Systemic risk is a key concern for central banks charged with safeguarding overall financial
stability. In this paper we investigate how systemic risk is affected by the structure of the …

Systemic risk is a key concern for central banks charged with safeguarding overall financial
stability. In this paper we investigate how systemic risk is affected by the structure of the …

Crisis events such as the 1987 stock market crash, the Asian Crisis and the bursting of the
Dot-Com bubble have radically changed the view that extreme events in financial markets …

To control and price negative externalities in passenger road transport, we develop an
innovative and integrated computational agent-based economics (ACE) model to simulate a …

It has been widely accepted that herding is the consequence of mimetic responses by
agents interacting locally on a communication network. In extant models, this communication …

The volatility surface implied by option prices presents a structure that changes over time.
The aim of this study is to present a framework to model the implied volatility of the FTSE …

In 2000, Ait-Sahalia and Lo have argued that Economic VaR (E-VaR) calculated under
option market implied risk neutral density (RND) is a more relevant measure of risk than …

The 1987 stock market crash, the LTCM debacle, the Asian Crisis, the bursting of the high
technology Dot-Com bubble of 2001-2 with 30% losses of equity values, events such as 9/11 …

In this paper, we report on the main building blocks of an ongoing project to develop a
computational agent-based simulator for a generic real-time large-value interbank payment …

The purpose of this paper is to show how agent-based simulations of payment systems can
be used to aid central bankers and payment system operators in thinking about the …