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The Great Purge of 1933
How Antisemitism Destroyed Mathematics in GermanyContinue reading on Cantorâs Paradise »
View ArticleSEC Files Charges Against Scheme to Sell Fictitious Interests in Marijuana...
The Securities and Exchange Commission today announced charges against Guy S. Griffithe and Robert W. Russell, and three companies they controlled, for an alleged scheme that defrauded investors who...
View ArticleHope May Not Be a Strategy…But Neither is a 60/40
By Guest Contributor Aaron Filbeck, CFA, CAIA, CIPM, Associate Director, Content Development The death of the 60/40 may be a welcome change for multi-asset investors who understand that exposure to...
View ArticleMoneyScience: Quant Jobs
Quant Jobs in the UK - https://t.co/ZdCCF2rDSr #quant #jobsearch â moneyscience (@moneyscience) January 21, 2020
View ArticleIs the presidential premium spurious?
Publication date: Available online 20 January 2020Source: Journal of Empirical FinanceAuthor(s): Oumar Sy, Ashraf Al ZamanAbstractA hotly debated question in finance is whether the higher stock returns...
View ArticleA Dynamic Bayesian Model for Interpretable Decompositions of Market...
We propose a heterogeneous simultaneous graphical dynamic linear model (H-SGDLM), which extends the standard SGDLM framework to incorporate a heterogeneous autoregressive realised volatility (HAR-RV)...
View ArticleTerm Structure Modeling under Volatility Uncertainty. (arXiv:1904.02930v2...
We study a forward rate model in the presence of volatility uncertainty. The forward rate is modeled as a diffusion process in the spirit of Heath, Jarrow, and Morton (1992). The uncertainty about the...
View ArticleKernel-based collocation methods for Heath-Jarrow-Morton models with Musiela...
We propose kernel-based collocation methods for numerical solutions to Heath-Jarrow-Morton models with Musiela parametrization. The methods can be seen as the Euler-Maruyama approximation of some...
View ArticleGARCH volatilities applied to an asset selection algorithm: the case of fixed...
International Journal of Bonds and Derivatives, Volume 4, Issue 1, Page 52-62, January 2018.
View ArticleRationale and mechanics for peak natural catastrophe variance swaps in insurance
International Journal of Bonds and Derivatives, Volume 4, Issue 1, Page 33-51, January 2018.
View ArticleOutput, environmental pollution and health nexus in Vietnam: an estimation of...
International Journal of Bonds and Derivatives, Volume 4, Issue 1, Page 10-32, January 2018.
View ArticleCorrections in Heston model derivations for bond options
International Journal of Bonds and Derivatives, Volume 4, Issue 1, Page 1-9, January 2018.
View ArticleSEC Awards Whistleblowers Whose Information Helped Stop Fraud
The Securities and Exchange Commission today announced two whistleblower awards in connection with two separate enforcement actions. Â Both whistleblowers provided significant information that helped...
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Am I the person Dominic Cummings is looking for? A followup to The Times
For those interested in a bit more background to my Times article today, here are some details on how Cummings's topics have showed up in my cognitive economics research. You can judge for yourself if...
View ArticleAnticipated impacts of Brexit scenarios on UK food prices and implications...
Food insecurity is associated with increased risk for several health conditions and with poor chronic disease management. Key determinants for household food insecurity are income and food costs....
View ArticlePromotion through Connections: Favors or Information?. (arXiv:1708.07723v2...
Connections appear to be helpful in many contexts such as obtaining a job, a promotion, a grant, a loan or publishing a paper. This may be due to favoritism or to information conveyed by connections....
View ArticleMeasuring the Input Rank in Global Supply Networks. (arXiv:2001.08003v1...
In this paper, we introduce the Input Rank as a measure to study the organization of global supply networks at the firm level. We model the case of a firm that needs assessing the technological...
View ArticleInvestor Experiences and International Capital Flows. (arXiv:2001.07790v1...
We propose a novel explanation for classic international macro puzzles regarding capital flows and portfolio investment, which builds on modern macro-finance models of experience-based belief...
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National electronic health records implementation: a tale with a happy ending?
Aiming to improve healthcare efficiency and quality, countries around the globe, including Singapore, the UK, Japan and the US, are implementing nationwide electronic health records (EHRs). Recent...
View ArticleTaking messaging and data ingestion systems to the next level
The Data Exchange Podcast: Sijie Guo on how Apache Pulsar is able to handle both queuing and streaming, and both online and offline applications.Subscribe: iTunes, Android, Spotify, Stitcher, Google,...
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