When the variance rates implied from option prices differ across strike prices, at most one of them can be interpreted as the variance rate of the underlying security price. We develop an arbitrage-free option pricing model with four stochastic state variables, one of which is the underlying security price. We show how to successively explicitly de
Join FIX Trading Community for the New York Regional Meeting on November 29th which will bring together industry experts and FIX Trading Community members to debate topical issues of importance to the local electronic trading industry. Featuring a panel discussion followed by a networking drinks reception.
Please join us for the next installment of the Bloomberg Quant Seminar Series. The seminar takes place every month and covers a wide range of topics in quantitative finance. In this session, chaired by Bruno Dupire, Fabio Mercurio will present his current research, followed by several "lightning talks" of 5 min. each in quick succession. This form
2017 INFORMS Advances in Decision Analysis Conference aims to develop and promote work fit for the Decision Analysis areas in Management Science and Operations Research and the Decision Analysis journal.
Contingent convertibles are characterized by forced equity conversion under accounting trigger, which occurs when the capital ratio of the issuing bank falls below some contractual threshold. Also, under the point-of-non-viability trigger, the supervisory authority may enforce equity conversion when the financial health of the bank deteriorates to