MoneyScience News |
- Research Library: The Pricing of Options and Corporate Liabilities (pdf, 1973)
- Worth another mention: The Black-Scholes Formula: A Documentary http://t.co/sAFRGy2M #quant #risk #derivatives
- RT @hftreview: Running a Proprietary HFT Firm: An interview with Raj Fernando and Leslie Sutphenread more... http://t.co/onoftxiI #hft
- RT @WB_Finance: Why you don't get published: an editorâs view http://t.co/a2ip6h6d
- RT @WB_Finance: Why you donât get published: an editorâs view http://t.co/SHE45kKM
- RT @hftreview: Running a Proprietary HFT Firm: An interview with Raj Fernando and Leslie Sutphenread more... http://t.co/y1bQ8YjP #hft
- Blog Post: TheReformedBroker: Goldman Guy Goes Rogue
- Published / Preprint: Log-normal continuous cascade model of asset returns: aggregation properties and estimation
- RT @TandF_Economics We are offering 7 days FREE ACCESS to 4 top Finance Journals! Sign in / register to start yo... http://t.co/RUSTFtKG
- Blog Post: RobertPestonBlog: Should Osborne borrow for 100 years?
- Blog Post: HighFrequencyTradingReview: Running a Proprietary HFT Firm
- The Financial Education Daily is out! http://t.co/TYlzia3F ⸠Top stories today via @DCULINK @MITSloan @EsadeExed
- Blog Post: TheFinancialServicesClub: Things worth reading, the European view
- The UK government is considering issuing a new long-term 'super bond# - http://t.co/mNbcHZGa #tcm
- Blog Post: TheAlephBlog: Dishonest Annuity Advertisement
- Blog Post: Falkenblog: That Which Doesn't Kill Us Makes Us Stonger
- Published / Preprint: On the closure in the Emery topology of semimartingale wealth-process sets. (arXiv:1108.0945v2 [q-fin.PM] UPDATED)
- Blog Post: FINalternatives: Goldman Appeals $20.6 Million Bayou Award
- Blog Post: AllAboutAlpha: John Bogle, Topsy Co-Founder Rishab Ghosh Speak at Bloomberg Conference
- The Black-Scholes Formula: A Documentary - http://t.co/sAFRGy2M #derivatives #quant #finance
- Blog Post: TimingLogic: Apple's Stock Now Worth More Than All The Publicly-Traded Companies In Italy
- The Black-Scholes Formula: A Documentary
- eBook - Rebuilding the Global Banking Industry: Scenarios for the Next Decade of Banking
- Published / Preprint: Cover
- Published / Preprint: Editorial Board
- Published / Preprint: Forthcoming Articles
- Published / Preprint: Table of Contents
- Published / Preprint: Financial Leverage, Corporate Investment, and Stock Returns
- Published / Preprint: The Hazards of Debt: Rollover Freezes, Incentives, and Bailouts
- Published / Preprint: Precarious Politics and Return Volatility
- Published / Preprint: The Same Bond at Different Prices: Identifying Search Frictions and Selling Pressures
- Published / Preprint: Bond Liquidity Premia
- Published / Preprint: Finding a Good Price in Opaque Over-the-Counter Markets
- Published / Preprint: Treating Measurement Error in Tobin's q
- RT @KBAssociatesLDN Hedge Funds Review: Interview with Phillip Chapple on the Hedge Fund startup market: http://t.co/MlIXElzl
- HSBC Bank Canada has established a new scholarship program for female business undergraduates at eight universities http://t.co/VslSdWiN
- Established business schools have been reluctant to launch online degrees, until now - http://t.co/47I8g0S5
- Avoid 7 Deadly Sins of Business School Applicants - former admissions dean - http://t.co/ZsGtd33e
- Focus on new collateral management solutions intensifies - http://t.co/4wTZXRTo #tcm
- Send #MiFID II back to the drawing board ' Comments today at FIX Protocol EMEA conference in London http://t.co/aWA1Nyd2 #tcm
- Banks Team Up to Cut Technology Spending Burden
- Market Fraudsters vs. the Genuine(rs): Who's Winning? http://t.co/F1zyoSLu #tcm #risk
- Video - EU finance ministers debate financial transaction tax
- What is it that turns an ordinary student into an Erasmus student? http://t.co/JNDeXxiD
- Blog Post: substructural: no title
