MoneyScience News |
- RT @Kiffmeister: Sovereign Recovery Schemes: Discounting and Risk Management Issues http://t.co/SqXo3vTp via @SSRN
- RT @Kiffmeister: Sovereign Risk and Asset and Liability Management-Conceptual Issues http://t.co/smkKM80E @SSRN
- Published / Preprint: 21Nov/Basel III FAQs on counterparty credit risk rules
- Blog Post: TheFinancialServicesClub: Europe trades at just '¬7,900 per trade today (down from â¬19,000 in 2008)
- Blog Post: TheAlephBlog: On Hucksters
- Published / Preprint: The Fundamental Theorem of Utility Maximization and Num\'eraire Portfolio. (arXiv:1211.4598v1 [q-fin.PM])
- Published / Preprint: On the martingale problem for degenerate-parabolic partial differential operators with unbounded coefficients and a mimicking theorem for Ito processes. (arXiv:1211.4636v1 [math.PR])
- Published / Preprint: Testing the weak-form efficiency of the WTI crude oil futures market. (arXiv:1211.4686v1 [q-fin.ST])
- Blog Post: WealthandCapitalMarketsBlog: Online Not Just a Low Cost Service Channel for Mass Affluent Customers
- Mr Rob Sassoon
| Posted: 21 Nov 2012 03:23 AM PST moneyscience: RT @Kiffmeister: Sovereign Recovery Schemes: Discounting and Risk Management Issues http://t.co/SqXo3vTp via @SSRN Visit MoneyScience for the Complete Article.      |
| Posted: 21 Nov 2012 03:23 AM PST moneyscience: RT @Kiffmeister: Sovereign Risk and Asset and Liability Management-Conceptual Issues http://t.co/smkKM80E @SSRN Visit MoneyScience for the Complete Article.    |
| Published / Preprint: 21Nov/Basel III FAQs on counterparty credit risk rules Posted: 21 Nov 2012 02:27 AM PST Press release about the Basel Committee releasing an update to the Basel III FAQs on counterparty credit risk rulres (21 November 2012) Visit MoneyScience for the Complete Article.    |
| Posted: 21 Nov 2012 01:08 AM PST I bet you thought I was talking about Europe's sovereign debt issue but no, I'm talking about the average trade size for equities trading across Europe having just received some fascinating data from the Federation of European Securities Exchanges (FESE).read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: On Hucksters Posted: 20 Nov 2012 10:47 PM PST I get my share of requests for help. Some are from naive friends (but not so naive that they don’t ask me) are solicited on Nigerian scams. A few quick analyses, and I can tell them: don’t do it. This is a scam.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 20 Nov 2012 05:37 PM PST The fundamental theorem of utility maximization (called FTUM hereafter) says that the utility maximization admits solution if and only if there exists an equivalent martingale measure. This theorem is true for discrete market models (where the number of scenarios is finite), and remains valid for general discrete-time market models when the utility is smooth enough. However, this theorem fails in... Visit MoneyScience for the Complete Article.    |
| Posted: 20 Nov 2012 05:37 PM PST Using results from our companion article [arxiv.org:1112.4824v2] on a Schauder approach to existence of solutions to a degenerate-parabolic partial differential equation, we solve three intertwined problems, motivated by probability theory and mathematical finance, concerning degenerate diffusion processes. We show that the martingale problem associated with a degenerate-elliptic differential... Visit MoneyScience for the Complete Article.    |
| Posted: 20 Nov 2012 05:37 PM PST We perform detrending moving average analysis (DMA) and detrended fluctuation analysis (DFA) of the WTI crude oil futures prices (1983-2012) to investigate its efficiency. We further put forward a strict statistical test in the spirit of bootstrapping to verify the weak-form market efficiency hypothesis by employing the DMA (or DFA) exponent as the statistic. We verify the weak-form efficiency of... Visit MoneyScience for the Complete Article.    |
| Posted: 20 Nov 2012 03:31 PM PST Recently, I have been seeing online portals and self-directed functionality migrate up the wealth ladder, from being a low-cost method of servicing mass affluent clients to becoming another service channel for high-value customers. This is a welcome development that will ultimately lead to better service and happier clients.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 20 Nov 2012 05:47 AM PST Rob graduated with a BSc (Hons) in Business Management from the University of Birmingham in 2012. He is currently working at the ICMA Centre as a Conference Administrator, supporting the Centre as it prepares to host the prestigious European Financial Management Association Annual Conference in June 2013. A keen bridge player, Rob is also the country’s youngest National Tournament... Visit MoneyScience for the Complete Article.    |
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