Financial distress resolution in China - two case studies

Author(s):

Gulnur Muradoglu

Topic:
Finance
Industry:
Banking

This paper examines two financially distressed companies and their restructuring strategies in China.

Updated: 22/09/2011
Comments:
Views: 3,286

Asymmetric information, price discovery and macroeconomic announcements in FX market: do top trading banks know more?

Author(s):

Long Chen

 et al.
Topic:
Finance
Industry:
Banking

This study investigates information asymmetry in the foreign exchange market by testing the hypothesis that top trading banks possess superior information on the macro-economy because they process greater order flow, which, according to the micro-structure literature, helps them aggregate the dispersed information and feel the general movements of the economy.

Updated: 22/09/2011
Comments:
Views: 3,532

Price discovery in foreign exchange markets: a comparison of indicative and actual transaction prices

Author(s):

Long Chen

 et al.
Topic:
Finance
Industry:
Banking

In this paper, we compare four months of Reuters EFX high frequency indicative data with D2000-1 inter-dealer transaction data for DEM/USD and GBP/USD.

Updated: 22/09/2011
Comments:
Views: 2,679

Macroeconomic announcements and private information in the foreign exchange market

Author(s):

Long Chen

 et al.
Topic:
Finance
Industry:
Banking

This study investigates the existence of private information in the spot foreign exchange market by examining the impact of macroeconomic announcements on banks' currency pricing behavior.

Updated: 22/09/2011
Comments:
Views: 2,714

Do top trading banks in foreign exchange business know more?

Author(s):

Long Chen

 et al.
Topic:
Finance
Industry:
Banking

This study investigates information asymmetry in the foreign exchange market and its implications for the existence of private information.

Updated: 22/09/2011
Comments:
Views: 3,012

Currency crises: strategic game between central bank and spot speculators

Author(s):

Ales Cerny

Topic:
Finance
Industry:
Banking

The paper studies an optimal switching policy between fixed and floating exchange rate regimes when the central bank dislikes losing reserves.

Updated: 22/09/2011
Comments:
Views: 3,323

Admissible strategies in semimartingale portfolio selection

Author(s):

Ales Cerny

Topic:
Finance
Industry:
Banking

The choice of admissible trading strategies in mathematical modelling of financial markets is a delicate issue, going back to Harrison and Kreps (1979). In the context of optimal portfolio selection with expected utility preferences this question has been a focus of considerable attention over the last 20 years.

Updated: 22/09/2011
Comments:
Views: 3,312

On the computation of optimal monotone mean-variance portfolios via truncated quadratic utility

Author(s):

Ales Cerny

Topic:
Finance
Industry:
Banking

We report a surprising link between optimal portfolios generated by a special type of variational preferences called divergence preferences (cf. Maccheroni et al. 2006) and optimal portfolios generated by classical expected utility.

Updated: 22/09/2011
Comments:
Views: 3,049

An improved convolution algorithm for discretely sampled Asian options

Author(s):

Ales Cerny

Topic:
Finance
Industry:
Banking

We suggest an improved FFT pricing algorithm for discretely sampled Asian options with general independently distributed returns in the underlying.

Updated: 22/09/2011
Comments:
Views: 3,865