- Documentary Trailer: Four Horsemen
- Published / Preprint: The Procyclical Effects of Bank Capital Regulation (CEPR DP8897)
| Research Library: The Pricing of Options and Corporate Liabilities (pdf, 1973) Posted: 14 Mar 2012 05:11 AM PDT Fischer Black University of Chicago Myron Scholes Massachusetts Institute of Technology Journal of Political Economy, 1973 Abstract If options are correctly priced in the market, it should not be possible to make sure profits by creating portfolios of long and short positions in options and underlying stocks. Using this principal, a theoretical valuation formula for options is derived.... Visit MoneyScience for the Complete Article.      |
| Posted: 14 Mar 2012 04:56 AM PDT BusinessSchools: Worth another mention: The Black-Scholes Formula: A Documentary http://t.co/sAFRGy2M #quant #risk #derivatives Visit MoneyScience for the Complete Article.    |
| Posted: 14 Mar 2012 03:54 AM PDT moneyscience: RT @hftreview: Running a Proprietary HFT Firm: An interview with Raj Fernando and Leslie Sutphenread more... http://t.co/onoftxiI #hft Visit MoneyScience for the Complete Article.    |
| RT @WB_Finance: Why you don't get published: an editorâs view http://t.co/a2ip6h6d Posted: 14 Mar 2012 03:54 AM PDT moneyscience: RT @WB_Finance: Why you don’t get published: an editor’s view http://t.co/a2ip6h6d Visit MoneyScience for the Complete Article.    |
| RT @WB_Finance: Why you donât get published: an editorâs view http://t.co/SHE45kKM Posted: 14 Mar 2012 03:54 AM PDT BusinessSchools: RT @WB_Finance: Why you don’t get published: an editor’s view http://t.co/SHE45kKM Visit MoneyScience for the Complete Article.    |
| Posted: 14 Mar 2012 03:52 AM PDT fin_tech: RT @hftreview: Running a Proprietary HFT Firm: An interview with Raj Fernando and Leslie Sutphenread more... http://t.co/y1bQ8YjP #hft Visit MoneyScience for the Complete Article.    |
| Blog Post: TheReformedBroker: Goldman Guy Goes Rogue Posted: 14 Mar 2012 03:41 AM PDT Whoa. Visit MoneyScience for the Complete Article.    |
| Posted: 14 Mar 2012 03:19 AM PDT Quantitative Finance, Volume 0, Issue 0, Page 1-24, Ahead of Print. Visit MoneyScience for the Complete Article.    |
| Posted: 14 Mar 2012 03:02 AM PDT moneyscience: RT @TandF_Economics We are offering 7 days FREE ACCESS to 4 top Finance Journals! Sign in / register to start yo... http://t.co/RUSTFtKG Visit MoneyScience for the Complete Article.    |
| Blog Post: RobertPestonBlog: Should Osborne borrow for 100 years? Posted: 14 Mar 2012 02:26 AM PDT Is it sensible long-term planning or hubris?read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: HighFrequencyTradingReview: Running a Proprietary HFT Firm Posted: 14 Mar 2012 02:03 AM PDT An interview with Raj Fernando and Leslie Sutphenread more... Visit MoneyScience for the Complete Article.    |
| Posted: 14 Mar 2012 12:32 AM PDT BusinessSchools: The Financial Education Daily is out! http://t.co/TYlzia3F â–¸ Top stories today via @DCULINK @MITSloan @EsadeExed Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: Things worth reading, the European view Posted: 13 Mar 2012 11:58 PM PDT Financial Services Club member and good colleague Edith Rigler has started to look for key headline grabbing views from the German / European media that is aligned with the Financial Services Club's common themes of future banking, regulation, the Eurozone, payments, investment markets, retail banking and future technologies.read more... Visit MoneyScience for the Complete Article.    |
