MoneyScience News |
- RT @phillipinman: See Guardian take on Carney appointment to Bank of England top job http://t.co/iiuF84UB
- Blog Post: TheFinancialServicesClub: £3 million from a simple ATM skim
- Research Library: Towards a Legal Theory of Finance
- Published / Preprint: Optimal portfolio model based on WVAR. (arXiv:1211.5628v1 [q-fin.RM])
- Published / Preprint: Application of simplest random walk algorithms for pricing barrier options. (arXiv:1211.5726v1 [q-fin.CP])
- Published / Preprint: A simple strong solution to non-linear stochastic HJB PDEs: an application to the portfolio model. (arXiv:1211.5816v1 [q-fin.PM])
- Published / Preprint: New stochastic calculus. (arXiv:1211.5819v1 [q-fin.PM])
- Published / Preprint: Degenerate backward SPDEs in domains: non-local boundary conditions and applications to finance. (arXiv:1211.5858v1 [math.PR])
- Published / Preprint: An FBSDE Approach to American Option Pricing with an Interacting Particle Method. (arXiv:1211.5867v1 [q-fin.CP])
- Published / Preprint: Uncovering Hedge Fund Skill from The Portfolio Holdings They Hide
- Published / Preprint: How Effective Were the Federal Reserve Emergency Liquidity Facilities? Evidence from the Asset-Backed Commercial Paper Money Market Mutual Fund Liquidity Facility
- Published / Preprint: Noisy Prices and Inference Regarding Returns
- Published / Preprint: The Cost of Short-Selling Liquid Securities
- Published / Preprint: Divisional Managers and Internal Capital Markets
- Published / Preprint: A Multiple Lender Approach to Understanding Supply and Search in the Equity Lending Market
- Research Library: Counterparty Risk and Funding: The Four Wings of the TVA
- Published / Preprint: Outsourcing Mutual Fund Management: Firm Boundaries, Incentives, and Performance
- Published / Preprint: The Maturity Rat Race
- Published / Preprint: Monitoring Managers: Does it Matter?
- Published / Preprint: Divisional Managers and Internal Capital Markets
- Published / Preprint: 26Nov/Payment, clearing and settlement systems in the CPSS countries - Volume 2
| Posted: 27 Nov 2012 02:48 AM PST moneyscience: RT @phillipinman: See Guardian take on Carney appointment to Bank of England top job http://t.co/iiuF84UB Visit MoneyScience for the Complete Article.      |
| Blog Post: TheFinancialServicesClub: £3 million from a simple ATM skim Posted: 27 Nov 2012 02:00 AM PST I was just surfing the BBC news for information about the new Governor of the Bank of England (next blog coming up) and found this as the #1 most viewed video clip today.read more... Visit MoneyScience for the Complete Article.    |
| Research Library: Towards a Legal Theory of Finance Posted: 27 Nov 2012 01:16 AM PST Katharina Pistor Columbia University School of Law Columbia Law and Economics Working Paper No. 434 Abstract This paper develops the building blocks for a legal theory of finance. LTF holds that financial markets are legally constructed and as such occupy an essentially hybrid place between state and market, public and private. At the same time, financial markets exhibit dynamics that... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Optimal portfolio model based on WVAR. (arXiv:1211.5628v1 [q-fin.RM]) Posted: 26 Nov 2012 05:37 PM PST This article is focused on using a new measurement of risk-- Weighted Value at Risk to develop a new method of constructing initiate from the TVAR solving problem, based on MATLAB software, using the historical simulation method (avoiding income distribution will be assumed to be normal), the results of previous studies also based on, study the U.S. Nasdaq composite index, combining the Simpson... Visit MoneyScience for the Complete Article.    |
| Posted: 26 Nov 2012 05:37 PM PST We demonstrate effectiveness of the first-order algorithm from [Milstein, Tretyakov. Theory Prob. Appl. 47 (2002), 53-68] in application to barrier option pricing. The algorithm uses the weak Euler approximation far from barriers and a special construction motivated by linear interpolation of the price near barriers. It is easy to implement and is universal: it can be applied to various... Visit MoneyScience for the Complete Article.    |
| Posted: 26 Nov 2012 05:37 PM PST We devise a simple and general method for solving non-linear stochastic Hamilton-Jacobi-Bellman partial differential equations. We apply our method to the portfolio model. Visit MoneyScience for the Complete Article.    |
| Published / Preprint: New stochastic calculus. (arXiv:1211.5819v1 [q-fin.PM]) Posted: 26 Nov 2012 05:37 PM PST We present new stochastic differential equations, that are more general and simpler than the existing Ito-based stochastic differential equations. As an example, we apply our approach to the investment (portfolio) model. Visit MoneyScience for the Complete Article.    |
| Posted: 26 Nov 2012 05:37 PM PST Backward stochastic partial differential equations of parabolic type in bounded domains are studied in the setting where the coercivity condition is not necessary satisfied and the equation can be degenerate. Some generalized solutions based on the representation theorem are suggested. In addition to problems with a standard Cauchy condition at the terminal time, problems with special non-local... Visit MoneyScience for the Complete Article.    |
| Posted: 26 Nov 2012 05:37 PM PST In the paper, we propose a new calculation scheme for American options in the framework of a forward backward stochastic differential equation (FBSDE). The well-known decomposition of an American option price with that of a European option of the same maturity and the remaining early exercise premium can be cast into the form of a decoupled non-linear FBSDE. We numerically solve the FBSDE by... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Uncovering Hedge Fund Skill from The Portfolio Holdings They Hide Posted: 26 Nov 2012 09:24 AM PST This paper studies the “confidential holdings†of institutional investors, especially hedge funds, where the quarter-end equity holdings are disclosed with a delay through amendments to Form 13F and are usually excluded from the standard databases. Funds managing large risky portfolios with nonconventional strategies seek confidentiality more frequently. Stocks in these holdings are... Visit MoneyScience for the Complete Article.    |
