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- Blog Post: TheFinancialServicesClub: Suits or jeans, canapés or pizzas? The fintech shuffle moves on ...
- Press Release October 7, 2014: Bitcoin Foundation Financial Standards Working Group Leads the Way for Mainstream Bitcoin Adoption | The Bitcoin Foundation
- Blog Post: iMFdirect: Legacies, Clouds and Uncertainties
- Survivorship Bias
- Research - MoneyScience
- MoneyScience: MoneyScience's event: Islamic Banking and Finance Conference
- MoneyScience: MoneyScience's event: Frankfurt MathFinance Conference
- The Rise and Rise of Bitcoin [#SIBOS #SIBOS2014 #Innotribe] - The Financial Services Club's blog - MoneyScience
- Catching Lightning in a Bottle: How Merrill Lynch Revolutionized the Financial World - MoneyScience
- Published / Preprint: Mean-variance hedging based on an incomplete market with external risk factors of non-Gaussian OU processes. (arXiv:1410.0991v1 [math.PR])
- Published / Preprint: Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models. (arXiv:1410.1101v1 [stat.CO])
- Published / Preprint: Dynamic Investment Portfolio Optimization under Constraints in the Financial Market with Regime Switching using Model Predictive Control. (arXiv:1410.1136v1 [q-fin.PM])
- Published / Preprint: Explicit solutions of quadratic FBSDEs arising from quadratic term structure models. (arXiv:1410.1220v1 [q-fin.MF])
- Published / Preprint: Rationality parameter for exercising American put. (arXiv:1410.1287v1 [q-fin.MF])
- Published / Preprint: On volatility smile and an investment strategy with out-of-the-money calls. (arXiv:1410.1426v1 [q-fin.MF])
- Published / Preprint: Optimal execution of ASR contracts with fixed notional. (arXiv:1410.1481v1 [q-fin.TR])
- Published / Preprint: 06Oct/Proposals to improve the operational risk capital framework released by the Basel Committee
- Economics - Prizes in Economics - Wiley Online Library
- A General Duality Relation with Applications in Quantitative Risk Management. (arXiv:1410.0852v1 [q-fin.RM]) - Quantitative Finance at arXiv's blog - MoneyScience
- What Should the Cost of Equity Be to Value Investors? - The Aleph Blog's blog - MoneyScience
- Published / Preprint: Fair bilateral prices in Bergman's model. (arXiv:1410.0673v1 [q-fin.MF])
- Published / Preprint: Stability of Utility Maximization in Nonequivalent Markets. (arXiv:1410.0915v1 [q-fin.PM])
- Published / Preprint: An expansion in the model space in the context of utility maximization. (arXiv:1410.0946v1 [q-fin.PM])
| Posted: 07 Oct 2014 07:59 AM PDT I had a realisation over the past two weeks of conferences. Having attended Finovate, SIBOS, Innotribe, a Financial Services Club meeting on cryptocurrencies and several dinners with bankers, we are at an impasse.read more... Visit MoneyScience for the Complete Article. |
| Posted: 07 Oct 2014 07:27 AM PDT Bitcoin Foundation Launches Financial Standards Working Group to Apply for XBT as ISO 4217 Currency Code https://t.co/d72HH0n8L1 — Jon Matonis (@jonmatonis)… Visit MoneyScience for the Complete Article. |
| Blog Post: iMFdirect: Legacies, Clouds and Uncertainties Posted: 07 Oct 2014 07:09 AM PDT By Olivier Blanchardread more... Visit MoneyScience for the Complete Article. |
| Posted: 07 Oct 2014 05:48 AM PDT Survivorship Bias: http://t.co/ybijPpgxC2 via @notsmartblog — Jean-François Puget (@JFPuget) October 7, 2014 Visit MoneyScience for the Complete Article. |
| Posted: 07 Oct 2014 04:42 AM PDT Financial Reearch at MoneyScience - http://t.co/bzdCXJ6OjF — moneyscience (@moneyscience) October 7, 2014 Visit MoneyScience for the Complete Article. |
| MoneyScience: MoneyScience's event: Islamic Banking and Finance Conference Posted: 07 Oct 2014 02:36 AM PDT Event - Islamic Banking and Finance Conference - 29th April 2015 - London, UK http://t.co/I2wYWTTtYa — moneyscience (@moneyscience) October 6, 2014 Visit MoneyScience for the Complete Article. |
| MoneyScience: MoneyScience's event: Frankfurt MathFinance Conference Posted: 07 Oct 2014 02:36 AM PDT Event - Frankfurt MathFinance Conference - 23-24 March 2015, Frankfurt, Germany http://t.co/TxJmhFtejY — moneyscience (@moneyscience) October 5, 2014 Visit MoneyScience for the Complete Article. |
| Posted: 07 Oct 2014 02:36 AM PDT .@Chris_Skinner - The Rise and Rise of Bitcoin [#SIBOS #SIBOS2014 #Innotribe] http://t.co/WlWsiANj3p — moneyscience (@moneyscience) September 30, 2014 Visit MoneyScience for the Complete Article. |
| Catching Lightning in a Bottle: How Merrill Lynch Revolutionized the Financial World - MoneyScience Posted: 07 Oct 2014 02:05 AM PDT New book! Catching Lightning in a Bottle: How Merrill Lynch Revolutionized the Financial World http://t.co/Ug7ln5BBWN via @wiley_finance — moneyscience… Visit MoneyScience for the Complete Article. |
| Posted: 06 Oct 2014 05:38 PM PDT In this paper, we prove the global risk optimality of the hedging strategy of contingent claim, which is explicitly (or called semi-explicitly) constructed for an incomplete financial market with external risk factors of non-Gaussian Ornstein-Uhlenbeck (NGOU) processes. Analytical and numerical examples are both presented to illustrate the effectiveness of our optimal strategy. Our... Visit MoneyScience for the Complete Article. |
