Deutsche Börse AG To Divest International Securities Exchange...
Deutsche Börse AG (“Deutsche Börse”) and NASDAQ, Inc. (“NASDAQ”) have today entered into an agreement regarding the sale of International Securities Exchange Holdings, Inc. (“ISE”), operator of three...
View ArticleCME Group Announces Singaporean Team Wins 13th Annual Trading Challenge -...
CME Group, the world's leading and most diverse derivatives marketplace, today announced the winners of its 13th annual CME Group Trading Challenge, including the first-place winners from Nanyang...
View ArticleCapital Valuation Adjustment and Funding Valuation Adjustment....
In the aftermath of the 2007 global financial crisis, banks started reflecting into derivative pricing the cost of capital and collateral funding through XVA metrics. Here XVA is a catch-all acronym...
View ArticleInteracting Default Intensity with Hidden Markov Process. (arXiv:1603.02902v1...
In this paper we consider a reduced-form intensity-based credit risk model with a hidden Markov state process. A filtering method is proposed for extracting the underlying state given the observation...
View ArticleSmall-time asymptotics for basket options -- the bi-variate SABR model and...
We compute a sharp small-time estimate for the price of a basket call under a bi-variate SABR model with both $\beta$ parameters equal to $1$ and three correlation parameters, which extends the work of...
View ArticleLibor at crossroads: stochastic switching detection using information theory...
This paper studies the 28 time series of Libor rates, classified in seven maturities and four currencies), during the last 14 years. The analysis was performed using a novel technique in financial...
View ArticleConvex duality in optimal investment and contingent claim valuation in...
This paper studies convex duality in optimal investment and contingent claim valuation in markets where traded assets may be subject to nonlinear trading costs and portfolio constraints. Under fairly...
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Make the Deal: Negotiating Mergers and Acquisitions
Make the Deal is a direct and accessible guide to striking a powerful M&A deal. Merging business, finance, and law, this insightful examination of M&A strategy is designed to help you...
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Nasdaq Agrees To Acquire International Securities Exchange
Nasdaq (Nasdaq:NDAQ) today announced it has agreed to acquire International Securities Exchange (ISE), an operator of three electronic options exchanges, from Deutsche Börse Group. The acquisition...
View ArticleBOX Options Exchange Price Improvement For February
In the month of February price improved contracts on BOX Options Exchange (“BOX”) averaged 375,006 per day. Price improvement versus the prevailing NBBO for contracts submitted via BOX’s price...
View ArticleNasdaq Announces End-Of-Month Open Short Interest Positions In Nasdaq Stocks...
At the end of the settlement date of February 29, 2016, short interest in 2,296 Nasdaq Global MarketSM securities totaled 8,306,919,216 shares compared with 8,298,190,416 shares in 2,300 Global Market...
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