In this short paper, in order to price occupation-time options, such as (double-barrier) step options and quantile options, we derive various joint distributions of a mixed-exponential jump-diffusion process and its occupation times of intervals.
read more...Pricing occupation-time options in a mixed-exponential jump-diffusion model. (arXiv:1603.09329v1 [math.PR])
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Parisian ruin for a refracted L\'evy process. (arXiv:1603.09324v1 [math.PR])
In this paper, we investigate Parisian ruin for a L\'evy surplus process with an adaptive premium rate, namely a refracted L\'evy process. More general Parisian boundary-crossing problems with a deterministic implementation delay are also considered. Our main contribution is a generalization of the result in Loeffen et al. (2013) for the probability of Parisian ruin of a standard L\'evy insurance risk process. Despite the more general setup considered here, our main result is as compact and has a similar structure. Examples are provided.
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Risk Sensitive Portfolio Optimization in a Jump Diffusion Model with Regimes. (arXiv:1603.09149v1 [q-fin.PM])
In the literature, researchers have widely addressed the portfolio optimization problem with various stock price models, and by choosing different kinds of optimization criteria. Models driven by Jump processes seem to provide a flexible class of models which capture statistical and economical properties of market data. In particular, we consider a portfolio optimization problem, without any consumption and transaction cost, where the market consisting of stock prices is modelled by a multi dimensional jump diffusion process with semi-Markov modulated coefficients. We study risk sensitive portfolio optimization on finite time horizon. We address the above mentioned problem by using a probabilistic approach to establish the existence and uniqueness of the classical solution of corresponding Hamilton-Jacobi-Bellman (HJB) equation. We also implement a numerical scheme to see the behavior of solutions for different values of initial portfolio wealth, maturity and risk of aversion parameter.
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Microstructure under the Microscope: Combining Dimension Reduction, Distance Measures and Covariance. (arXiv:1603.09060v1 [q-fin.TR])
Market Microstructure is the investigation of the process and protocols that govern the exchange of assets with the objective of reducing frictions that can impede the transfer. In financial markets, where there is an abundance of recorded information, this translates to the study of the dynamic relationships between observed variables, such as price, volume and spread, and hidden constituents, such as transaction costs and volatility, that hold sway over the efficient functioning of the system.
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Numerical approximation of a cash-constrained firm value with investment opportunities. (arXiv:1603.09049v1 [q-fin.CP])
We consider a singular control problem with regime switching that arises in problems of optimal investment decisions of cash-constrained firms. The value function is proved to be the unique viscosity solution of the associated Hamilton-Jacobi-Bellman equation.
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A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective. (arXiv:1603.09030v1 [q-fin.MF])
In this work we give a comprehensive overview of the time consistency property of dynamic risk and performance measures, with focus on discrete time setup. The two key operational concepts used throughout are the notion of the LM-measure and the notion of the update rule that, we believe, are the key tools for studying the time consistency in a unified framework.
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Betting and Belief: Prediction Markets and Attribution of Climate Change. (arXiv:1603.08961v1 [cs.MA])
Despite much scientific evidence, a large fraction of the American public doubts that greenhouse gases are causing global warming. We present a simulation model as a computational test-bed for climate prediction markets. Traders adapt their beliefs about future temperatures based on the profits of other traders in their social network. We simulate two alternative climate futures, in which global temperatures are primarily driven either by carbon dioxide or by solar irradiance. These represent, respectively, the scientific consensus and a hypothesis advanced by prominent skeptics. We conduct sensitivity analyses to determine how a variety of factors describing both the market and the physical climate may affect traders' beliefs about the cause of global climate change. Market participation causes most traders to converge quickly toward believing the "true" climate model, suggesting that a climate market could be useful for building public consensus.
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See You in Court, Uncle Sam!
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The Conversion Code: Capture Internet Leads, Create Quality Appointments, Close More Sales
 |  | "If you need more traffic, leads and sales, you need The Conversion Code." Neil Patel co-founder Crazy Egg "We've helped 11,000+ businesses generate more than 31 million leads and consider The Conversion Code a must read." Oli Gardner co-founder Unbounce "We'd been closing 55% of our qualified appointments. We increased that to 76% as a direct result of implementing The Conversion Code." Dan Stewart CEO Happy Grasshopper Read More... |
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The Art of Authenticity: Tools to Become an Authentic Leader and Your Best Self
The Art of Authenticity is a guide to becoming a better leader by achieving your best self. All people bring different sides of themselves to various situations. This book will show you how to broaden and deepen your effectiveness by presenting the most appropriate side of yourself. Dr. Karissa Thacker is the management psychologist called on by over two hundred Fortune 500 companies
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Decision Quality: Value Creation from Better Business Decisions
Few things are as valuable in business, and in life, as the ability to make good decisions. Can you imagine how much more rewarding your life and your business would be if every decision you made were the best it could be? Decision Qualityempowers you to make the best possible choice and get more of what you truly want from every decision.
