The aim of this technical document is threefold with the bigger picture being to contribute, within the challenging regulatory environment, to bring closer together traditional conflicting practices such as trading vs risk as well as risk responsiveness vs stability. In order to achieve this...

In the light of present-day research, as we all know, the financial market owns the characteristics of self-similarity and long-range dependence and Fractional Brownian motion has these properties. From that point, The model with fractional stochastic volatility could be more businesslike than...

Approval Ratings or customer reviews are just weighted/simple mean of all feedback scores given by a set of customers. These scores are dynamic and change as and when new feedback data is fed in. There is no way to predict the final score after a particular number of feedbacks would be achieved....

Asset allocation and option pricing models are often formulated by means of linear stochastic differential equations. We show that this class of models is not identifiable from information contained in discrete-time data when the expected return process is unobservable. The indeterminacy arises...