MoneyScience News

Blog Post: TheFinancialServicesClub: Why should we innovate?
Blog Post: TheAlephBlog: On Hedge Funds
Published / Preprint: The Calculus of Expected Loss: Backtesting Expected Loss with Actual Impact of Risk in a Basel II Framework. (arXiv:1211.4946v1 [q-fin.RM])
Published / Preprint: Can there be an explicit formula for implied volatility?. (arXiv:1211.4978v1 [q-fin.PR])
Published / Preprint: Optimal hedging in discrete time. (arXiv:1211.5035v1 [q-fin.PR])
Blog Post: rob_daly: Will Kill Switches Drive T+0?
RT @QFINANCEnews: QFINANCE: News Briefing (November 14-20, 2012) http://t.co/ekxkeDvS
MoneyScience Daily is out! http://t.co/aGkJAVQE : Top stories today via @fin_tech

Blog Post: TheFinancialServicesClub: Why should we innovate?

Posted: 22 Nov 2012 12:42 AM PST

I was talking at a conference and a regulator was on the panel. read more...

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Blog Post: TheAlephBlog: On Hedge Funds

Posted: 21 Nov 2012 10:29 PM PST

I don’t think hedge funds are an optimal way to manage assets.Â Here are some of my reasons:read more...

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Published / Preprint: The Calculus of Expected Loss: Backtesting Expected Loss with Actual Impact of Risk in a Basel II Framework. (arXiv:1211.4946v1 [q-fin.RM])

Posted: 21 Nov 2012 05:34 PM PST

The dependency structure of credit risk parameters is a key driver for capital consumption and receives regulatory and scientific attention. The impact of parameter imperfections on the quality of expected loss in the sense of a fair, unbiased estimate of risk expenses however is barely covered. So far there are no established backtesting procedures for EL, quantifying its impact with regards to...

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Published / Preprint: Can there be an explicit formula for implied volatility?. (arXiv:1211.4978v1 [q-fin.PR])

Posted: 21 Nov 2012 05:34 PM PST

It is "well known" that there is no explicit expression for the Black-Scholes implied volatility. We prove that, as a function of underlying, strike, and call price, implied volatility does not belong to the class of D-finite functions. This does not rule out all explicit expressions, but shows that implied volatility does not belong to a certain large class, which contains many elementary...

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Published / Preprint: Optimal hedging in discrete time. (arXiv:1211.5035v1 [q-fin.PR])

Posted: 21 Nov 2012 05:34 PM PST

Building on the work of Schweizer (1995) and Cern and Kallseny (2007), we present discrete time formulas minimizing the mean square hedging error for multidimensional assets. In particular, we give explicit formulas when a regime-switching random walk or a GARCH-type process is utilized to model the returns. Monte Carlo simulations are used to compare the optimal and delta hedging methods.

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