General Finance
Forward transition rates were originally introduced with the aim to evaluate life insurance liabilities market-consistently. While this idea turned out to have its limitations, recent literature repurposes forward transition rates as a tool…
Bitcoin draws the highest degree of attention among cryptocurrencies, while coin mining is one of the most important fashion of profiting in the Bitcoin ecosystem. This paper constructs fresh coin circulation networks by tracking the fresh…
Quantum computers can solve specific problems that are not feasible on "classical" hardware. Harvesting the speed-up provided by quantum computers therefore has the potential to change any industry which uses computation, including finance.…
The Covid-19 pandemic still causes severe impacts on society and the economy. This paper studies excess mortality during the pandemic years 2020 and 2021 in Germany empirically with a special focus on the life insurer's perspective. Our…
How do supply and demand from informed traders drive market prices of bitcoin options? Deribit options tick-level data supports the limits-to-arbitrage hypothesis about the market maker's supply. The main demand-side effects are that…
Manipulating the security price is an act of artificially inflating or deflating the price of a security. Generally, manipulation is defined as a series of transactions designed to raise or lower a price of a security or to give the…
The principle of minimum Fisher information states that in the set of acceptable probability distributions characterizing the given system, it is best done by the one that minimizes the corresponding Fisher information. This principle can…
Recently, Indian Finance minister Nirmala Sitharaman announced in Union budget 2022-23 that Indian government will put 30% tax (the highest tax slab in India) on income generated from cryptocurrencies. Big financial institutions, experts…
The international financial system is currently not yet prepared to face a foreseeable crisis mainly motivated by the dichotomy between the real economy and the virtual economy. Skepticism is widespread even when it comes to investments in…
This article describes a proposal to create a digital currency that allows the decentralized collection of resources directed to initiatives and activities that aim to protect the Brazilian Amazon ecosystem by using blockchain and digital…
This paper proposes an important extension to Conditional Value-at-Risk (CoVaR), the popular systemic risk measure, and investigates its properties on the cryptocurrency market. The proposed Vulnerability-CoVaR (VCoVaR) is defined as the…
Applying historical data from the USD LIBOR transition period, we estimate a joint model for SOFR, Fed Funds, and Eurodollar futures rates as well as spot USD LIBOR and term repo rates. The framework endogenously models basis spreads…
We reverse-engineer the equilibrium construction process of asset prices in order to obtain returns which depend on firm characteristics, possibly in a linear fashion. One key requirement is that agents must have demands that rely…
While making investment decisions by reading financial documents, investors need to differentiate between in-claim and outof-claim numerals. In this paper, we present a tool which does it automatically. It extracts context embeddings of the…
We are witnessing the emergence of a new digital art market, the art market 3.0. Blockchain technology has taken on a new sector which is still not well known, Non-Fungible tokens (NFT). In this paper we propose a new methodology to build a…
Hydroelectric power (hydropower) is unique in that it can function as both a conventional source of electricity and as backup storage (pumped hydroelectric storage) for providing energy in times of high demand on the grid. This study…
Many countries around the world have had to carry out radical reforms periodically in their pension systems. Global experience shows that it is important to optimize the costs of pension and social security systems in order to ensure a…
The goal of this paper is to debunk and dispel the magic behind the black-box quantitative strategies. It aims to build a solid foundation on how and why the techniques work. This manuscript crystallizes this knowledge by deriving from…
We study the impact of climate volatility on economic growth exploiting data on 133 countries between 1960 and 2019. We show that the conditional (ex ante) volatility of annual temperatures increased steadily over time, rendering climate…
In dynamic capital structure models with an investor break-even condition, the firm's Bellman equation may not generate a contraction mapping, so the standard existence and uniqueness conditions do not apply. First, we provide an example…