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Fabio Mercurio
Fabio Mercurio (born 26 September 1966) is an Italian mathematician, internationally known for a number of results in mathematical finance. Main results Mercurio worked during his Ph.D. on incomplete markets theory using dynamic mean-variance hedging techniques. With Damiano Brigo (2002–2003), he has shown how to construct stochastic differential equations consistent with mixture models, applying this to volatility smile modeling in the context of local volatility models. He is also one of the main authors in inflation modeling. Mercurio has also authored several publications in top journals and co-authored the book ''Interest rate models: theory and practice'' for Springer-Verlag, that quickly became an international reference for stochastic dynamic interest rate modeling. He is the recipient of the 2020 Risk quant-of-the-year award [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Bloomberg L
Bloomberg may refer to: People * Daniel J. Bloomberg (1905–1984), audio engineer * Georgina Bloomberg (born 1983), professional equestrian * Michael Bloomberg (born 1942), American businessman and founder of Bloomberg L.P.; politician and mayor of New York City (2002–2013) * Ramon Bloomberg (born 1972), American artist and film director Other uses * Bloomberg L.P., financial news and media company founded by Michael Bloomberg ** Bloomberg News, a news agency ** ''Bloomberg Businessweek'', weekly business magazine and website ** ''Bloomberg Markets,'' a monthly financial magazine ** Bloomberg Radio, a business radio network ** Bloomberg Television, a business news channel ***Bloomberg TV Canada ***Bloomberg TV Philippines ***Bloomberg TV Malaysia ** Bloomberg Terminal, desktop terminal and software widely used in the financial industry ** Bloomberg Data, API product using sftp or web service protocols to retrieve market data ** Bloomberg Government, online news service c ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Risk Magazine
''Risk'' magazine provides news and analysis covering the financial industry, with a particular focus on risk management, derivatives and complex finance. It includes articles and papers on credit risk, market risk, risk systems, swap option pricing, derivatives risk and pricing, regulation and asset management. Articles include news, features, comment, analysis and mathematical papers. Risk has a tradition of covers featuring pieces of abstract modern art. The magazine was founded by Peter Field in 1987. It was owned by Risk Waters Group, then acquired by Incisive Media, and is now owned by Infopro Digital. Editors include: Tom Osborn, Philip Alexander, Lukas Becker, Rob Mannix and Mauro Cesa, with Duncan Wood as Editor-in-Chief. Energy Risk — a sister title that covers energy trading and risk management — was spun off in 1994. Risk magazine has another sister publication – Asia Risk – focusing on the Asia-Pacific region. Risk also runs industry-specific events, in ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Financial Economists
Finance is the study and discipline of money, currency and capital assets. It is related to, but not synonymous with economics, the study of production, distribution, and consumption of money, assets, goods and services (the discipline of financial economics bridges the two). Finance activities take place in financial systems at various scopes, thus the field can be roughly divided into personal, corporate, and public finance. In a financial system, assets are bought, sold, or traded as financial instruments, such as currencies, loans, bonds, shares, stocks, options, futures, etc. Assets can also be banked, invested, and insured to maximize value and minimize loss. In practice, risks are always present in any financial action and entities. A broad range of subfields within finance exist due to its wide scope. Asset, money, risk and investment management aim to maximize value and minimize volatility. Financial analysis is viability, stability, and profitability assessmen ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Probability Theorists
Probability is the branch of mathematics concerning numerical descriptions of how likely an event is to occur, or how likely it is that a proposition is true. The probability of an event is a number between 0 and 1, where, roughly speaking, 0 indicates impossibility of the event and 1 indicates certainty."Kendall's Advanced Theory of Statistics, Volume 1: Distribution Theory", Alan Stuart and Keith Ord, 6th Ed, (2009), .William Feller, ''An Introduction to Probability Theory and Its Applications'', (Vol 1), 3rd Ed, (1968), Wiley, . The higher the probability of an event, the more likely it is that the event will occur. A simple example is the tossing of a fair (unbiased) coin. Since the coin is fair, the two outcomes ("heads" and "tails") are both equally probable; the probability of "heads" equals the probability of "tails"; and since no other outcomes are possible, the probability of either "heads" or "tails" is 1/2 (which could also be written as 0.5 or 50%). These conce ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
21st-century Italian Mathematicians
The 1st century was the century spanning AD 1 ( I) through AD 100 ( C) according to the Julian calendar. It is often written as the or to distinguish it from the 1st century BC (or BCE) which preceded it. The 1st century is considered part of the Classical era, epoch, or historical period. The 1st century also saw the appearance of Christianity. During this period, Europe, North Africa and the Near East fell under increasing domination by the Roman Empire, which continued expanding, most notably conquering Britain under the emperor Claudius (AD 43). The reforms introduced by Augustus during his long reign stabilized the empire after the turmoil of the previous century's civil wars. Later in the century the Julio-Claudian dynasty, which had been founded by Augustus, came to an end with the suicide of Nero in AD 68. There followed the famous Year of Four Emperors, a brief period of civil war and instability, which was finally brought to an end by Vespasian, ninth Roman emperor, ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Google Scholar
Google Scholar is a freely accessible web search engine that indexes the full text or metadata of scholarly literature across an array of publishing formats and disciplines. Released in beta in November 2004, the Google Scholar index includes peer-reviewed online academic journals and books, conference papers, theses and dissertations, preprints, abstracts, technical reports, and other scholarly literature, including court opinions and patents. Google Scholar uses a web crawler, or web robot, to identify files for inclusion in the search results. For content to be indexed in Google Scholar, it must meet certain specified criteria. An earlier statistical estimate published in PLOS One using a mark and recapture method estimated approximately 79–90% coverage of all articles published in English with an estimate of 100 million.'' Trend Watch'' (2014) Nature 509(7501), 405 – discussing Madian Khabsa and C Lee Giles (2014''The Number of Scholarly Documents on the Public Web'', P ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Social Science Research Network
