Remember me

Register  |   Lost password?

Sign up here to let us know if you are interested in joining us for our Introduction to QuantLib Course later in the year.


All site blogs

Rates, REITs and Utes

February 23, 2018 by The Reformed Broker   Comments (0)

maybe the rapid rise of the last few months has priced in more hopes and dreams than reality....

Monitor Financial Accounts Regularly

February 23, 2018 by The Aleph Blog   Comments (0)

Photo Credit: laws protect you now. In some ways, the laws are more virtual than real, and only apply to real situations, and not virtual ones.Let me explain.Though checks make up an increasingly smaller fraction of transaction volume in the US, they are still a lot higher here than in Europe.  As such, federal and many state legislators have not caught up with the effects of a hybrid system, where they attempt to regulate electronic banking transactions...

Clips From Today’s Halftime Report

February 22, 2018 by The Reformed Broker   Comments (0)

MoffettNathanson reiterate ‘sell’ rating, Snap, Twitter from CNBC. Wells Fargo, Twitter, Waste Connections, GM and Mosaic from CNBC. Pandora, Wayfair, Roku, and an energy stock that’s soaring on earnings from CNBC....

Defeating Nonsense with Evidence

February 22, 2018 by The Reformed Broker   Comments (0)

Communicating this stuff effectively makes for better client relationships and superior outcomes. ...

A Unified Modeling Framework for Life and Non-Life Insurance. (arXiv:1802.07741v1 [q-fin.MF])

February 22, 2018 by Quantitative Finance at arXiv   Comments (0)

In this paper we propose for the first time a unified framework suitable for
modeling both life and non-life insurance market, with nontrivial dependence
with the financial market. We introduce a direct modeling approach, which
generalizes the reduced-form framework for credit risk and life insurance. We
apply these results for pricing insurance products in hybrid markets by taking
into account the role of inflation under the benchmark approach. This framework
offers at the same time a general...

Optimal inventory management and order book modeling. (arXiv:1802.08135v1 [q-fin.TR])

February 22, 2018 by Quantitative Finance at arXiv   Comments (0)

We model the behavior of three agent classes acting dynamically in a limit
order book of a financial asset. Namely, we consider market makers (MM),
high-frequency trading (HFT) firms, and institutional brokers (IB). Given a
prior dynamic of the order book, similar to the one considered in the
Queue-Reactive models [14, 20, 21], the MM and the HFT define their trading
strategy by optimizing the expected utility of terminal wealth, while the IB
has a prescheduled task to sell or buy many shares...

What are the most important factors that influence the changes in London Real Estate Prices? How to quantify them?. (arXiv:1802.08238v1 [stat.AP])

February 22, 2018 by Quantitative Finance at arXiv   Comments (0)

In recent years, real estate industry has captured government and public
attention around the world. The factors influencing the prices of real estate
are diversified and complex. However, due to the limitations and one-sidedness
of their respective views, they did not provide enough theoretical basis for
the fluctuation of house price and its influential factors. The purpose of this
paper is to build a housing price model to make the scientific and objective
analysis of London's real estate...