Credit default swap (CDS) has become one of the most actively traded credit derivatives, and its importance in finance markets has increased after the subprime crisis. In this study, we analyzed the correlation structure of credit risks embedded in CDS and the influence of the subprime crisis on...

Quantum finance successfully implements the imperfectly correlated fluctuation of forward interest rates at different maturities, by replacing the Wiener process with a two-dimensional quantum field. Interest rate derivatives can be priced at a more realistic value under this new framework. The...

We analyze the dynamics of the implied volatility surface of KOSPI 200 futures options from random matrix theory. To extract the informative data, we use random matrix criteria. Implied volatility data have a colossal eigenvalue, and the order of eigenvalues in a noisy regime is distinguishably...

We study the cross-correlations of buy and sell volumes on the Korean stock market in high frequency. We observe that the pulling effects of volumes are as small as that of returns. The properties of the correlations of buy and sell volumes differ. They are explained by the degree of...

Sequential procedures are proposed to estimate the unknown mean vector of a multivariate linear process of the form Xt - [mu] = [summation operator][infinity]j = 0AjZt - j, where the Zt are i.i.d. (0, [Sigma]) with unknown covariance matrix [Sigma]. The proposed point estimation is...