This paper considers practically appealing procedures for estimating intraday volatility
measures of financial assets. The underlying microstructure model accommodates the inherent …

Financial economics and econometrics literature demonstrate that the limit order book data
is useful in predicting short-term volatility in stock markets. In this paper, we are interested in …

Long memory, endogenous switching regimes and heavy tails are stylized facts encountered
in financial data analysis, concerning either financial returns, interest rates, or volatilities. …

Predicting stock prices from textual information is a challenging task due to the uncertainty
of the market and the difficulty understanding the natural language from a machine's …

This paper investigates the optimal asset allocation of a financial institution whose customers
are free to withdraw their capital-guaranteed financial contracts at any time. In accounting …

Pillar 1 of Solvency II framework set out quantitative requirements for calculation of the Best
Estimate (BE) of liabilities and the Solvency Capital Requirement (SCR) (a 99.5 % value-at-…

This work intends to shed some light on a new use of Phase-type distributions in credit risk,
taking into account different flows of information without huge numerical calculations. We …

Preferencing and Dealer Inventory This paper examines how preferencing practice affects
the quote-setting behavior of dealers who differ in their inventory. In dealership markets, retail …

This paper considers practically appealing procedures for estimating intraday volatility
measures of financial assets. The underlying microstructure model accommodates the inherent …

Insurance companies have increasingly used quantitative decision-making tools for a number
of years. They have routinely taken advantage of models for a large number of business …