This thesis is comprised of four self-contained research papers taking us through a journey into the realms of quantitative finance. We join the ranks of practitioners and academic researchers who work on pricing of financial derivatives. A derivative is a financial instrument that derives its value...

In Virginia someone broke into a man’s apartment, cleaned it, and took nothing. Completely cleaned the place. Police are describing the suspect as his mother.

According to reports, officials at the Department of Agriculture told staffers to avoid the term “climate change” in their research and to use terms like “weather extremes” instead. And instead of earthquakes, they’re now called “li’l shakeroos.”

In this paper we employ the wavelet multiple correlation and the wavelet multiple cross-correlation to investigate the behaviour of exchange rates in the Central and Eastern Europe (CEE). This novel approach takes care of several limitations which are encountered when conventional pair wise wavelet ...

Wavelet networks (WNs) are a new class of networks which have been used with great success in a wide range of application. However a general accepted framework for applying WNs is missing from the literature. In this study, we present a complete statistical model identification framework in order to...

This paper examines the relationship between the stock and futures markets in terms of cointegration (Johnson Cointegration) and lead lag relationship (Wavelet Approach). We applied the Maximum Overlap Discrete Wavelet Transform (MODWT) method to stock and futures prices of 12 near month contracts d...

Sunday’s episode of “Game of Thrones” will be the show’s shortest episode ever at just 50 minutes. Yeah, so after the opening credits, that’s only two minutes of actual show.

In this paper we provide a simple MATLAB routine which computes the moving median with trend and seasonality. This approach is linear and for this reason has its disadvantages. So this routine can be improved by combining Monte-Carlo simulations, genetic algorithms simulations and wavelets decomposi...

Mandelbrot has significantly contributed in many ways to the area of finance. He was one of the first who criticized the oversimplifications centered around the early stochastic process models of Bachelier utilizing normal distribution. In his view, markets were fractal and much wilder than classica...

This paper studies information aggregation in dynamic markets with a finite number of partially informed strategic traders. It shows that for a broad class of securities, information in such markets always gets aggregated. Trading takes place in a bounded time interval, and in every equilibrium, as ...