Can You hear the Shape of a Market? Geometric Arbitrage and Spectral Theory....
Geometric Arbitrage Theory reformulates a generic asset model possibly allowing for arbitrage by packaging all assets and their forwards dynamics into a stochastic principal fibre bundle, with a...
View ArticleCorrelators of Polynomial Processes. (arXiv:1906.11320v1 [math.PR])
A process is polynomial if its extended generator maps any polynomial to a polynomial of equal or lower degree. Then its conditional moments can be calculated in closed form, up to the computation of...
View ArticleThe operational risk disclosure practices of banks: evidence from India and...
This paper compares the levels of operational risk disclosure in the banking industries of India and Romania.
View ArticleQuantification of operational risk: statistical insights on coherent risk...
In this paper, the authors review some of the existing methods used to quantify operational risks in the banking and insurance industries.
View ArticlePath-dependent American options
In this paper, the authors investigate a path-dependent American option problem and provide an efficient and implementable numerical scheme for the solution of its associated path-dependent variational...
View ArticleComplexity reduction for calibration to American options
In this paper, the authors propose and investigate a new method for the calibration to American option price data.
View ArticleDecentralized bottom-up energy trading using Ethereum as a platform
In this paper, the simulated environment of a hierarchical energy trading market using Ethereumâs smartcontract technology is created as a proof-of-concept of using blockchain technology in energy...
View ArticleBaby on Board: Remarks before the Society for Corporate Governance National...
Baby on Board: Remarks before the Society for Corporate Governance National Conference, by Commissioner Hester M. Peirce, San Diego, California, June 28, 2019
View ArticleYOLO: Mortality Beliefs and Household Finance Puzzles
ABSTRACT We study the effect of subjective mortality beliefs on lifeâcycle behavior. With new survey evidence, we document that survival is underestimated (overestimated) by the young (old). We...
View ArticleWomen's Liberation as a Financial Innovation
ABSTRACT In one of the greatest extensions of property rights in human history, common law countries began giving rights to married women in the 1850s. Before this âwomen's liberation,â the...
View ArticleCorruption in Russia’s Primorsky Kray: is transparency the answer?
Journal of Financial Crime, Volume 26, Issue 1, Page 382-395, January 2019. Purpose The purpose of this paper is to use open-source Russian government data to investigate the relationship between...
View ArticleAdvancing theory of fraud: the S.C.O.R.E. model
Journal of Financial Crime, Volume 26, Issue 1, Page 372-381, January 2019. Purpose This paper aims to elaborate on the theory of fraud by enhancing the existing theories behind the factors that force...
View ArticleCorruption and socio-political economic structures: a case of Nigeria
Journal of Financial Crime, Volume 26, Issue 1, Page 330-371, January 2019. Purpose âCorrupt practicesâ is a recurring feature of media coverage. The paper seeks to encourage debates about the...
View ArticleDeterminants of sales misconduct in Indian retail banking services
Journal of Financial Crime, Volume 26, Issue 1, Page 313-329, January 2019. Purpose The purpose of this paper is to demonstrate those factors which are responsible for the sales misconduct in Retail...
View ArticleA taxing assessment
Journal of Financial Crime, Volume 26, Issue 1, Page 293-312, January 2019. Purpose The purpose of this paper is to enlighten the reader about the development in tax law. Moreover, the author intends...
View ArticlePredicting susceptibility to cyber-fraud victimhood
Journal of Financial Crime, Volume 26, Issue 1, Page 277-292, January 2019. Purpose This paper aims to develop a theoretical framework to predict susceptibility to cyber-fraud victimhood....
View ArticleTo whistle or not to whistle? Determinants and consequences
Journal of Financial Crime, Volume 26, Issue 1, Page 260-276, January 2019. Purpose Many corporate scandals that occurred recently have indicated the importance of a whistle-blowing mechanism in...
View ArticleTransfer pricing, earnings management and tax avoidance of firms in Ghana
Journal of Financial Crime, Volume 26, Issue 1, Page 235-259, January 2019. Purpose This paper aims to investigate how transfer pricing (TP) and earnings management affect tax avoidance of firms in...
View ArticleAudit and risk committee in financial crime prevention
Journal of Financial Crime, Volume 26, Issue 1, Page 223-234, January 2019. Purpose This empirical study aims to examine two areas: first, the characteristics of the audit committee and their...
View ArticleFraud in small charities: evidence from England and Wales
Journal of Financial Crime, Volume 26, Issue 1, Page 211-222, January 2019. Purpose Despite the increasing awareness of fraud in organisations and the potential benefits of strong fraud management...
View ArticleCombatting public procurement criminality or simple rules for complex cases
Journal of Financial Crime, Volume 26, Issue 1, Page 203-210, January 2019. Purpose Crimes that take place in the context of procurements, such as corruption and subsidy fraud, are a major problem for...
View ArticleRole of government’s legal adviser in curbing corruption in Israel
Journal of Financial Crime, Volume 26, Issue 1, Page 195-202, January 2019. Purpose The status of governmentâs legal adviser in Israel is complicated and controversial. This status deeply impacts...
