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- Published / Preprint: 15Jun/Basel III implementation assessments of India and South Africa published by Basel Committee
- Blog Post: Luigi.Ballabio: Chapter 8, part 1 of n: the finite-differences framework.
- Published / Preprint: Numerical analysis on local risk-minimization forexponential L\'evy models. (arXiv:1506.03898v1 [q-fin.CP])
- Published / Preprint: On the Characteristics of the Free Market in a Cooperative Society. (arXiv:1506.03917v1 [q-fin.EC])
- Published / Preprint: Optimal Skorokhod embedding under finitely-many marginal constraints. (arXiv:1506.04063v1 [math.PR])
- Published / Preprint: A risk management approach to capital allocation. (arXiv:1506.04125v1 [q-fin.RM])
- Blog Post: iMFdirect: Greece: A Credible Deal Will Require Difficult Decisions By All Sides
| Posted: 15 Jun 2015 02:16 AM PDT Press release about Basel III implementation assessments of India and South Africa by the Basel Committee (15 June 2015) Visit MoneyScience for the Complete Article. |
| Blog Post: Luigi.Ballabio: Chapter 8, part 1 of n: the finite-differences framework. Posted: 14 Jun 2015 10:35 PM PDT |
| Posted: 14 Jun 2015 05:37 PM PDT We illustrate how to compute local risk minimization (LRM) of call options for exponential L\'evy models. We have previously obtained a representation of LRM for call options; here we transform it into a form that allows use of the fast Fourier transform method suggested by Carr & Madan. In particular, we consider Merton jump-diffusion models and variance gamma models as... Visit MoneyScience for the Complete Article. |
| Posted: 14 Jun 2015 05:37 PM PDT The key characteristic of a true free market economy is that exchanges are entirely voluntary. When there is a monopoly in the creation of currency as we have in today's markets, you no longer have a true free market. Features of the current economic system such as central banking and taxation would be nonexistent in a free market. This paper examines how currency monopoly leads to the... Visit MoneyScience for the Complete Article. |
| Posted: 14 Jun 2015 05:37 PM PDT The Skorokhod embedding problem aims to represent a given probability measure on the real line as the distribution of Brownian motion stopped at a chosen stopping time. In this paper, we consider an extension of the optimal Skorokhod embedding problem to the case of finitely-many marginal constraints. Using the classical convex duality approach together with the optimal stopping theory, we obtain... Visit MoneyScience for the Complete Article. |
| Posted: 14 Jun 2015 05:37 PM PDT The European insurance sector will soon be faced with the application of Solvency 2 regulation norms. It will create a real change in risk management practices. The ORSA approach of the second pillar makes the capital allocation an important exercise for all insurers and specially for groups. Considering multi-branches firms, capital allocation has to be based on a multivariate risk modeling.... Visit MoneyScience for the Complete Article. |
| Blog Post: iMFdirect: Greece: A Credible Deal Will Require Difficult Decisions By All Sides Posted: 14 Jun 2015 01:27 PM PDT By Olivier Blanchardread more... Visit MoneyScience for the Complete Article. |
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