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The Art of Strategic Leadership: How Leaders at All Levels Prepare Themselves, Their Teams, and Organizations for the Future
Today's organizations face two daunting challenges: 1. How to create new sources of competitive advantage to sustain long-term growth, and 2. How to engage leaders at every level of the organization so that they are more proactive and forward-looking in their area of responsibility.
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What's Wrong with Money?: The Biggest Bubble of All
What's Wrong with Money? explores how and why money is valued and the warning signs that point to its eventual collapse. Author Michael Ashton is widely regarded as a premier expert on inflation, and in this book, he illustrates how the erosion of trust in central banks is putting us at high risk of both near- and long-term inflationand a potentially very serious disruption. It's not
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Customer Success: How Innovative Companies Are Reducing Churn and Growing Recurring Revenue
 | | Your business success is now forever linked to the success of your customers Customer Success. is the groundbreaking guide to the exciting new model of customer management. Business relationships are fundamentally changing. In the world B.C. (Before Cloud), companies could focus totally on sales and marketing because customers were often 'stuck' after purchasing. Therefore, all of the 'post-sale' experience was a cost center in most companies. In Read More... |
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The Mindfulness Edge: How to Rewire Your Brain for Leadership and Personal Excellence Without Adding to Your Schedule
There is a simple practice that can improve nearly every component of leadership excellence and it doesn't require adding anything to your busy schedule. In The Mindfulness Edge, you'll discover how a subtle inner shift, called mindfulness, can transform things that you already do every day into opportunities to become a better leader. Author Matt Tenney has trained leaders around the world
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The Institutional ETF Toolbox: How Institutions Can Understand and Utilize the Fast-Growing World of ETFs
 | | Get up to speed on the booming innovation surrounding institutional ETF usage.
The Institutional ETF Toolbox is the institutional investor's guide to utilizing exchange-traded funds and taking full advantage of the innovative new products in their expanding repertoire. The ETF toolbox is expanding rapidly with nearly one new ETF launching every day this decade so far. As with any financial innovation, this phenomenon brings both opportunity and concerns Read More... |
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Streetsmart Financial Basics for Nonprofit Managers, 4th Edition
Let's be honest. Most books about financial management are densely written, heavy on jargon, and light on practicality. Expert financial consultant and author Tom McLaughlin takes a different approach with his fourth edition of Streetsmart Financial Basics for Nonprofit Managers. This comprehensive guide provides effective, easy-to-use tips, tools, resources, and analyses.
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ISE Announces First Implementation Of A Securities Exchange On Amazon Web Services Cloud Computing Environment
The International Securities Exchange (ISE) is the first regulated securities exchange to build and operate cloud-based disaster recovery infrastructure as part of disaster preparedness requirements established by the U.S. Securities and Exchange Commission’s (SEC) recent Regulation Systems Compliance and Integrity (Reg SCI) initiative.
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SR Labs Partner With Quod Financial Adding Superfeed As A New Alternative Low Latency Market Data Solution
SR Labs LLC., a global leader for market data and trading technology, have partnered with QUOD Financial, a leading provider of adaptive trading technology, to support client requirements to integrate the two firms technology solutions.
Quod Financial has leveraged SR Labs SuperFeed product to enhance their turnkey low latency solutions in smart order routing, algorithmic and automated trading.
SR Labs delivers the widest range of normalised market data solutions via its flagship SuperFeed data feed and its Direct Feed Handler products. These are complemented by a range of supporting enterprise products, including the DART entitlements system and Data Fabric middleware, underpinned by the OpenMAMA API. Quod’s Adaptive Execution Platform and its applications are now integrated with the OpenMAMA API.
Ian McIntyre, COO Europe at SR Labs stated “The combination of the SuperFeed data feed from SR Labs and QUOD’s Adaptive Execution Platform, provides clients with an out of the box solution for trading in Europe, with no compromise on latency. SuperFeed is now an exciting new option for Quod’s current and future client base”.
This collaboration is part of the ISV partner program initiative that SR Labs have recently launched, with the aim of working with leading complementary technology vendors to enable delivery of complete trading solutions for clients.
Mickael Rouillere, CTO of Quod Financial, said “To achieve superior execution performance, market data latency is a key factor. Furthermore, we needed an efficient and low latency API to abstract away the complexity of the equities and derivatives markets to enable our clients to successfully maintain an effective automated execution strategy. We are delighted to be partnering with SR Labs to help our clients improve their performance”.
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The Saudi Stock Exchange (Tadawul) Announces The Commencement Of Its Equities And ETF Markets New Trading Hours Next Sunday
With reference to the Saudi Stock Exchange announcement dated 1437/05/01H corresponding to 10/02/2016G, in relation to changing its equities and ETF markets trading hours, the Saudi Stock Exchange (Tadawul) announces the commencement of the new trading hours of its equities and ETF markets as of next Sunday 25/06/1437H corresponding to 03/04/2016G as follows:
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