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- Finance Conference at the ICMA Centre â Henley Business School attracts hundreds of researchers from around the world.
- Blog Post: TheFinancialServicesClub: From bye-bye banks to buy-buy banks
- Published / Preprint: USLV: Unspanned Stochastic Local Volatility Model. (arXiv:1301.4442v1 [q-fin.PR])
| Posted: 21 Jan 2013 02:58 AM PST The ICMA Centre-Henley Business School will be hosting the European Financial Management Association annual meeting on 26-29 June 2013. The closing deadline for submissions of  original research for inclusion in the conference program was January 15. The organisers have received an overwhelming response of 602 papers sent by academics and practitioners from 44 countries across 5 continents! The... Visit MoneyScience for the Complete Article.      |
| Blog Post: TheFinancialServicesClub: From bye-bye banks to buy-buy banks Posted: 21 Jan 2013 01:57 AM PST In 2008, we all thought banks were bye, bye, bye. Five years later, everyone is saying buy, buy, buy. Or Warren Buffet is anyway. In an interview with Bloomberg last week, Buffett said:read more... Visit MoneyScience for the Complete Article.    |
| Posted: 20 Jan 2013 05:30 PM PST We propose a new framework for modeling stochastic local volatility, with potential applications to modeling derivatives on interest rates, commodities, credit, equity, FX etc., as well as hybrid derivatives. Our model extends the linearity-generating unspanned volatility term structure model by Carr et al. (2011) by adding a local volatility layer to it. We outline efficient numerical schemes... Visit MoneyScience for the Complete Article.    |
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