Statement On The Proposed Rule To Require The Use Of Universal Proxies, SEC...
Good morning. I would like to thank the staff for all of their hard work leading up to this proposal.  The team spent a lot of time listening to and considering a variety of views regarding the issue...
View ArticleCBOE Holdings Declares Fourth-Quarter 2016 Dividend
CBOE Holdings, Inc. (NASDAQ: CBOE) announced today that its Board of Directors has declared a quarterly cash dividend of $0.25 per share of common stock for the fourth quarter of 2016. The...
View ArticleDissenting Statement At Open Meeting On Universal Proxy, SEC Commissioner...
Thank you, Chair White. read more...
View ArticleStatement At Open Meeting On Adoption Of Updated Rules regarding Intrastate...
Thank you, Chair White. Today’s adopting release is a well-crafted and thoughtful adoption of the Commission’s proposal to modernize and improve our rules related to intrastate offerings and Rule 504...
View Article“Peak State” Linkfest - The Greatest Evil The World Has Ever Seen
Just some timely links to the incredible pathological evil around the world today. (Although these aer focused on the pathological criminals in the U.S.) Something to contemplate before the November...
View ArticleChanges Of The Ground Rules Of FTSE/ATHEX Index Series
The FTSE/ATHEX Index Series Advisory Committee has endorsed the following change to the FTSE/ATHEX Index Series Ground Rules which will be effective from the next semi-annual index review in May...
View ArticleSaudi Arabia Debuts Its First Bonds Through Irish Stock Exchange-Listed GMTN...
The Kingdom of Saudi Arabia has listed bonds for the first time through a Global Medium Term Note Programme (GMTN) debuted on the Main Securities Market (MSM) of the Irish Stock Exchange (ISE). Its...
View ArticleClik here to view.
AuditFile Automates Wiley Advantage Audit Suite
AuditFile, Inc. and John Wiley & Sons, Inc. today jointly announced a new version of AuditFile’s award-winning audit automation software that features the full suite of 2017 Wiley Advantage Audit...
View ArticleReport On Financial Structures Details Structural Changes In The Euro Area...
The euro area banking sector consolidated further in 2015, according to the ECB’s 2016 Report on Financial Structures, which is published today. The report also finds that banks’ capital ratios...
View ArticleRemarks At The PCAOB Investor Advisory Group Meeting, SEC Chair Mary Jo...
Thank you for the invitation and opportunity to be here. And thank you Chairman Doty for your continuing strong leadership of the PCAOB and Steve Harris for your chairmanship of the Investor Advisory...
View ArticleMIAX Options Exchange: MIAX Options - November 1, 2016 Fee Changes
Effective November 1, 2016, pending SEC approval, the MIAX Options Fee Schedule will be amended.read more...
View ArticleExistence and uniqueness results for BSDEs with jumps: the whole nine yards....
This paper is devoted to obtaining a wellposedness result for multidimensional BSDEs with possibly unbounded random time horizon and driven by a general martingale in a filtration only assumed to...
View ArticleTheory of earthquakes interevent times applied to financial markets....
We analyze the probability density function (PDF) of waiting times between financial loss exceedances. The empirical PDFs are fitted with the self-excited Hawkes conditional Poisson process with a long...
View ArticleIncome and wealth distribution of the richest Norwegian individuals: An...
Using the empirical data from the Norwegian tax office, we analyse the wealth and income of the richest individuals in Norway during the period 2010--2013. We find that both annual income and wealth...
View ArticleAsymptotics for rough stochastic volatility models. (arXiv:1610.08878v1...
Using the large deviation principle (LDP) for a re-scaled fractional Brownian motion $B^H_t$ where the rate function is defined via the reproducing kernel Hilbert space, we compute small-time...
View ArticleAgnostic Risk Parity: Taming Known and Unknown-Unknowns. (arXiv:1610.08818v1...
Markowitz' celebrated optimal portfolio theory generally fails to deliver out-of-sample diversification. In this note, we propose a new portfolio construction strategy based on symmetry arguments only,...
View ArticleThe dual representation problem of risk measures. (arXiv:1610.08806v1...
The objective of this paper is to present a comprehensive study of the dual representation problem of risk measures and convex functionals on a Banach lattice $X$. Of particular interest is the case...
View ArticleIntrinsic risk measures. (arXiv:1610.08782v1 [q-fin.RM])
Monetary risk measures are usually interpreted as the smallest amount of external capital that must be added to a financial position to make it acceptable. We propose a new concept: intrinsic risk...
View ArticleEquity Market Impact Modeling: an Empirical Analysis for Chinese Market....
Market impact has become a subject of increasing concern among academics and industry experts. We put forward a price impact model which considers the heteroscedasticity of price in the time dimension...
View ArticleOn exponential functionals of processes with independent increments....
In this paper we study the exponential functionals of the processes $X$ with independent increments , namely$$I\_t= \int \_0^t\exp(-X\_s)ds, \_,\,\, t\geq 0,$$ and also$$I\_{\infty}= \int...
View Article