The influx of shipping receipts from the world's leading fleet has been critical for the development of the Greek economy. Following the fateful September of 2008, the range and speed of the shift in direction of the freight rates, combined with the general economic and credit climate, have had...

In the first part of this paper (Antonov-Bianchetti, 2013) we developed the theoretical framework for pricing financial instruments under multiple sources of funding, leading to a non-linear pricing PDE and to Funding Value Adjustment (FVA).In this second part we develop the numerical framework...

We explore the pros and cons of two counterfactual analysis methodologies – the panel data approach (PDA) and the synthetic control method (SCM) through a discussion of the differences in their underlying assumptions and a series of simulations

We propose a new methodology for obtaining arbitrage free European option prices from a SABR-like parameterisation. The method consists of specifying the joint distribution of the volatility and underlying at a given expiry and requires the calculation of a simple one-dimensional numerical...

This paper analyzes the dynamic interrelationships among the exchange rates of twelve countries in the Asian-Pacific region using Vector Auto regression Models. The exchange rates of the following countries are analyzed: Australia, China, Indonesia, Japan, Malaysia, New Zealand, Philippines,...

Recent advances in machine learning are finding commercial applications across many industries, not least the finance industry. This paper focuses on applications in one of the core functions of finance, the investment process. This includes return forecasting, risk modelling and portfolio...

We estimate the demand for health insurance in the California Affordable Care Act marketplace (Covered California) without using parametric assumptions about the unobserved components of utility. To do this, we develop a computational method for constructing sharp identified sets in a...

In an exchange economy with recursive preferences (Epstein and Zin, 1989), we propose a novel nonparametric generalized method of moment (GMM) series approach to estimate unknown policy functions which are recursively specified in a system of nonlinear conditional expectation models...

In this article, we study the algorithmic calculation of present values greeks for callable exotic instruments. The speed of greeks evaluations becomes important with recent initial margin rules, including the ISDA standard model SIMM, requiring sensitivity calculations for non-cleared deals...

We suggest a new way of setting up multifactor models with hidden variables. We claim that the standard initial condition, which assigns some fixed value to the stochastic volatility subprocess, is illogical and greatly underestimates the effect of the hidden variable. For instance, a stochastic...