MoneyScience News |
- Testimonials
- Blog Post: TheFinancialServicesClub: Things worth reading: 12th February 2013
- Blog Post: TheAlephBlog: The Education of a Mortgage Bond Manager, Part VIII
- Published / Preprint: On the optimal dividend problem for a spectrally positive Levy process. (arXiv:1302.2231v1 [q-fin.PR])
- Published / Preprint: Convergence of European Lookback Options with Floating Strike in the Binomial Model. (arXiv:1302.2312v1 [q-fin.PR])
- Published / Preprint: The Heston Riemannian distance function. (arXiv:1302.2337v1 [q-fin.GN])
- Published / Preprint: Evaluation on the Financial Competitiveness of Chinese Listed Real Estate Companies Based on Entropy Method. (arXiv:1302.2493v1 [q-fin.GN])
- Published / Preprint: Ergodicity for an affine two factor model. (arXiv:1302.2534v1 [math.PR])
- Published / Preprint: Quality Control and Due Diligence in Project Management: Getting Decisions Right by Taking the Outside View. (arXiv:1302.2544v1 [q-fin.GN])
- Published / Preprint: Technical report : Risk-neutral density recovery via spectral analysis. (arXiv:1302.2567v1 [q-fin.CP])
- Blog Post: Falkenblog: The Easiest Way to Derive Black-Scholes
- Published / Preprint: ON THE CONSISTENCY OF REGRESSIONâBASED MONTE CARLO METHODS FOR PRICING BERMUDAN OPTIONS IN CASE OF ESTIMATED FINANCIAL MODELS
- Published / Preprint: MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS
- Published / Preprint: OPTIMAL TRADE EXECUTION AND PRICE MANIPULATION IN ORDER BOOKS WITH TIMEâVARYING LIQUIDITY
- Published / Preprint: CONVEX RISK MEASURES FOR GOOD DEAL BOUNDS
- Published / Preprint: Risk tolerance and entrepreneurship (CEPR DP9339)
- Published / Preprint: Finance, Governments, and Trade (CEPR DP9338)
- Call for Papers: "European Financial Management Association 2013 Annual Meetingâ http://t.co/YzMNM0nc
| Posted: 12 Feb 2013 02:46 AM PST I found that this is a top-tier programme that prepares candidates for all different facets of the shipping business. It is delivered by world-class professors and shipping courses are taught in small classes compared to other Universities which greatly enhanced my learning experience. The programme helped me gain a global perspective and provided me with contemporary tools used in... Visit MoneyScience for the Complete Article.      |
| Blog Post: TheFinancialServicesClub: Things worth reading: 12th February 2013 Posted: 11 Feb 2013 11:12 PM PST Things we're reading today include ... Pay-by-tweet service launched on Twitter £8 million a year? That’s modest, says RBS chief Barclays misled shareholders in 2008 RBS executive John Hourican tells colleagues 'not to waste my death' UK firm Monitise gets Indonesian money moving The cross-examanination of RBS New City code to crack down on scandals Euro rises as finance ministers... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: The Education of a Mortgage Bond Manager, Part VIII Posted: 11 Feb 2013 09:27 PM PST I sat down this evening, thinking that I would finish the series this evening, and realized that I had left out some significant things. As such, I expect this series to have two more parts after this one.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 11 Feb 2013 05:32 PM PST In this paper we study the optimal dividend problem for a company whose surplus process evolves as a spectrally positive Levy process. This model including the dual model of the classical risk model and the dual model with diffusion as special cases. We assume that dividends are paid to the shareholders according to admissible strategy whose dividend rate is bounded by a constant. The objective... Visit MoneyScience for the Complete Article.    |
| Posted: 11 Feb 2013 05:32 PM PST In this article we study the convergence of a European lookback option with floating strike to its evaluation with the Black-Scholes model. We confirm that this convergence is of order 1/\sqrt{n}. For this, we use the binomial model of Cheuk-Vorst which allows us to write the price of the option using a double sum. Based on an improvement of a lemma of Lin-Palmer, we are able to give... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The Heston Riemannian distance function. (arXiv:1302.2337v1 [q-fin.GN]) Posted: 11 Feb 2013 05:32 PM PST The Heston model is a popular stock price model with stochastic volatility that has found numerous applications in practice. In the present paper, we study the Riemannian distance function associated with the Heston model and obtain explicit formulas for this function using geometrical and analytical methods. Geometrical approach is based on the study of the Heston geodesics, while the analytical... Visit MoneyScience for the Complete Article.    |
