Risk-neutral default probabilities can be implied from credit swap (CDS) market quotes. In practice, mid CDS quotes are used as inputs, their risk-neutral counterparts not observable. We show how to imply bid and ask directly by means of formulating the calibration problem within conic finance framework. Assuming distribution time driven a Poisson process we prove, under mild liquidity-related ...

Abstract George Demetrius Sevastopulo (1941–2021) was a palaeontologist, stratigrapher and educator who made significant contributions in these fields an inspirational teacher mentor to his peers generations of students.

Financial markets are often fragmented, introducing the possibility that quotes in identical securities may become crossed or locked. There are a number of theoretical explanations for the existence of crossed and locked quotes, including competition, simultaneous actions, inattentiveness, fee structure and market access. In this paper, we perform a simulation experiment designed to examine the...

The sourcing process of multiple goods or services usually involves complex negotiation (via telephone, fax, etc) that includes discussion of product features as well as quality, service and availability issues. Currently, this is a high-cost process due to the scarce use of tools that streamline this communication and assist purchasing managers’ decisionmaking. With the advent of internet-base...

Using a model of agent behavior based around envy-reducing strategies, we describe an iterated combinatorial auction in which the allocation and prices converge to a solution in the core of the agents’ true valuations. In each round of the iterative auction mechanism, agents act on envy quotes produced by the mechanism: hints that suggest the prices of the bundles they are interested in. We des...

A nostalgia theme was fully explored by Eastern Connecticut Health Network (ECHN), Manchester, Conn., in its celebration of Cancer Survivors Day, June 6. The observance is sponsored by the national Cancer Survivors Day organization. This year more than 700 facilities across the country observed the occasion.