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Market dynamics immediately before and after financial shocks: quantifying the Omori, productivity and Bath laws
Market dynamics financial shocks
2010/10/20
We study the cascading dynamics immediately before and immediately after 219 market shocks. We define the time of a market shock T_{c} to be the time for which the market volatility V(T_{c}) has a pe...
The article presents a translation of some widespread financial terminology into the language of decision theory. For instance, financial leverage can be regarded as an object of choice or a decision....
Stock loans in incomplete markets
Stock loans indifference pricing illiquid assets incomplete markets
2010/10/22
A stock loan is a contract whereby a stockholder uses shares as collateral to borrow money from a bank or financial institution. In Xia and Zhou (2007), this contract is modeled as a perpetual Americ...
Dynamics of Stock Market Correlations
Correlation Stock Market Holography eigenvalue entropy
2010/12/6
We present a novel approach to the study the dynamics of stock market correlations. This is achieved through an innovative visualization tool that allows an investigation of the structure and dynamics...
Tail Behavior of the Central European Stock Markets during the Financial Crisis
Financial crisis tail behavior stock markets
2010/12/6
In the paper we research statistical properties of the Central European stock markets. We focus mainly on the tail behavior of the Czech, Polish, and Hungarian stock markets and compare them to the be...
Illiquidity Effects in Optimal Consumption-Investment Problems
Illiquidity Effects Optimal Consumption-Investment
2010/10/19
We study the effect of liquidity freezes on an economic agent optimizing her utility of consumption in a perturbed Black-Scholes-Merton model. The single risky asset follows a geometric Brownian motio...
Kinetic models for socio-economic dynamics of speculative markets
kinetic models opinion formation stock market power laws
2010/10/21
In this paper we introduce a simple model for a financial market characterized by a single stock or good and an interplay between two different traders populations, chartists and fundamentalists, whi...
Individual and collective stock dynamics: intra-day seasonalities
Individual collective stock dynamics
2010/10/21
We establish several new stylised facts concerning the intra-day seasonalities of stock dynamics. Beyond the well known U-shaped pattern of the volatility, we find that the average correlation betwee...
A three dimensional stochastic Model for Claim Reserving
Solvency II Risk management Claim reserving
2010/10/21
Within the Solvency II framework the insurance industry requires a realistic modelling of the risk processes relevant for its business. Every insurance company should be capable of running a holistic...
About the Justification of Experience Rating: Bonus Malus System and a new Poisson Mixture Model
Risk Management Pricing Portfolio Management Bonus Malus System
2010/10/21
The claim experience of the past is a very important information to calculate the fair price of an insurance contract. In a lot of European countries for instance the prices for motor car insurance d...
Scaling portfolio volatility and calculating risk contributions in the presence of serial cross-correlations
portfolio market risk volatility scaling square-root-of-time rule
2010/10/21
In practice daily volatility of portfolio returns is transformed to longer holding periods by multiplying by the square-root of time which assumes that returns are not serially correlated. Under this ...
The endogenous dynamics of markets: price impact and feedback loops
endogenous dynamics markets price impact feedback loops
2010/10/21
We review the evidence that the erratic dynamics of markets is to a large extent of endogenous origin, i.e. determined by the trading activity itself and not due to the rational processing of exogenou...
Optimal Dividend and reinsurance strategy of a Property Insurance Company under Catastrophe Risk
Optimal dividend reinsurance strategy Optimal
2010/10/21
We consider an optimal control problem of a property insurance company with proportional reinsurance strategy. The insurance business brings in catastrophe risk, such as earthquake and flood. The cata...
The joint distribution of stock returns is not elliptical
joint distribution stock returns elliptical
2010/10/21
Using a large set of daily US and Japanese stock returns, we test in detail the relevance of Student models, and of more general elliptical models, for describing the joint distribution of returns. W...
Fast Correlation Greeks by Adjoint Algorithmic Differentiation
Algorithmic Di erentiation Monte Carlo Simulations Derivatives Pricing Credit Derivatives
2010/10/19
We show how Adjoint Algorithmic Differentiation (AAD) allows an extremely efficient calculation of correlation Risk of option prices computed with Monte Carlo simulations. A key point in the construct...