This paper describes a nancial market modelling framework that exploits the notion of a de ator. The denominations of the de ator measured in units of primary assets form a minimal set of basic nancial quantities that completely specify overall market dynamics. Risk premia of asset prices are obtained as a natural consequence of the approach. Contingent claim prices are computed under the real ...

The emergence of the recent financial crisis, during which markets frequently underwent changes in their statistical structure over a short period of time, illustrates the importance of non-stationary modelling in financial time series. Motivated by this observation, we propose a fast, well performing and theoretically tractable method for detecting multiple change points in the structure of an...

In the process of transformation from a centrally-planned to a market-orientated economy, the domestic financial sector plays two important roles. First, the financial sector itself has to be fundamentally restructured, and second, its efficient functioning is a crucial precondition for the necessary economic transformation. During the central-planning era, the financial sector typically carrie...

We consider an application involving a financial quadratic portfolio of options, when the joint underlying log-returns changes with multivariate elliptic distribution. This motivates the need for methods for the approximation of multiple integrals over hyperboloids. A transformation is used to reduce the hyperboloid integrals to a product of two radial integrals and two spherical surface integr...

Data warehouses play important roles in the IT landscape of the financial industry. Banks have to deal with complex communication issues in financial data warehouse projects. Especially the creation of extraction, transformation and loading (ETL) processes depends on the project team’s communication ability and given communication barriers. We briefly present a theoretical efficiency model base...

Digital transformation in financial management has become the main focus for companies to achieve business success digital era. This research then aims see effect of on efficiency, risk management, relations with external parties, and decision-making. The method used this is qualitative through library research. data study comes from results previous studies. show that brings significant benefi...