| Posted: 26 Nov 2012 09:24 AM PST The events following Lehman's failure in 2008 and the current turmoil emanating from Europe highlight the structural vulnerabilities of short-term credit markets and the role of central banks as back-stop liquidity providers. The Federal Reserve's response to financial disruptions in the U.S. importantly included the creation of liquidity facilities. Using a differences-in-differences approach,... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Noisy Prices and Inference Regarding Returns Posted: 26 Nov 2012 09:24 AM PST Temporary deviations of trade prices from fundamental values impart bias to estimates of mean returns to individual securities, to differences in mean returns across portfolios, and to parameters estimated in return regressions. We consider a number of corrections, and show them to be effective under reasonable assumptions. In an application to CRSP monthly returns, the corrections indicate... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The Cost of Short-Selling Liquid Securities Posted: 26 Nov 2012 09:24 AM PST Standard models of liquidity argue that the higher price for a liquid security reflects the future benefits that long investors expect to receive. We show that short-sellers can also pay a net liquidity premium, if their cost to borrow the security is higher than the price premium they collect from selling it. We provide a model-free decomposition of the price premium for liquid securities into... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Divisional Managers and Internal Capital Markets Posted: 26 Nov 2012 08:57 AM PST Using hand-collected data on divisional managers at S&P 500 firms, we study their role in internal capital budgeting. Divisional managers with social connections to the CEO receive more capital. Connections to the CEO outweigh measures of managers’ formal influence, such as seniority and board membership, and affect both managerial appointments and capital allocations. The effect of connections... Visit MoneyScience for the Complete Article.    |
| Posted: 26 Nov 2012 08:57 AM PST Using unique data from 12 lenders, we examine how equity lending fees respond to demand shocks. We find that when demand is moderate, fees are largely insensitive to demand shocks. However, at high demand levels, further increases in demand lead to significantly higher fees and the extent to which demand shocks impact fees is also related to search frictions in the loan market. Moreover,... Visit MoneyScience for the Complete Article.    |
| Research Library: Counterparty Risk and Funding: The Four Wings of the TVA Posted: 26 Nov 2012 08:54 AM PST Stéphane Crépey, Rémi Gerboud, Zorana Grbac, Nathalie Ngor Université d'Evry Abstract The credit crisis and the ongoing European sovereign debt crisis have highlighted the native form of credit risk, namely the counterparty risk. The related Credit Valuation Adjustment, (CVA), Debt Valuation Adjustment (DVA), Liquidity Valuation Adjustment (LVA) and Replacement Cost... Visit MoneyScience for the Complete Article.    |
| Posted: 26 Nov 2012 07:58 AM PST We investigate the effects of managerial outsourcing on the performance and incentives of mutual funds. Fund families outsource the management of a large fraction of their funds to advisory firms. These funds underperform those run internally by about 52 basis points per year. Â After instrumenting for a fund's outsourcing status, the estimated underperformance is three times larger. We... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The Maturity Rat Race Posted: 26 Nov 2012 07:58 AM PST Why do some firms, especially financial institutions, finance them- selves so short-term? We show that extreme reliance on short-term financing may be the outcome of a maturity rat race : a borrower may have an incentive to shorten the maturity of an individual creditor's debt contract because this dilutes other creditors. In response, other creditors opt for shorter maturity contracts as well.... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Monitoring Managers: Does it Matter? Posted: 26 Nov 2012 07:58 AM PST We study how well-incentivized boards monitor CEOs and whether monitoring improves performance. Using unique, detailed data on boards’ information sets and decisions for a large sample of private equity-backed firms, we find that gathering information helps boards learn about CEO ability. “Soft†information plays a much larger role than hard data, such as the performance metrics that prior... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Divisional Managers and Internal Capital Markets Posted: 26 Nov 2012 07:58 AM PST Using hand-collected data on divisional managers at S&P 500 firms, we study their role in internal capital budgeting. Divisional managers with social connections to the CEO receive more capital. Connections to the CEO outweigh measures of managers’ formal influence, such as seniority and board membership, and affect both managerial appointments and capital allocations. The effect of connections... Visit MoneyScience for the Complete Article.    |
| Posted: 26 Nov 2012 07:13 AM PST Press release about CPSS publishing "Payment, clearing and settlement systems in the CPSS countries - Volume 2" (BIS Press Release 26 November 2012) Visit MoneyScience for the Complete Article.    |
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