a lower bound for the price of this option. The model, represented by a non-linear parabolic PDE, is implemented with finite elements in order to demonstrate the results with several derivatives from the European market.

We provide the definition and a complete characterization of regular affine processes. This type of process unifies the concepts of continuous-state branching processes with immigration and Ornstein-Uhlenbeck type processes.(...)

Motivated by previous findings that discretization of financial time series can effectively filter the data and reduce the noise, this experimental study compares the trading performance of predictive models based on different modelling paradigms in a realistic setting. Different methods ranging...

In this paper, we examine an exchange economy with a financial market composed of three assets: shares of a stock, European call options written on the stock, and riskless bonds. The financial market is assumed to be incomplete and the option is not a redundant asset. In such a case the...

In contrast to corporate defaults, regulators typically take a number of statutory actions to avoid the large fiscal costs associated with bank defaults. The distance-to-default, a widely used market-based measure of corporate default risk, ignores such regulatory actions. To overcome this...

A taxonomy of existing and planned automated trade execution systems in financial markets is provided. Over 50 automated market structures in 16 countries are analyzed. The classification scheme is organized around the principle that such markets consist of an algorithm that performs a trade...

This paper compares the importance of precautionary and mercantilist motives in the hoarding of international reserves by developing countries. Overall, empirical results support precautionary motives; in particular, a more liberal capital account regime increases international reserves....

This paper analyzes the price stabilizing properties of puttable and extendible bonds, their potential to help develop interest-rate derivative markets, and their use by governments. Their stabilizing properties imply that, when bond prices fall, prices for puttable and extendible bonds fall by...

In derivatives modelling, it has often been necessary to make assumptions about the volatility of the underlying variable over the life of the contract. This can involve specifying an exact trajectory, as in the Black and Scholes (1973), Merton (1973) or Black (1976) models; one that depends on...