View ArticleInternal auditor’s compliance to code of ethics
Journal of Financial Crime, Volume 26, Issue 1, Page 179-194, January 2019. Purpose The purpose of this study was to determine the professional competency levels acquired by internal auditors in...
View ArticleMapping corruption in procurement
Journal of Financial Crime, Volume 26, Issue 1, Page 162-178, January 2019. Purpose This paper aims to focus on understanding and preventing corruption in procurement in public sector settings. Just as...
View ArticlePolicing the illicit trade of tobacco in Australia
Journal of Financial Crime, Volume 26, Issue 1, Page 146-161, January 2019. Purpose The purpose of this study is to identify factors that have led to the rebirthing of the illicit cultivation of...
View ArticleCombating corruption in Nigeria: the emergence of whistleblowing policy
Journal of Financial Crime, Volume 26, Issue 1, Page 131-145, January 2019. Purpose This paper aims to appraise the roles of whistleblowing policy as a tool for combating corruption in Nigeria....
View ArticleFactor analysis of financial crime-related issues
Journal of Financial Crime, Volume 26, Issue 1, Page 113-130, January 2019. Purpose The purpose of this paper is to propose indices that were freely considered as relevant for the analysis of financial...
View ArticleCorporate fraud and information asymmetry in emerging markets
Journal of Financial Crime, Volume 26, Issue 1, Page 95-112, January 2019. Purpose The purpose of this study is to examine changes in firmsâ level of information asymmetry in emerging market of...
View ArticleChristian attitudes toward ethics of tax evasion: a case study
Journal of Financial Crime, Volume 26, Issue 1, Page 74-94, January 2019. Purpose The purpose of this study is to examine Christian views on the ethics of tax evasion. Design/methodology/approach To...
View ArticleHow modern psychology can help us understand white-collar criminals
Journal of Financial Crime, Volume 26, Issue 1, Page 61-73, January 2019. Purpose This paper aims to add to the theoretical discussion of white-collar crime by introducing modern psychological...
View ArticleCybercrime: an emerging threat to the banking sector of Pakistan
Journal of Financial Crime, Volume 26, Issue 1, Page 50-60, January 2019. Purpose The purpose of this study is to gain more insight into the impact of cybercrime incidents in the banking sector of...
View ArticleTax evasion in the media: a comparison of Southern vs Central and Northern Italy
Journal of Financial Crime, Volume 26, Issue 1, Page 36-49, January 2019. Purpose The representation of economic and financial crimes in the mass media can have a significant impact on readersâ and...
View ArticleDisentangling anti-corruption agencies and accounting for their ineffectiveness
Journal of Financial Crime, Volume 26, Issue 1, Page 22-35, January 2019. Purpose The purpose of this paper is to provide an adequate account of anti-corruption agency (ACA) ineffectiveness and propose...
View ArticleImpediments affecting the curbing of illicit financial flows of organised...
Journal of Financial Crime, Volume 26, Issue 1, Page 5-21, January 2019. Purpose The purpose of this paper is to examine the treats hindering war against illicit financial flows of organised crime in...
View ArticleHow to Improve Your Short-Selling Batting Average
Downside Protection: Process and Tenets for Short Selling in All Market Environments is the new book by Nitin K. Sacheti. This is a better approach than that of certain other short-oriented titles,...
View ArticleOptimal investment and consumption with forward preferences and uncertain...
This paper solves the optimal investment and consumption strategies for a risk-averse and ambiguity-averse agent in an incomplete financial market with model uncertainty. The market incompleteness...
View ArticleSpatial risk measures and rate of spatial diversification....
An accurate assessment of the risk of extreme environmental events is of great importance for populations, authorities and the banking/insurance/reinsurance industry. Koch (2017) introduced a notion of...
View ArticleNear-Optimal Dynamic Asset Allocation in Financial Markets with Trading...
We develop a dual control method for approximating investment strategies in incomplete environments that emerge from the presence of market frictions. Convex duality enables the approximate technology...
View ArticleDealing with Stochastic Volatility in Time Series Using the R Package...
The R package stochvol provides a fully Bayesian implementation of heteroskedasticity modeling within the framework of stochastic volatility. It utilizes Markov chain Monte Carlo (MCMC) samplers to...
View ArticleModeling Univariate and Multivariate Stochastic Volatility in R with stochvol...
Stochastic volatility (SV) models are nonlinear state-space models that enjoy increasing popularity for fitting and predicting heteroskedastic time series. However, due to the large number of latent...
View ArticleHow to Evaluate Trading Strategies: Single Agent Market Replay or Multiple...
We show how a multi-agent simulator can support two important but distinct methods for assessing a trading strategy: Market Replay and Interactive Agent-Based Simulation (IABS). Our solution is...
View ArticleAre cryptocurrency traders pioneers or just risk-seekers? Evidence from...
Are cryptocurrency traders driven by a desire to invest in a new asset class to diversify their portfolio or are they merely seeking to increase their levels of risk? To answer this question, we use...
View ArticleA portfolio choice problem in the framework of expected utility operators....
Possibilistic risk theory starts from the hypothesis that risk is modelled by fuzzy numbers. In particular, in a possibilistic portfolio choice problem, the return of a risky asset will be a fuzzy...
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