MoneyScience News |
- Published / Preprint: Equivalence of interest rate models and lattice gases
- Blog Post: HighFrequencyTradingReview: Intilop Corporation announces release of 3rd generation 10G Ethernet MAC
- Blog Post: TheFinancialServicesClub: Goldman Sachs run the world
- Blog Post: TheAlephBlog: Easy in, Hard out
- Greek unrest after pensioner suicide beside parliament http://t.co/AwqDuD2c #tcm
- The Financial Education Daily is out! http://t.co/TYlzia3F ⸠Top stories today via @escpeurope @babsonmba @warwickbschool @henleymba
- RT @QFINANCEnews: Fear and loathing in London as Barnier taps consumer power http://t.co/mgM4FU6e
- Blog Post: TalesfromaTradingDesk: Bridgewater Principles ' Classic Reading
- Published / Preprint: Equivalence of interest rate models and lattice gases. (arXiv:1204.0915v1 [q-fin.CP])
- Published / Preprint: Impact-adjusted valuation and the criticality of leverage. (arXiv:1204.0922v1 [q-fin.GN])
- Blog Post: AllAboutAlpha: Endowments Should Prepare for Risks of Deflation
- Blog Post: TheReformedBroker: Things I'm Hearingâ¦
- Blog Post: frontrunthedelta: WTI Forward Curve: Where Abundant Supply Meets Geopolitical Uncertainty
- Blog Post: QFINANCE: Fear and loathing in London as Barnier taps consumer power
- Blog Post: FINalternatives: CT Hedge Fund Assoc. Welcomes International Members
- Blog Post: MagicMathsandMoney: Creation myths
- Financial Technology News Report is out! http://t.co/Jdseecpa : Top stories today via @fintechsteph @moonlightpr @fitzanalytics
| Published / Preprint: Equivalence of interest rate models and lattice gases Posted: 05 Apr 2012 05:04 AM PDT We consider the class of short rate interest rate models for which the short rate is proportional to the exponential of a Gaussian Markov process x(t) in the terminal measure r(t) = a(t) exp(x(t)). These models include the Black, Derman, Toy and Black, Karas 772 inski models in the terminal measure. We show that such interest rate models are equivalent with lattice gases with attractive two-body... Visit MoneyScience for the Complete Article.      |
| Posted: 05 Apr 2012 04:41 AM PDT Intilop’s newly released EMAC shatter’s the 20 nanosecond latency barrier.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: Goldman Sachs run the world Posted: 05 Apr 2012 03:50 AM PDT In wrapping up my TEDx Wall Street experience, there were a few other presenters who intrigued me. read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: Easy in, Hard out Posted: 05 Apr 2012 03:01 AM PDT My view is that there is no such thing as a free lunch, not even for governments or central banks. Any action taken may have benefits, but also imposes costs, even if those costs are imposed upon others. So it is for the Fed. At the beginning of 2008, they had a small, clean, low duration balance sheet on assets. Today the asset side of their balance sheet is much larger, long duration,... Visit MoneyScience for the Complete Article.    |
| Greek unrest after pensioner suicide beside parliament http://t.co/AwqDuD2c #tcm Posted: 05 Apr 2012 02:02 AM PDT moneyscience: Greek unrest after pensioner suicide beside parliament http://t.co/AwqDuD2c #tcm Visit MoneyScience for the Complete Article.    |
| Posted: 05 Apr 2012 12:58 AM PDT BusinessSchools: The Financial Education Daily is out! http://t.co/TYlzia3F â–¸ Top stories today via @escpeurope @babsonmba @warwickbschool @henleymba Visit MoneyScience for the Complete Article.    |
| RT @QFINANCEnews: Fear and loathing in London as Barnier taps consumer power http://t.co/mgM4FU6e Posted: 04 Apr 2012 10:18 PM PDT moneyscience: RT @QFINANCEnews: Fear and loathing in London as Barnier taps consumer power http://t.co/mgM4FU6e Visit MoneyScience for the Complete Article.    |
| Blog Post: TalesfromaTradingDesk: Bridgewater Principles ' Classic Reading Posted: 04 Apr 2012 08:25 PM PDT Point 98 is worth the read read more... Visit MoneyScience for the Complete Article.    |
| Posted: 04 Apr 2012 05:36 PM PDT We consider the class of short rate interest rate models for which the short rate is proportional to the exponential of a Gaussian Markov process x(t) in the terminal measure r(t) = a(t) exp(x(t)). These models include the Black, Derman, Toy and Black, Karasinski models in the terminal measure. We show that such interest rate models are equivalent with lattice gases with attractive two-body... Visit MoneyScience for the Complete Article.    |
| Posted: 04 Apr 2012 05:36 PM PDT The practice of valuation by marking-to-market with current trading prices is seriously flawed. Under leverage the problem is particularly dramatic: due to the concave form of market impact, selling always initially causes the expected leverage to increase. There is a critical leverage above which it is impossible to exit a portfolio without leverage going to infinity and bankruptcy... Visit MoneyScience for the Complete Article.    |
| Blog Post: AllAboutAlpha: Endowments Should Prepare for Risks of Deflation Posted: 04 Apr 2012 05:36 PM PDT Traditionally, the endowment model has involved holding illiquid assets, and benefitting from the premiums that markets pay institutions with a tolerance for illiquidity. Further, this self-image of endowments as buy-and-hold institutions leads to a de-emphasis of risk management, in the expectation that near term zigs and zags will level out nicely if given enough time. Mark Schmid and Que... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheReformedBroker: Things I'm Hearing⦠Posted: 04 Apr 2012 01:00 PM PDT Anecdotally speaking, I come across lots of interesting stories in talking with clients and colleagues throughout the day... Visit MoneyScience for the Complete Article.    |
| Blog Post: frontrunthedelta: WTI Forward Curve: Where Abundant Supply Meets Geopolitical Uncertainty Posted: 04 Apr 2012 12:27 PM PDT Several of the spreads on the front of the curve are nearing very compelling levels. And if you're interested in a longer term play on WTI, consider the sloping severity of the back of the curve. via 4 Apr Reuters, Traders said between 20-30 cargoes of Nigerian crude oil were still unsold from the April-May programmes. "Flow to the States is minimal. Light, sweet is plentiful in the... Visit MoneyScience for the Complete Article.    |
| Blog Post: QFINANCE: Fear and loathing in London as Barnier taps consumer power Posted: 04 Apr 2012 08:53 AM PDT    |
| Blog Post: FINalternatives: CT Hedge Fund Assoc. Welcomes International Members Posted: 04 Apr 2012 08:32 AM PDT The Connecticut Hedge Fund Association is going global. The group, which once restricted membership to firms with a significant presence in the state of Connecticut, is opening its doors to members of the hedge fund community worldwide.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: MagicMathsandMoney: Creation myths Posted: 04 Apr 2012 06:05 AM PDT .cmr-7{font-size:58%;}.cmr-10{font-size:83%;}.cmr-8{font-size:66%;}.cmr-6{font-size:50%;}.cmmi-12{font-style: italic;}.cmmi-8{font-size:66%;font-style: italic;}.cmmi-6{font-size:50%;font-style:... Visit MoneyScience for the Complete Article.    |
| Posted: 04 Apr 2012 05:58 AM PDT fin_tech: Financial Technology News Report is out! http://t.co/Jdseecpa â–¸ Top stories today via @fintechsteph @moonlightpr @fitzanalytics Visit MoneyScience for the Complete Article.    |
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