MoneyScience News |
- Blog Post: TheFinancialServicesClub: We are not Borg, we are Human and dancing to a different tune
- Published / Preprint: 30Apr/Point of Sale disclosure in the insurance, banking and securities sectors - final report published by the Joint Forum
- Blog Post: TheAlephBlog: On a Letter From A Younger Friend
- Published / Preprint: Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes. (arXiv:1404.7314v1 [q-fin.PR])
- Published / Preprint: Facilitation and Internalization Optimal Strategy in a Multilateral Trading Context. (arXiv:1404.7320v1 [q-fin.TR])
- Published / Preprint: Analysis of a decision model in the context of equilibrium pricing and order book pricing. (arXiv:1404.7356v1 [q-fin.TR])
- Published / Preprint: Sell the news? A news-driven model of the stock market. (arXiv:1404.7364v1 [q-fin.GN])
- Published / Preprint: The Italian Crisis and Producer Households Debt: a Source of Stability? A Reproducible Research. (arXiv:1404.7377v1 [q-fin.EC])
- Published / Preprint: Stochastic Perron's Method for the Probability of lifetime ruin problem under transaction costs. (arXiv:1404.7406v1 [math.OC])
- Published / Preprint: The least squares method for option pricing revisited. (arXiv:1404.7438v1 [q-fin.CP])
- Published / Preprint: Impulse Control of a Diffusion with a Change Point. (arXiv:1404.1761v1 [math.OC] CROSS LISTED)
- Vendor News: April 29, 2014 - Virtus Investment Partners Selects SS&C for Middle- and Back- Office Services
| Blog Post: TheFinancialServicesClub: We are not Borg, we are Human and dancing to a different tune Posted: 30 Apr 2014 03:12 AM PDT Building to the theme of the divide between the old world of finance and the new, and why (some) banks aren't fit for the 21st century, brings a few more points to mind, in particular about control and centralisation.read more... Visit MoneyScience for the Complete Article. |
| Posted: 30 Apr 2014 02:06 AM PDT Press release about the Joint Forum publishing the final report on "Point of Sale disclosure in the insurance, banking and securities sectors" (21 April 2014) Visit MoneyScience for the Complete Article. |
| Blog Post: TheAlephBlog: On a Letter From A Younger Friend Posted: 29 Apr 2014 09:59 PM PDT A younger friend of mine sent me an email asking for investment advice. Â Here is the redacted version of it:read more... Visit MoneyScience for the Complete Article. |
| Posted: 29 Apr 2014 05:31 PM PDT We develop an arbitrage-free framework for consistent valuation of derivative trades with collateralization, counterparty credit gap risk, and funding costs, following the approach first proposed by Pallavicini and co-authors in 2011. Based on the risk-neutral pricing principle, we derive a general pricing equation where Credit, Debit, Liquidity and Funding Valuation Adjustments (CVA, DVA, LVA... Visit MoneyScience for the Complete Article. |
| Posted: 29 Apr 2014 05:31 PM PDT This paper studies four trading algorithms of a professional trader at a multilateral trading facility, observing a realistic two-sided limit order book whose dynamics are driven by the order book events. The identity of the trader can be either internalizing or regular, either a hedge fund or a brokery agency. The speed and cost of trading can be balanced by properly choosing active strategies... Visit MoneyScience for the Complete Article. |
| Posted: 29 Apr 2014 05:31 PM PDT An agent-based model for financial markets has to incorporate two aspects: decision making and price formation. We introduce a simple decision model and consider its implications in two different pricing schemes. First, we study its parameter dependence within a supply-demand balance setting. We find realistic behavior in a wide parameter range. Second, we embed our decision model in an order... Visit MoneyScience for the Complete Article. |
| Posted: 29 Apr 2014 05:31 PM PDT We attempt to explain stock market dynamics in terms of the interaction among three variables: market price, investor opinion and information flow. We propose a framework for such interaction upon which are based two models of stock market dynamics: the model for empirical study and its extended version for theoretical study. We demonstrate that these models replicate observed stock market... Visit MoneyScience for the Complete Article. |
| Posted: 29 Apr 2014 05:31 PM PDT The European Credit Research Institute Research Report 2013 identifies Households debt "rapid increase and abrupt retrenchment" among the causes of macroeconomic instability in the European Union after 2008. In our research: i) we accessed the Bank of Italy Online Statistical Database on Customers and Risk for Producer Households and Non-Financial Corporations with R Sweave open access... Visit MoneyScience for the Complete Article. |
| Posted: 29 Apr 2014 05:31 PM PDT We apply stochastic Perron's method to a singular control problem where an individual targets at a given consumption rate, invests in a risky financial market in which trading is subject to proportional transaction costs, and seeks to minimize her probability of lifetime ruin. Without relying on the dynamic programming principle (DPP), we characterize the value function as the unique viscosity... Visit MoneyScience for the Complete Article. |
| Posted: 29 Apr 2014 05:31 PM PDT It is shown that the the popular least squares method of option pricing converges even if the underlying is non-Markovian, the pay-offs are path dependent and with a very flexible setup for approximation of conditional expectations. The main benefit is the increase of freedom in creating specific implementations of the method, but depending on the extent of adopted generality and complexity, the... Visit MoneyScience for the Complete Article. |
| Posted: 29 Apr 2014 05:31 PM PDT This paper solves a Bayes sequential impulse control problem for a diffusion, whose drift has an unobservable parameter with a change point. The partially-observed problem is reformulated into one with full observations, via a change of probability measure which removes the drift. The optimal impulse controls can be expressed in terms of the solutions and the current values of a Markov process... Visit MoneyScience for the Complete Article. |
| Posted: 29 Apr 2014 06:08 AM PDT |
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