| Posted: 06 Oct 2014 05:38 PM PDT In this paper we assume a multivariate risk model has been developed for a portfolio and its capital derived as a homogeneous risk measure. The Euler (or gradient) principle, then, states that the capital to be allocated to each component of the portfolio has to be calculated as an expectation conditional to a rare event, which can be challenging to evaluate in practice. We exploit the... Visit MoneyScience for the Complete Article. |
| Posted: 06 Oct 2014 05:38 PM PDT In this work, we consider the optimal portfolio selection problem under hard constraints on trading volume amounts when the dynamics of the risky asset returns are governed by a discrete-time approximation of the Markov-modulated geometric Brownian motion. The states of Markov chain are interpreted as the states of an economy. The problem is stated as a dynamic tracking problem of a reference... Visit MoneyScience for the Complete Article. |
| Posted: 06 Oct 2014 05:38 PM PDT We provide explicit solutions of certain forward-backward stochastic differential equations (FBSDEs) with quadratic growth. These particular FBSDEs are associated with quadratic term structure models of interest rates and characterize the zero-coupon bond price. The results of this paper are naturally related to similar results on affine term structure models of Hyndman (Math. Financ. Econ.... Visit MoneyScience for the Complete Article. |
| Posted: 06 Oct 2014 05:38 PM PDT The main result of this paper is a probabilistic proof of the penalty method for approximating the price of an American put in the Black-Scholes market. The method gives a parametrized family of partial differential equations, and by varying the parameter the corresponding solutions converge to the price of an American put. For each PDE the parameter may be interpreted as a rationality parameter... Visit MoneyScience for the Complete Article. |
| Posted: 06 Oct 2014 05:38 PM PDT A motivating question in this paper is whether a sensible investment strategy may systematically contain long positions in out-of-the-money European calls with short expiry. Here we consider a very simple trading strategy for calls. The main points of this note are the following. First, the presented trading strategy appears very lucrative in the Black-Scholes-Merton (BSM) framework. In fact, it... Visit MoneyScience for the Complete Article. |
| Posted: 06 Oct 2014 05:38 PM PDT Be it for taking advantage of stock undervaluation or in order to distribute part of their profits to shareholders, firms may buy back their own shares. One of the way they proceed is by including Accelerated Share Repurchases (ASR) as part of their repurchase programs. In this article, we study the pricing and optimal execution strategy of an ASR contract with fixed notional. In such a contract... Visit MoneyScience for the Complete Article. |
| Posted: 06 Oct 2014 06:06 AM PDT Press release about the Basel Committee releasing a proposals to improve the operational risk capital framework (6 October 2014) Visit MoneyScience for the Complete Article. |
| Economics - Prizes in Economics - Wiley Online Library Posted: 06 Oct 2014 04:59 AM PDT Vasco M. Carvalho wins 2014 Wiley Prize for outstanding early career research in economics http://t.co/GsaorbRKJE @wiley_finance — moneyscience (@moneyscience)… Visit MoneyScience for the Complete Article. |
| Posted: 06 Oct 2014 03:56 AM PDT Research: A General Duality Relation with Applications in Quantitative Risk Management. (arXiv:1410.0852v1 [q-... http://t.co/8wI2D5q2oQ — moneyscience… Visit MoneyScience for the Complete Article. |
| What Should the Cost of Equity Be to Value Investors? - The Aleph Blog's blog - MoneyScience Posted: 06 Oct 2014 03:56 AM PDT .@AlephBlog - What Should the Cost of Equity Be to Value Investors? http://t.co/V9MJ8fV37y — moneyscience (@moneyscience) October 5, 2014 Visit MoneyScience for the Complete Article. |
| Published / Preprint: Fair bilateral prices in Bergman's model. (arXiv:1410.0673v1 [q-fin.MF]) Posted: 05 Oct 2014 05:38 PM PDT Bielecki and Rutkowski (2014) introduced and studied a generic nonlinear market model, which includes several risky assets, multiple funding accounts and margin accounts. In this paper, we examine the pricing and hedging of contract both from the perspective of the hedger and the counterparty with arbitrary initial endowments. We derive inequalities for unilateral prices and we give the range for... Visit MoneyScience for the Complete Article. |
| Posted: 05 Oct 2014 05:38 PM PDT Stability of the utility maximization problem with random endowment and indifference prices is studied for a sequence of financial markets in an incomplete Brownian setting. Our novelty lies in the nonequivalence of markets, in which the volatility of asset prices (as well as the drift) varies. Degeneracies arise from the presence of nonequivalence. In the positive real line utility framework, a... Visit MoneyScience for the Complete Article. |
| Posted: 05 Oct 2014 05:38 PM PDT In the framework of an incomplete financial market where the stock price dynamics are modeled by a continuous semimartingale, an explicit first-order expansion formula for the power investor's value function - seen as a function of the underlying market price of risk process - is provided and its second-order error is quantified. Two specific calibrated numerical examples illustrating the... Visit MoneyScience for the Complete Article. |
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