| The UK government is considering issuing a new long-term 'super bond# - http://t.co/mNbcHZGa #tcm Posted: 13 Mar 2012 11:57 PM PDT moneyscience: The UK government is considering issuing a new long-term 'super bond# - http://t.co/mNbcHZGa #tcm Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: Dishonest Annuity Advertisement Posted: 13 Mar 2012 10:00 PM PDT Those that have read me for a long time know that I am a proponent of immediate annuities. Though they pay a fixed stream of income, they are more useful than bonds, because they provide longevity insurance; they can be tailored to prove an income that you can’t outlive, for you and your spouse.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: That Which Doesn't Kill Us Makes Us Stonger Posted: 13 Mar 2012 07:02 PM PDT Yesterday the Fed announced most of the big banks passed their stress tests, and so there was a huge bank rally at the end of the day. What was amusing was this little line from those sneaky anti-capitalist news reporters at the WSJ:The stress-test resultsâ€"together with signs that bank lending is perking up in the U.S.â€"suggest the unpopular bailouts of 2008 and 2009 helped to stabilize the... Visit MoneyScience for the Complete Article.    |
| Posted: 13 Mar 2012 05:34 PM PDT A wealth-process set is abstractly defined to consist of nonnegative cadlag processes containing a strictly positive semimartingale and satisfying an intuitive re-balancing property. Under the condition of absence of arbitrage of the first kind, it is established that all wealth processes are semimartingales, and that the closure of the wealth-process set in the Emery topology contains all... Visit MoneyScience for the Complete Article.    |
| Blog Post: FINalternatives: Goldman Appeals $20.6 Million Bayou Award Posted: 13 Mar 2012 05:22 PM PDT Goldman Sachs has appealed a large arbitration award it was ordered to pay creditors of fraudulent hedge fund Bayou Group two years ago.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: AllAboutAlpha: John Bogle, Topsy Co-Founder Rishab Ghosh Speak at Bloomberg Conference Posted: 13 Mar 2012 05:14 PM PDT AllAboutAlpha.com attends and reports on a Bloomberg "Manager Mash-up." Vanguard's John Bogle tells a few "truths" and Topsy Founder Rishab Ghosh talks Twitter. Visit MoneyScience for the Complete Article.    |
| The Black-Scholes Formula: A Documentary - http://t.co/sAFRGy2M #derivatives #quant #finance Posted: 13 Mar 2012 01:54 PM PDT BusinessSchools: The Black-Scholes Formula: A Documentary - http://t.co/sAFRGy2M #derivatives #quant #finance Visit MoneyScience for the Complete Article.    |
| Blog Post: TimingLogic: Apple's Stock Now Worth More Than All The Publicly-Traded Companies In Italy Posted: 13 Mar 2012 01:38 PM PDT On a day where Apple’s stock is up another $16, I thought I would pay homage to the brilliant financial masters of the universe who have brilliantly valued Apple and other financial assets to perfection. Did I mention how brilliant Wall Street is? Just want to make sure I give them due credit for being brilliant. Because brilliance is truly a hot commodity in the world... Visit MoneyScience for the Complete Article.    |
| The Black-Scholes Formula: A Documentary Posted: 13 Mar 2012 01:37 PM PDT This documentary from the BBC's Horizon program charts the history behind perhaps the most important formula in finance: the Black-Scholes-Merton options pricing model. Two of its creators were awarded the Nobel Prize in Economics in 1997 and only a year later their hedge fund Long Term Capital Management (LTCM) had collapsed with staggering losses of $100 billion due to significant leverage... Visit MoneyScience for the Complete Article.    |
| eBook - Rebuilding the Global Banking Industry: Scenarios for the Next Decade of Banking Posted: 13 Mar 2012 01:19 PM PDT read more... Visit MoneyScience for the Complete Article.    |
| Posted: 13 Mar 2012 12:58 PM PDT    |
| Published / Preprint: Editorial Board Posted: 13 Mar 2012 12:58 PM PDT    |
| Published / Preprint: Forthcoming Articles Posted: 13 Mar 2012 12:58 PM PDT    |
| Published / Preprint: Table of Contents Posted: 13 Mar 2012 12:58 PM PDT    |