The Social Science Research Network (SSRN) is a repository for preprints devoted to the rapid dissemination of scholarly research in the social sciences, humanities, life sciences, and health sciences, among others. Elsevier bought SSRN from Social Science Electronic Publishing Inc. in May 2016. History SSRN was founded in 1994 by Michael C. Jensen and Wayne Marr, both financial economists. In January 2013, SSRN was ranked the biggest open-access repository in the world by Ranking Web of Repositories (an initiative of the Cybermetrics Lab, a research group belonging to the Spanish National Research Council), measured by number of PDF files, backlinks and Google Scholar results. In May 2016, SSRN was bought from Social Science Electronic Publishing Inc. by Elsevier. On 17 May 2016, the SSRN founder and chairman Michael C. Jensen wrote a letter to the SSRN community in which he cited SSRN CEO Gregg Gordon's post on the Elsevier Connect and the "new opportunities" coming from ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Rotterdam
Rotterdam ( , , , lit. ''The Dam on the River Rotte'') is the second largest city and municipality in the Netherlands. It is in the province of South Holland, part of the North Sea mouth of the Rhine–Meuse–Scheldt delta, via the ''"New Meuse"'' inland shipping channel, dug to connect to the Meuse first, but now to the Rhine instead. Rotterdam's history goes back to 1270, when a dam was constructed in the Rotte. In 1340, Rotterdam was granted city rights by William IV, Count of Holland. The Rotterdam–The Hague metropolitan area, with a population of approximately 2.7 million, is the 10th-largest in the European Union and the most populous in the country. A major logistic and economic centre, Rotterdam is Europe's largest seaport. In 2020, it had a population of 651,446 and is home to over 180 nationalities. Rotterdam is known for its university, riverside setting, lively cultural life, maritime heritage and modern architecture. The near-complete destruction ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Erasmus University
Erasmus University Rotterdam (abbreviated as ''EUR'', nl, Erasmus Universiteit Rotterdam ) is a public research university located in Rotterdam, Netherlands. The university is named after Desiderius Erasmus Roterodamus, a 15th-century humanist and theologian. Erasmus MC is the largest and one of the foremost academic medical centers and trauma centers in the Netherlands, whereas its economics and business school, Erasmus School of Economics and Rotterdam School of Management are well known in Europe and beyond. Currently, Erasmus University Rotterdam has been placed in the top 100 universities in the world by four prominent international ranking tables. In 2017, the university was ranked by Times Higher Education as 69th in the world with its business & economics as 17th, and clinical health as 42nd in the world, and was ranked among top ten business schools in Europe by the ''Financial Times''. In 2015, Erasmus University Rotterdam was ranked by Times Higher Education as 20th ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Doctor Of Philosophy
A Doctor of Philosophy (PhD, Ph.D., or DPhil; Latin: or ') is the most common Academic degree, degree at the highest academic level awarded following a course of study. PhDs are awarded for programs across the whole breadth of academic fields. Because it is an earned research degree, those studying for a PhD are required to produce original research that expands the boundaries of knowledge, normally in the form of a Thesis, dissertation, and defend their work before a panel of other experts in the field. The completion of a PhD is often a requirement for employment as a university professor, researcher, or scientist in many fields. Individuals who have earned a Doctor of Philosophy degree may, in many jurisdictions, use the title ''Doctor (title), Doctor'' (often abbreviated "Dr" or "Dr.") with their name, although the proper etiquette associated with this usage may also be subject to the professional ethics of their own scholarly field, culture, or society. Those who teach at ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
New York City
New York, often called New York City or NYC, is the List of United States cities by population, most populous city in the United States. With a 2020 population of 8,804,190 distributed over , New York City is also the List of United States cities by population density, most densely populated major city in the United States, and is more than twice as populous as second-place Los Angeles. New York City lies at the southern tip of New York (state), New York State, and constitutes the geographical and demographic center of both the Northeast megalopolis and the New York metropolitan area, the largest metropolitan area in the world by urban area, urban landmass. With over 20.1 million people in its metropolitan statistical area and 23.5 million in its combined statistical area as of 2020, New York is one of the world's most populous Megacity, megacities, and over 58 million people live within of the city. New York City is a global city, global Culture of New ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Local Volatility
A local volatility model, in mathematical finance and financial engineering, is an option pricing model that treats volatility as a function of both the current asset level S_t and of time t . As such, it is a generalisation of the Black–Scholes model, where the volatility is a constant (i.e. a trivial function of S_t and t ). Formulation In mathematical finance, the asset ''S''''t'' that underlies a financial derivative is typically assumed to follow a stochastic differential equation of the form : dS_t = (r_t-d_t) S_t\,dt + \sigma_t S_t\,dW_t , under the risk neutral measure, where r_t is the instantaneous risk free rate, giving an average local direction to the dynamics, and W_t is a Wiener process, representing the inflow of randomness into the dynamics. The amplitude of this randomness is measured by the instant volatility \sigma_t. In the simplest model i.e. the Black–Scholes model, \sigma_t is assumed to be constant; in reality, the realised volatility of an unde ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
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