MoneyScience News

---

• Blog Post: TheFinancialServicesClub: Metro Bank: 200 branches by 2020
• Published / Preprint: LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY
• Published / Preprint: THE AFFINE LIBOR MODELS
• Published / Preprint: LIMIT THEOREMS FOR PARTIAL HEDGING UNDER TRANSACTION COSTS
• Published / Preprint: DYNAMIC COHERENT ACCEPTABILITY INDICES AND THEIR APPLICATIONS TO FINANCE
• Published / Preprint: A METHOD FOR PRICING AMERICAN OPTIONS USING SEMIâINFINITE LINEAR PROGRAMMING
• Published / Preprint: ARBITRAGEâFREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS
• Published / Preprint: ON THE LOWER ARBITRAGE BOUND OF AMERICAN CONTINGENT CLAIMS
• The Financial Education Daily is out! http://t.co/TYluKzUv
• Robbing banks does pay â but not very much: An Econometric Model of the Bank Heist
• Security & Risk Management as Social Science: Human beings still the single weakest link in information security #tcm http://t.co/v93G6acj
• Security & Risk Management as Social Science: Human beings still the single weakest link in information security #tcm http://t.co/zweAFsCQ
• Blog Post: TheAlephBlog: Winding Down the Eurozone
• Published / Preprint: Alpha Representation For Active Portfolio Management and High Frequency Trading In Seemingly Efficient Markets. (arXiv:1206.2662v1 [q-fin.RM])
• Published / Preprint: Representation Theory for Risk On Markowitz-Tversky-Kahneman Topology. (arXiv:1206.2665v1 [q-fin.RM])
• Published / Preprint: Designing the new architecture of international financial system in era of great changes by globalization. (arXiv:1206.2778v1 [q-fin.GN])
• Blog Post: iMFdirect: Lost & Found in Eastern Europe: Replacing Funding by Western Europe's Banks

Blog Post: TheFinancialServicesClub: Metro Bank: 200 branches by 2020 Posted: 14 Jun 2012 02:54 AM PDT A couple of years ago, I was talking a lot about Metro Bank.read more... Visit MoneyScience for the Complete Article.

Published / Preprint: LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY Posted: 14 Jun 2012 02:17 AM PDT We consider a framework for solving optimal liquidation problems in limit order books. In particular, order arrivals are modeled as a point process whose intensity depends on the liquidation price. We set up a stochastic control problem in which the goal is to maximize the expected revenue from liquidating the entire position held. We solve this optimal liquidation problem for power‐law and... Visit MoneyScience for the Complete Article.

Published / Preprint: THE AFFINE LIBOR MODELS Posted: 14 Jun 2012 02:03 AM PDT We provide a general and flexible approach to LIBOR modeling based on the class of affine factor processes. Our approach respects the basic economic requirement that LIBOR rates are nonnegative, and the basic requirement from mathematical finance that LIBOR rates are analytically tractable martingales with respect to their own forward measure. Additionally, and most importantly, our approach also... Visit MoneyScience for the Complete Article.

Published / Preprint: LIMIT THEOREMS FOR PARTIAL HEDGING UNDER TRANSACTION COSTS Posted: 14 Jun 2012 02:02 AM PDT We study shortfall risk minimization for American options with path‐dependent payoffs under proportional transaction costs in the Blackâ€"Scholes (BS) model. We show that for this case the shortfall risk is a limit of similar terms in an appropriate sequence of binomial models. We also prove that in the continuous time BS model, for a given initial capital, there exists a portfolio strategy... Visit MoneyScience for the Complete Article.

Published / Preprint: DYNAMIC COHERENT ACCEPTABILITY INDICES AND THEIR APPLICATIONS TO FINANCE Posted: 14 Jun 2012 02:02 AM PDT In this paper, we present a theoretical framework for studying coherent acceptability indices (CAIs) in a dynamic setup. We study dynamic CAIs (DCAIs) and dynamic coherent risk measures (DCRMs), and we establish a duality between them. We derive a representation theorem for DCRMs in terms of a so‐called dynamically consistent sequence of sets of probability measures. Based on these results, we... Visit MoneyScience for the Complete Article.

Published / Preprint: A METHOD FOR PRICING AMERICAN OPTIONS USING SEMIâINFINITE LINEAR PROGRAMMING Posted: 14 Jun 2012 02:02 AM PDT We introduce a new approach for the numerical pricing of American options. The main idea is to choose a finite number of suitable excessive functions (randomly) and to find the smallest majorant of the gain function in the span of these functions. The resulting problem is a linear semi‐infinite programming problem, that can be solved using standard algorithms. This leads to good upper bounds... Visit MoneyScience for the Complete Article.