| Published / Preprint: Financial Leverage, Corporate Investment, and Stock Returns Posted: 13 Mar 2012 12:58 PM PDT This article rationalizes empirical patterns of market leverage, book leverage, book-to-market ratios, and stock returns across different book-to-market portfolios, using a model of firm financing and investment. The model analytically shows that tax deductibility of interest payments increases effective investment irreversibility and that investment irreversibility weakens the relation between... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The Hazards of Debt: Rollover Freezes, Incentives, and Bailouts Posted: 13 Mar 2012 12:58 PM PDT We investigate the trade-off between incentive provision and inefficient rollover freezes for a firm financed with short-term debt. First, debt maturity that is too short-term is inefficient, even with incentive provision. The optimal maturity is an interior solution that avoids excessive rollover risk while providing sufficient incentives for the manager to avoid risk-shifting when the firm is... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Precarious Politics and Return Volatility Posted: 13 Mar 2012 12:58 PM PDT We examine how local and global political risks affect industry return volatility. Our central premise is that some industries are more sensitive to political events than others. We find that industries that are more dependent on trade, contract enforcement, and labor exhibit greater return volatility when local political risks are higher. Political uncertainty in countries of trading partners of... Visit MoneyScience for the Complete Article.    |
| Posted: 13 Mar 2012 12:58 PM PDT I propose a new measure that identifies when the market price of an over-the-counter traded asset is below its fundamental value due to selling pressure. The measure is the difference between prices paid by small traders and those paid by large traders. In a model for over-the-counter trading with search frictions and periods with selling pressures, I show that this measure identifies liquidity... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Bond Liquidity Premia Posted: 13 Mar 2012 12:58 PM PDT Theory predicts that funding conditions faced by financial intermediaries are an important limit to arbitrage. We identify and measure the value of funding liquidity from the cross-section of Treasury securities. To validate our interpretation, we establish linkages with funding conditions in the repo market, the shadow banking sector, and the overall economy. Looking at asset pricing... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Finding a Good Price in Opaque Over-the-Counter Markets Posted: 13 Mar 2012 12:58 PM PDT This article offers a dynamic model of opaque over-the-counter markets. A seller searches for an attractive price by visiting multiple buyers, one at a time. The buyers do not observe contacts, quotes, or trades elsewhere in the market. A repeat contact with a buyer reveals the seller's reduced outside options and worsens the price offered by the revisited buyer. When the asset value is uncertain... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Treating Measurement Error in Tobin's q Posted: 13 Mar 2012 12:58 PM PDT We compare the ability of three measurement error remedies to deliver unbiased estimates of coefficients in investment regressions. We examine high-order moment estimators, dynamic panel estimators, and simple instrumental variables estimators that use lagged mismeasured regressors as instruments. We show that recent investigations of this question are largely uninformative. We find that all... Visit MoneyScience for the Complete Article.    |
| Posted: 13 Mar 2012 11:28 AM PDT BusinessSchools: RT @KBAssociatesLDN Hedge Funds Review: Interview with Phillip Chapple on the Hedge Fund startup market: http://t.co/MlIXElzl Visit MoneyScience for the Complete Article.    |
