Friday, February 15, 2013

MoneyScience News

MoneyScience News

Blog Post: TheAlephBlog: Questions from Readers

Posted: 15 Feb 2013 12:53 AM PST

From a reader:read more...

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Blog Post: TheFinancialServicesClub: Banking for a better planet?

Posted: 14 Feb 2013 10:01 PM PST

I recently co-authored an article on banks for a better planet with Doctor Carolyn Stephens of the Institute of Health Equity at University College, London (UCL).read more...

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Published / Preprint: An Asymptotic Expansion Formula for Up-and-Out Barrier Option Price under Stochastic Volatility Model. (arXiv:1302.3306v1 [q-fin.CP])

Posted: 14 Feb 2013 05:33 PM PST

This paper derives a new semi closed-form approximation formula for pricing an up-and-out barrier option under a certain type of stochastic volatility model including SABR model by applying a rigorous asymptotic expansion method developed by Kato, Takahashi and Yamada (2012). We also demonstrate the validity of our approximation method through numerical examples.

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Published / Preprint: The Pricing of Multiple-Expiry Exotics. (arXiv:1302.3319v1 [q-fin.PR])

Posted: 14 Feb 2013 05:33 PM PST

In this paper we develop a new technique for pricing of some exotic options with several expiry dates(more than 3 expiry dates) using a concept of higher order binary option. At first we introduce the concept of higher order binary option and then provide the pricing formulae of nth order binaries using PDE method. After that, we apply them to pricing of some multiple-expiry exotic options such...

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Published / Preprint: Parameter estimation for an affine two factor model. (arXiv:1302.3451v1 [math.ST])

Posted: 14 Feb 2013 05:33 PM PST

For an affine two factor model, we study the asymptotic properties of the maximum likelihood and least squares estimators of some appearing parameters in the so-called subcritical (ergodic) case based on continuous time observations. We prove strong consistency and asymptotic normality of the estimators in question.

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Published / Preprint: Model-independent Bounds for Option Prices: A Mass Transport Approach. (arXiv:1106.5929v2 [q-fin.PR] UPDATED)

Posted: 14 Feb 2013 05:33 PM PST

In this paper we investigate model-independent bounds for exotic options written on a risky asset. Based on arguments from the theory of Monge-Kantorovich mass-transport we establish a dual version of the problem that has a natural financial interpretation in terms of semi-static hedging. In particular we prove that there is no duality gap.

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Vendor News: SS&C Technologies Reports Record Fourth Quarter and 2012 Results

Posted: 14 Feb 2013 01:13 PM PST

ICMA Executive Education expands management team

Posted: 14 Feb 2013 05:30 AM PST

    (London, UK) The International Capital Market Association (ICMA) and the ICMA Centre have announced two key appointments to the management team of ICMA Executive Education, their joint financial markets professional education programme, as part of an initiative to expand its international reach and content. ICMA Executive Education provides benchmark education programmes for...

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