| Posted: 11 Feb 2013 05:32 PM PST The real estate is a pillar industry of China's national economy. Due to changes in policy and market conditions, the real estate companies are facing greater pressures to survive in a competitive environment. They must improve their financial competitiveness. Based on the conceptual framework of financial competitiveness, this paper presented a financial competitiveness evaluation index system,... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Ergodicity for an affine two factor model. (arXiv:1302.2534v1 [math.PR]) Posted: 11 Feb 2013 05:32 PM PST We study the existence of a unique stationary distribution and ergodicity for a 2-dimensional affine process. The first coordinate is supposed to be a so-called alpha-root process with \alpha\in(1,2]. The existence of a unique stationary distribution for the affine process is proved in case of \alpha\in(1,2]; further, in case of \alpha=2, the ergodicity is also shown. Visit MoneyScience for the Complete Article.    |
| Posted: 11 Feb 2013 05:32 PM PST This paper explores how theories of the planning fallacy and the outside view may be used to conduct quality control and due diligence in project management. First, a much-neglected issue in project management is identified, namely that the front-end estimates of costs and benefits--used in the business cases, cost-benefit analyses, and social and environmental impact assessments that typically... Visit MoneyScience for the Complete Article.    |
| Posted: 11 Feb 2013 05:32 PM PST In this paper, we propose a new method for estimating the conditional risk-neutral density (RND) directly from a cross-section of put option bid-ask quotes. More precisely, we propose to view the RND recovery problem as an inverse problem. We first show that it is possible to define restricted put and call operators that admit a singular value decomposition (SVD), which we compute explicitly. We... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: The Easiest Way to Derive Black-Scholes Posted: 11 Feb 2013 04:32 PM PST Black-Scholes is perhaps the most famous equation in finance. It was originally derived in Black and Scholes by using arbitrage to create a partial differential equation, which turned out to be the well-known heat equation from physics. Solving differential equations is hard, for me anyway (it doesn't come up a lot, so like my French, je sais un peu). Cox and Rubinstein... Visit MoneyScience for the Complete Article.    |
| Posted: 11 Feb 2013 10:27 AM PST In many applications of regressionâ€based Monte Carlo methods for pricing, American options in discrete time parameters of the underlying financial model have to be estimated from observed data. In this paper suitably defined nonparametric regressionâ€based Monte Carlo methods are applied to paths of financial models where the parameters converge toward true values of the parameters. For... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS Posted: 11 Feb 2013 10:27 AM PST The aim of this work is to advocate the use of multifractional Brownian motion (mBm) as a relevant model in financial mathematics. mBm is an extension of fractional Brownian motion where the Hurst parameter is allowed to vary in time. This enables the possibility to accommodate for varying local regularity, and to decouple it from longâ€range dependence properties. While we believe that mBm is... Visit MoneyScience for the Complete Article.    |
| Posted: 11 Feb 2013 10:27 AM PST In financial markets, liquidity is not constant over time but exhibits strong seasonal patterns. In this paper, we consider a limit order book model that allows for timeâ€dependent, deterministic depth and resilience of the book and determine optimal portfolio liquidation strategies. In a first model variant, we propose a tradingâ€dependent spread that increases when market orders are matched... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: CONVEX RISK MEASURES FOR GOOD DEAL BOUNDS Posted: 11 Feb 2013 10:27 AM PST We study convex risk measures describing the upper and lower bounds of a good deal bound, which is a subinterval of a noâ€arbitrage pricing bound. We call such a convex risk measure a good deal valuation and give a set of equivalent conditions for its existence in terms of market. A good deal valuation is characterized by several equivalent properties and in particular, we see that a convex risk... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Risk tolerance and entrepreneurship (CEPR DP9339) Posted: 11 Feb 2013 05:23 AM PST Risk tolerance and entrepreneurship Author(s): Hans K Hvide, Georgios Panos CEPR Discussion Paper Number 9339 Paper Details | PDF Download* | Purchase Electronic | Purchase Printed Programme Area(s): Financial Economics (FE), Industrial Organization (IO), Labour Economics (LE) Date of Publication: 10/02/2013 Keyword(s): entrepreneurial entry, entrepreneurial performance, firm entry,... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Finance, Governments, and Trade (CEPR DP9338) Posted: 11 Feb 2013 05:23 AM PST Finance, Governments, and Trade Author(s): Giuseppe Bertola, Anna Lo Prete CEPR Discussion Paper Number 9338 Paper Details | PDF Download* | Purchase Electronic | Purchase Printed Programme Area(s): Financial Economics (FE), International Macroeconomics (IM), Public Policy (PP) Date of Publication: 10/02/2013 Keyword(s): financial reforms, government size, openness, private credit ... Visit MoneyScience for the Complete Article.    |
| Posted: 24 Oct 2012 07:03 AM PDT moneyscience: Call for Papers: “European Financial Management Association 2013 Annual Meeting†http://t.co/YzMNM0nc 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 | |