| Posted: 13 Mar 2012 11:10 AM PDT BusinessSchools: HSBC Bank Canada has established a new scholarship program for female business undergraduates at eight universities http://t.co/VslSdWiN Visit MoneyScience for the Complete Article.    |
| Posted: 13 Mar 2012 11:10 AM PDT BusinessSchools: Established business schools have been reluctant to launch online degrees, until now - http://t.co/47I8g0S5 Visit MoneyScience for the Complete Article.    |
| Avoid 7 Deadly Sins of Business School Applicants - former admissions dean - http://t.co/ZsGtd33e Posted: 13 Mar 2012 11:10 AM PDT BusinessSchools: Avoid 7 Deadly Sins of Business School Applicants - former admissions dean - http://t.co/ZsGtd33e Visit MoneyScience for the Complete Article.    |
| Focus on new collateral management solutions intensifies - http://t.co/4wTZXRTo #tcm Posted: 13 Mar 2012 10:13 AM PDT fin_tech: Focus on new collateral management solutions intensifies - http://t.co/4wTZXRTo #tcm Visit MoneyScience for the Complete Article.    |
| Posted: 13 Mar 2012 10:13 AM PDT fin_tech: Send #MiFID II back to the drawing board â€" Comments today at FIX Protocol EMEA conference in London http://t.co/aWA1Nyd2 #tcm Visit MoneyScience for the Complete Article.    |
| Banks Team Up to Cut Technology Spending Burden Posted: 13 Mar 2012 09:54 AM PDT Investment banks are beginning to share development costs for back office and regulatory compliance systems.read more... Visit MoneyScience for the Complete Article.    |
| Market Fraudsters vs. the Genuine(rs): Who's Winning? http://t.co/F1zyoSLu #tcm #risk Posted: 13 Mar 2012 09:49 AM PDT fin_tech: Market Fraudsters vs. the Genuine(rs): Who's Winning? http://t.co/F1zyoSLu #tcm #risk Visit MoneyScience for the Complete Article.    |
| Video - EU finance ministers debate financial transaction tax Posted: 13 Mar 2012 09:37 AM PDT EU finance ministers are meeting in Brussels to discuss a proposed European financial transaction tax.read more... Visit MoneyScience for the Complete Article.    |
| What is it that turns an ordinary student into an Erasmus student? http://t.co/JNDeXxiD Posted: 13 Mar 2012 08:45 AM PDT BusinessSchools: What is it that turns an ordinary student into an Erasmus student? http://t.co/JNDeXxiD Visit MoneyScience for the Complete Article.    |
| Blog Post: substructural: no title Posted: 13 Mar 2012 08:19 AM PDT Preferred stocks have risen considerably from their lows last year. In fact, PFF (US Preferreds) outperformed the S&P 500 by 130 basis points excluding dividends. Given that the lion's share of the preferreds universe is financial, this isn't too surprising. The flip side of this rise is that preferreds are getting close even not having already exceeded their call price. Of the top 5 holdings... Visit MoneyScience for the Complete Article.    |
| Documentary Trailer: Four Horsemen Posted: 13 Mar 2012 08:10 AM PDT 'Can we turn a free market into a fair market?' asks this New Scientist review of the documentary Four Horsemen which has been made by film-maker Ross Ashcroft, the man behind radical economy website Renegade Economist, and features interviews with a broad swathe of economists from Joseph Stiglitz to Noam Chomsky to Gillian Tett.read more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The Procyclical Effects of Bank Capital Regulation (CEPR DP8897) Posted: 13 Mar 2012 06:47 AM PDT The Procyclical Effects of Bank Capital Regulation Author(s): Rafael Repullo, Javier Suarez CEPR Discussion Paper Number 8897 Paper Details | PDF Download* | Purchase Electronic | Purchase Printed Programme Area(s): Financial Economics (FE) Date of Publication: 12/03/2012 Keyword(s): Banking regulation, Basel capital requirements, Capital market frictions, Credit rationing, Loan... Visit MoneyScience for the Complete Article.    |
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