Type or paste a DOI name into the text box. You can download the paper by clicking the button above. Enter the email address you signed up with and we’ll email you a reset link. The mathematics of financial modeling and investment management pdf seem to have javascript disabled.

Please note that many of the page functionalities won’t work as expected without javascript enabled. JRFM was formerly edited by Prof. Abstract This study is meant to be an evaluation sustained by theoretical and empirical considerations of the exchange rate impact on international commercial trade competitiveness. This study is meant to be an evaluation sustained by theoretical and empirical considerations of the exchange rate impact on international commercial trade competitiveness. In this respect, the study aims to find how the exchange rate influences Romanian competitiveness through assessing the effects generated on exports and imports. Value-at-Risk for South-East Asian Stock Markets: Stochastic Volatility vs. Abstract This study compares the performance of several methods to calculate the Value-at-Risk of the six main ASEAN stock markets.

We use filtered historical simulations, GARCH models, and stochastic volatility models. This study compares the performance of several methods to calculate the Value-at-Risk of the six main ASEAN stock markets. The out-of-sample performance is analyzed by various backtesting procedures. We find that simpler models fail to produce sufficient Value-at-Risk forecasts, which appears to stem from several econometric properties of the return distributions. Abstract The Securities and Exchange Commission’s 2008 emergency order introduced a shorting ban of some 800 financials traded in the US. This paper provides an empirical analysis of the options market around the ban period. The Securities and Exchange Commission’s 2008 emergency order introduced a shorting ban of some 800 financials traded in the US.

Abstract The paper provides a review of the literature that connects Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology, and discusses research issues that are related to the various disciplines. The paper provides a review of the literature that connects Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology, and discusses research issues that are related to the various disciplines. Abstract The paper examines the impact of business group affiliation on cost of loans in an emerging market setting. The paper examines the impact of business group affiliation on cost of loans in an emerging market setting. It focuses on operational strategy, organizational structure and internationalization policies of business group firms and their impact on borrowing cost of affiliated firms.

Bank loans are a dominant source of corporate funding in emerging markets, in which business groups exist as leading economic entities. The log-logistic model has been used it is simple and has a unimodal hazard rate, important characteristic in survival analysis. Abstract Proper credit-risk management is essential for lending institutions, as substantial losses can be incurred when borrowers default. Consequently, statistical methods that can measure and analyze credit risk objectively are becoming increasingly important.

Proper credit-risk management is essential for lending institutions, as substantial losses can be incurred when borrowers default. Variance Swap Replication: Discrete or Continuous? Abstract The popular replication formula to price variance swaps assumes continuity of traded option strikes. In practice, however, there is only a discrete set of option strikes traded on the market. The popular replication formula to price variance swaps assumes continuity of traded option strikes. We present here different discrete replication strategies and explain why the continuous replication price is more relevant.

Abstract The Pareto classical distribution is one of the most attractive in statistics and particularly in the scenario of actuarial statistics and finance. For example, it is widely used when calculating reinsurance premiums. The Pareto classical distribution is one of the most attractive in statistics and particularly in the scenario of actuarial statistics and finance. In the last years, many alternative distributions have been proposed to obtain better adjustments especially when the tail of the empirical distribution of the data is very long. Abstract The federal funds rate is one of the most important monetary policy instruments of Federal Reserve Bank of America. The federal funds rate is one of the most important monetary policy instruments of Federal Reserve Bank of America.

In this study, we analyze the effectiveness of Fed interest rate policy on different markets in the period between 1976 and 2016 through Markov regime-switching regression analysis. Results indicate that Federal funds’ rate affects labor and housing markets with a few months’ lag. Abstract In this research, two estimation algorithms for extracting cross-lingual news pairs based on machine learning from financial news articles have been proposed. In this research, two estimation algorithms for extracting cross-lingual news pairs based on machine learning from financial news articles have been proposed. Every second, innumerable text data, including all kinds news, reports, messages, reviews, comments, and tweets are generated on the Internet, and these are written not only in English but also in other languages such as Chinese, Japanese, French, etc. Does the Assumption on Innovation Process Play an Important Role for Filtered Historical Simulation Model? Abstract In survival analysis, the presence of elements not susceptible to the event of interest is very common.

These elements lead to what is called a fraction cure, cure rate, or even long-term survivors. In survival analysis, the presence of elements not susceptible to the event of interest is very common. In this paper, we propose a unified approach using the negative binomial distribution for modeling cure rates under the Kumaraswamy family of distributions. The estimation is made by maximum likelihood. Abstract The classical Stieltjes transform is modified in such a way as to generalize both Stieltjes and Fourier transforms.