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Evgeni Mokrov and Konstantin Samouylov
The roll-outs of fifth-generation (5G) New Radio (NR) systems operating in the millimeter-wave (mmWave) frequency band are essential for satisfying IMT-2020 requirements set forth by ITU-R in terms of the data rate at the access interface. To overcome mm...
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Jyh-Horng Lin, Shi Chen and Fu-Wei Huang
In this paper, we develop a contingent claim model to evaluate a bank?s equity and liabilities that integrates the premature default risk conditions with loan rate-setting behavioral mode and multiple shadow banking activities under capital regulation. T...
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Wang Tianqiong,Shu Yang,Shamila Saddique
Pág. 631 - 640
Market price fluctuations follow a non-stationary process and accurately modelling them is absolutely impossible, however attempts have been made and any results, even the unsuccessful ones, contribute in a better understanding of the fluctuations dynami...
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Martin A. Goldberg, Robert E. Wnek, Gregory J. Russo, Cynthia Kruth
Internal Revenue Code (the Code) 409A creates special rules for nonqualified deferred compensation plans, including discounted stock options, severance arrangement, and even some expense reimbursement arrangements. The primary themes of Section 409A are ...
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José Renato Haas Ornelas,Marcelo Yoshio Takami
Pág. 9 - 26
Building Risk-Neutral Density (RND) from options data is one useful way for extracting market expectations about a financial variable. For a sample of IDI (Brazilian Interbank Deposit Rate Index) options from 1998 to 2009, this paper estimates the option...
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Claudio Henrique Barbedo,Octávio Bessada Lion,Jose Valentim Machado Vicente
Pág. 9 - 23
Pricing interest rate derivatives is a challenging task that has attracted the attention of many researchers in recent decades. Portfolio and risk managers, policymakers, traders and more generally all market participants are looking for valuable informa...
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Ricardo Pereira Câmara Leal
On 4/14/2010 died in Rio de Janeiro Manuel Octávio Bessada Lion. Bessada was an official of the Central Bank of Brazil, the author of several books (some of them today a reference in various courses in finance and economics), professor of financial mathe...
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Turan G. Bali
Pág. 323 - 339
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