MoneyScience News |
- Blog Post: TheFinancialServicesClub: How to create a killer strategy
- Behavioural Finance at Barclays: An Interview with Greg B. Davies
- Blog Post: PatrickBurns: Simple tests of predicted returns
- Published / Preprint: From Nobel Prize to Project Management: Getting Risks Right. (arXiv:1302.3642v1 [q-fin.GN])
- Published / Preprint: Pricing Corporate Defaultable Bond using Declared Firm Value. (arXiv:1302.3654v1 [q-fin.PR])
- Published / Preprint: A comprehensive characterization of recurrences in time series. (arXiv:1302.3704v1 [physics.data-an])
- Published / Preprint: Pricing Step Options under the CEV and other Solvable Diffusion Models. (arXiv:1302.3771v1 [q-fin.PR])
- Published / Preprint: Bimodality in the firm size distributions: a kinetic exchange model approach. (arXiv:1302.3818v1 [q-fin.GN])
- Published / Preprint: A second-order stock market model. (arXiv:1302.3870v1 [q-fin.ST])
- Published / Preprint: Solvable Nonlinear Volatility Diffusion Models with Affine Drift. (arXiv:0907.2926v2 [q-fin.PR] UPDATED)
| Blog Post: TheFinancialServicesClub: How to create a killer strategy Posted: 18 Feb 2013 04:22 AM PST There are several examples of the ages of man.read more... Visit MoneyScience for the Complete Article.      |
| Behavioural Finance at Barclays: An Interview with Greg B. Davies Posted: 18 Feb 2013 03:11 AM PST Last month I was fortunate enough to meet and interview Dr Greg B. Davies, who first set up and now runs Barclays Bank Behavioural Finance unit, the first such unit in a major bank. Rather like Richard Peterson, the subject of a previous interview, Dr Davies approaches his subject from a truly interdisciplinary perspective. Prior to his work with Barclays, he studied economics, philosophy and... Visit MoneyScience for the Complete Article.    |
| Blog Post: PatrickBurns: Simple tests of predicted returns Posted: 18 Feb 2013 02:55 AM PST Some ways to explore how good a method of predicting returns is.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Feb 2013 05:30 PM PST A major source of risk in project management is inaccurate forecasts of project costs, demand, and other impacts. The paper presents a promising new approach to mitigating such risk, based on theories of decision making under uncertainty which won the 2002 Nobel prize in economics. First, the paper documents inaccuracy and risk in project management. Second, it explains inaccuracy in terms of... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Feb 2013 05:30 PM PST We study the pricing problem for corporate defaultable bond from the viewpoint of the investors outside the firm that could not exactly know about the information of firm. We consider the problem for pricing of corporate defaultable bond in the case that the firm value is only declared in some fixed discrete time and unexpected default intensity is determined by the declared firm value. Here we... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Feb 2013 05:30 PM PST Study of recurrences in earthquakes, climate, financial time-series, etc. is crucial to better forecast disasters and limit their consequences. However, almost all the previous phenomenological studies involved only a long-ranged autocorrelation function, or disregarded the multi-scaling properties induced by potential higher order dependencies. Consequently, they missed the facts that non-linear... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Feb 2013 05:30 PM PST We consider a special family of occupation-time derivatives, namely proportional step options introduced by Linetsky in [Math. Finance, 9, 55--96 (1999)]. We develop new closed-form spectral expansions for pricing such options under a class of nonlinear volatility diffusion processes which includes the constant-elasticity-of-variance (CEV) model as an example. In particular, we derive a general... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Feb 2013 05:30 PM PST Firm growth process in the developing economies is known to produce divergence in their growth path giving rise to bimodality in the size distribution. Similar bimodality has been observed in wealth distribution as well. Here, we introduce a modified kinetic exchange model which can reproduce such features. In particular, we will show numerically that a nonlinear retention rate (or savings... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: A second-order stock market model. (arXiv:1302.3870v1 [q-fin.ST]) Posted: 17 Feb 2013 05:30 PM PST A first-order model for a stock market assigns to each stock a return parameter and a variance parameter that depend only on the rank of the stock. A second-order model assigns these parameters based on both the rank and the name of the stock. First- and second-order models exhibit stability properties that make them appropriate as a backdrop for the analysis of the idiosyncratic behavior of... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Feb 2013 05:30 PM PST We present a method for constructing new families of solvable one-dimensional diffusions with linear drift and nonlinear diffusion coefficient functions, whose transition densities are obtainable in analytically closed-form. Our approach is based on the so-called diffusion canonical transformation method that allows us to uncover new multiparameter diffusions that are mapped onto various simpler... Visit MoneyScience for the Complete Article.    |
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