Finformatics: How to Measure Really Small Things

20th August 2018 Editor 0

Traders in financial assets implicitly compare the trading price to the stream of dividends the assets stand to generate. Clearly, a key determinant of value—usually the key determinant— will be the long-term drift or rate […]


A VaR-based Model for the Yield Curve

6th August 2018 Editor 0

An intuitive model for the yield curve, based on the notion of value-at-risk, is presented. It leads to interest rates that hedge against potential losses incurred from holding an underlying risky security until maturity. This […]