Published / Preprint: ARBITRAGEâFREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS Posted: 14 Jun 2012 02:02 AM PDT We develop an arbitrage‐free valuation framework for bilateral counterparty risk, where collateral is included with possible rehypothecation. We show that the adjustment is given by the sum of two option payoff terms, where each term depends on the netted exposure, i.e., the difference between the on‐default exposure and the predefault collateral account. We then specialize our analysis to... Visit MoneyScience for the Complete Article.

Published / Preprint: ON THE LOWER ARBITRAGE BOUND OF AMERICAN CONTINGENT CLAIMS Posted: 14 Jun 2012 02:02 AM PDT We prove that in a discrete‐time market model the lower arbitrage bound of an American contingent claim is itself an arbitrage‐free price if and only if it corresponds to the price of the claim optimally exercised under some equivalent martingale measure.read more... Visit MoneyScience for the Complete Article.

The Financial Education Daily is out! http://t.co/TYluKzUv Posted: 14 Jun 2012 12:53 AM PDT BusinessSchools: The Financial Education Daily is out! http://t.co/TYluKzUv Visit MoneyScience for the Complete Article.

Robbing banks does pay â but not very much: An Econometric Model of the Bank Heist Posted: 13 Jun 2012 11:10 PM PDT There has been plenty of coverage of this research which was published last week in the magazine of the Royal Statistical Society and the American Statistical Association.read more... Visit MoneyScience for the Complete Article.

Security & Risk Management as Social Science: Human beings still the single weakest link in information security #tcm http://t.co/v93G6acj Posted: 13 Jun 2012 11:08 PM PDT moneyscience: Security & Risk Management as Social Science: Human beings still the single weakest link in information security #tcm http://t.co/v93G6acj Visit MoneyScience for the Complete Article.

Security & Risk Management as Social Science: Human beings still the single weakest link in information security #tcm http://t.co/zweAFsCQ Posted: 13 Jun 2012 10:56 PM PDT fin_tech: Security & Risk Management as Social Science: Human beings still the single weakest link in information security #tcm http://t.co/zweAFsCQ Visit MoneyScience for the Complete Article.

Blog Post: TheAlephBlog: Winding Down the Eurozone Posted: 13 Jun 2012 10:56 PM PDT I write this realizing that the dominant reaction might be, “That won’t work.”  Well, I toss out ideas on things like this because they *might* work, amid a situation where things are ugly, and real solutions aren’t appearing.  If you explain to me why it won’t work, that will help me do better in the future.  I don’t respond to all comments due to time... Visit MoneyScience for the Complete Article.

Published / Preprint: Alpha Representation For Active Portfolio Management and High Frequency Trading In Seemingly Efficient Markets. (arXiv:1206.2662v1 [q-fin.RM]) Posted: 13 Jun 2012 05:34 PM PDT We introduce a trade strategy representation theorem for performance measurement and portable alpha in high frequency trading, by embedding a robust trading algorithm that describe portfolio manager market timing behavior, in a canonical multifactor asset pricing model. First, we present a spectral test for market timing based on behavioral transformation of the hedge factors design matrix.... Visit MoneyScience for the Complete Article.

Published / Preprint: Representation Theory for Risk On Markowitz-Tversky-Kahneman Topology. (arXiv:1206.2665v1 [q-fin.RM]) Posted: 13 Jun 2012 05:34 PM PDT We introduce a representation theory for risk operations on locally compact groups in a partition of unity on a topological manifold for Markowitz-Tversky-Kahneman (MTK) reference points. We identify (1) risk torsion induced by the flip rate for risk averse and risk seeking behaviour, and (2) a structure constant or coupling of that torsion in the paracompact manifold. The risk torsion operator... Visit MoneyScience for the Complete Article.

Published / Preprint: Designing the new architecture of international financial system in era of great changes by globalization. (arXiv:1206.2778v1 [q-fin.GN]) Posted: 13 Jun 2012 05:34 PM PDT We present a broad agenda for meaningful banking regulation reform aiming the creation of evolutive competitive environment to maximize the effectiveness of international financial system through the introduction of fair competition process among the banks in free market capitalism. We assume that the international financial system may evolve or decline within the evolutive competitive... Visit MoneyScience for the Complete Article.

Blog Post: iMFdirect: Lost & Found in Eastern Europe: Replacing Funding by Western Europe's Banks Posted: 13 Jun 2012 07:19 AM PDT By Bas Bakker and Christoph Klingenread more... 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