We consider several market models, where time is subordinated to a stochastic process. These models are based on various time changes in the Lévy processes driving asset returns, or on fractional extensions of the diffusion equation; they were introduced to capture complex phenomena such as...

We consider several market models, where time is subordinated to a stochastic process. These models are based on various time changes in the Lévy processes driving asset returns, or on fractional extensions of the diffusion equation; they were introduced to capture complex phenomena such as...

We study the long-term economic legacy of highly-skilled minorities a century after their wholesale expulsion. Using mass expulsions of Armenian and Greek communities of the Ottoman Empire in the early 20th century as a unique natural experiment of history, we show that districts with greater...

We study the long-term economic legacy of highly-skilled minorities a century after their wholesale expulsion. Using mass expulsions of Armenian and Greek communities of the Ottoman Empire in the early 20th century as a unique natural experiment of history, we show that districts with greater...

Monte Carlo methods are widely-used simulation tools for market practitioners from trading to risk management. When pricing complex instruments, like mortgage-backed securities (MBS), strong path-dependency and high dimensionality make the Monte Carlo method the most suitable, if not the only,...

Monte Carlo methods are widely-used simulation tools for market practitioners from trading to risk management. When pricing complex instruments, like mortgage-backed securities (MBS), strong path-dependency and high dimensionality make the Monte Carlo method the most suitable, if not the only,...

Monte Carlo methods are widely-used simulation tools for market practitioners from trading to risk management. When pricing complex instruments, like mortgage-backed securities (MBS), strong path-dependency and high dimensionality make the Monte Carlo method the most suitable, if not the only,...

The Constantinople Hellenic Literary Society (Syllogos) was founded in 1861 to enhance the education among Ottoman Greeks and to keep their identity and it established a valuable library of its time for researchers and frequenters. Syllogos functioned as if it was "The Ministry of Education for...

The aim of this paper is to develop a hedging methodology for making a portfolio of options delta, vega and gamma neutral by taking positions in other available options, and simultaneously minimizing the net premium to be paid for the hedging. A quadratic programming solution for the problem is...