MoneyScience News |
- Blog Post: PatrickBurns: Diverse US portfolios did well in 2011
- Blog Post: TheFinancialServicesClub: How to market a bank? Cuddly toys of course!
- The Financial Education Daily is out! http://t.co/TYlzia3F ⸠Top stories today via @ucirvine_mba @isenbergumass @mcgillu @saintleouniv
- Blog Post: TheAlephBlog: Buffett Musings
- Blog Post: Falkenblog: The Low Volatility Effect in Emerging Markets
- Published / Preprint: On absolutely continuous compensators and nonlinear filtering equations in default risk models. (arXiv:1205.1154v1 [math.PR])
- Published / Preprint: Stability of ADI schemes for multidimensional diffusion equations with mixed derivative terms. (arXiv:1205.1163v1 [math.NA])
- Published / Preprint: Statistical Outliers and Dragon-Kings as Bose-Condensed Droplets. (arXiv:1205.1364v1 [physics.soc-ph])
- Published / Preprint: A Quasi-Sure Approach to the Control of Non-Markovian Stochastic Differential Equations. (arXiv:1106.3273v2 [math.PR] UPDATED)
- Published / Preprint: Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption. (arXiv:1107.5852v2 [q-fin.PM] UPDATED)
- Published / Preprint: Complex-Valued Best Linear Unbiased Estimator of an Unknown Constant Mean of White Noise
- Financial Technology News Report is out! http://t.co/Jdseecpa : Top stories today via @waterstech @sassoftware @sungardas @lmax @matlab
- Event: Portfolio Optimisation: Basics and Advances in Continuous-Time Model and Discrete-Time Models
- Event: Practical Asset and Liability Management
- Link Library: Frequently Asked Questions about QuantLib
| Blog Post: PatrickBurns: Diverse US portfolios did well in 2011 Posted: 08 May 2012 02:02 AM PDT Constraining the maximum asset-portfolio correlation gave bigger returns and smaller volatility.read more... Visit MoneyScience for the Complete Article.      |
| Blog Post: TheFinancialServicesClub: How to market a bank? Cuddly toys of course! Posted: 08 May 2012 12:32 AM PDT It’s always intriguing to see what banks and insurers are doing for marketing purposes.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 08 May 2012 12:30 AM PDT BusinessSchools: The Financial Education Daily is out! http://t.co/TYlzia3F â–¸ Top stories today via @ucirvine_mba @isenbergumass @mcgillu @saintleouniv Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: Buffett Musings Posted: 07 May 2012 09:50 PM PDT Buffett made a few comments over the weekend that I thought were significant.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: The Low Volatility Effect in Emerging Markets Posted: 07 May 2012 06:14 PM PDT The Robeco low volatility team published their study of the low volatility effect in developing markets. David Blitz (right), Juan Pang and Pim van Vliet (2012) document the following: In this paper we examine the empirical relation between risk and return in emerging equity markets and find that this relation is flat, or even negative. This is inconsistent with theoretical models such as the... Visit MoneyScience for the Complete Article.    |
| Posted: 07 May 2012 05:31 PM PDT We discuss the pricing of defaultable assets in an incomplete information model where the default time is given by a first hitting time of an unobservable process. We show that in a fairly general Markov setting, the indicator function of the default has an absolutely continuous compensator. Given this compensator we then discuss the optional projection of a class of semimartingales onto the... Visit MoneyScience for the Complete Article.    |
| Posted: 07 May 2012 05:31 PM PDT In this paper the unconditional stability of four well-known ADI schemes is analyzed in the application to time-dependent multidimensional diffusion equations with mixed derivative terms. Necessary and sufficient conditions on the parameter theta of each scheme are obtained that take into account the actual size of the mixed derivative coefficients. Our results generalize results obtained... Visit MoneyScience for the Complete Article.    |
| Posted: 07 May 2012 05:31 PM PDT A theory of exceptional extreme events, characterized by their abnormal sizes compared with the rest of the distribution, is presented. Such outliers, called "dragon-kings", have been reported in the distribution of financial drawdowns, city-size distributions (e.g., Paris in France and London in the UK), in material failure, epileptic seizure intensities, and other systems. Within our theory,... Visit MoneyScience for the Complete Article.    |
| Posted: 07 May 2012 05:31 PM PDT We study stochastic differential equations (SDEs) whose drift and diffusion coefficients are path-dependent and controlled. We construct a value process on the canonical path space, considered simultaneously under a family of singular measures, rather than the usual family of processes indexed by the controls. This value process is characterized by a second order backward SDE, which can be seen... Visit MoneyScience for the Complete Article.    |
| Posted: 07 May 2012 05:31 PM PDT In this paper we consider a problem of optimal investment with intermediate consumption in the framework of an incomplete semimartingale model of a financial market. We show that a necessary and sufficient condition for the validity of key assertions of the theory is that the value functions of the primal and dual problems are finite. Visit MoneyScience for the Complete Article.    |
| Posted: 07 May 2012 09:30 AM PDT In this paper the complex-valued bes 528 t linear unbiased estimator of an unknown constant mean of white noise was derived the ordinary least-squares estimator of an unknown constant mean of random field (arithmetic mean) charged by an imaginary error. Visit MoneyScience for the Complete Article.    |
| Posted: 07 May 2012 05:59 AM PDT fin_tech: Financial Technology News Report is out! http://t.co/Jdseecpa â–¸ Top stories today via @waterstech @sassoftware @sungardas @lmax @matlab Visit MoneyScience for the Complete Article.    |
| Event: Portfolio Optimisation: Basics and Advances in Continuous-Time Model and Discrete-Time Models Posted: 24 Apr 2012 02:01 PM PDT Location: Birkbeck College, University of London; Date: May 30th, 2012; Portfolio Optimisation Workshop, 30-31 May, 2012, Londonread more... Visit MoneyScience for the Complete Article.    |
| Event: Practical Asset and Liability Management Posted: 24 Apr 2012 01:28 PM PDT Location: Birkbeck College, University of London; Date: May 15th, 2012; Practical Asset and Liability Management Workshopread more... Visit MoneyScience for the Complete Article.    |
| Link Library: Frequently Asked Questions about QuantLib Posted: 24 Apr 2012 05:05 AM PDT 1. General questions 1.1. Is it OK to email a QuantLib developer to ask questions, or seek help, or report a bug? 1.2. How should I report a bug? 1.3. Thanks for this project. How can I give back to it? 1.4. Amazon Wish List? Aren't you ashamed of yourselves? 2. Contributing to the project 2.1. I'm interested in getting involved with the project. What should I do? 2.2. How do I... Visit MoneyScience for the Complete Article.    |
| You are subscribed to email updates from The Complete MoneyScience Reloaded To stop receiving these emails, you may unsubscribe now. | Email delivery powered by Google |
| Google Inc., 20 West Kinzie, Chicago IL USA 60610 | |