MoneyScience News |
- Blog Post: TheFinancialServicesClub: From personalisation ot virtualisation: tomorrow's banking is here today
- Vendor News: Fidessa named Best Equities Trading Platform at the Wall Street Letter Awards
- Blog Post: TheAlephBlog: Another Note on the Purchase of Heinz
- Published / Preprint: Market Microstructure Knowledge Needed for Controlling an Intra-Day Trading Process. (arXiv:1302.4592v1 [q-fin.TR])
- Published / Preprint: Collateral-Enhanced Default Risk. (arXiv:1302.4595v1 [q-fin.RM])
- Published / Preprint: Numerical analysis of multilevel Monte Carlo path simulation using the Milstein discretisation. (arXiv:1302.4676v1 [q-fin.CP])
- Published / Preprint: All investors are risk averse expected utility maximizers. (arXiv:1302.4679v1 [q-fin.PM])
- Published / Preprint: Skewness Risk Premium: Theory and Empirical Evidence (CEPR DP9349)
- Published / Preprint: Capital, Trust and Competitiveness in the Banking Sector (CEPR DP9348)
| Posted: 20 Feb 2013 02:30 AM PST Checking out this morning’s news , I discovered this new innovation from Wells Fargo where you can get personalised ATM messages.read more... Visit MoneyScience for the Complete Article.      |
| Vendor News: Fidessa named Best Equities Trading Platform at the Wall Street Letter Awards Posted: 20 Feb 2013 01:28 AM PST    |
| Blog Post: TheAlephBlog: Another Note on the Purchase of Heinz Posted: 20 Feb 2013 12:59 AM PST I need to correct one thing that I wrote yesterday: 3G and Berkshire Hathaway each own 50% of Heinz, once the transaction is done. I mistakenly thought that both sides were putting up equal amounts of capital, when they are only putting up equal amounts of common equity.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 19 Feb 2013 05:31 PM PST A great deal of academic and theoretical work has been dedicated to optimal liquidation of large orders these last twenty years. The optimal split of an order through time (`optimal trade scheduling') and space (`smart order routing') is of high interest \rred{to} practitioners because of the increasing complexity of the market micro structure because of the evolution recently of regulations... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Collateral-Enhanced Default Risk. (arXiv:1302.4595v1 [q-fin.RM]) Posted: 19 Feb 2013 05:31 PM PST Changes in collateralization have been implicated in significant default (or near-default) events during the financial crisis, most notably with AIG. We have developed a framework for quantifying this effect based on moving between Merton-type and Black-Cox-type structural default models. Our framework leads to a single equation that emcompasses the range of possibilities,... Visit MoneyScience for the Complete Article.    |
| Posted: 19 Feb 2013 05:31 PM PST The multilevel Monte Carlo path simulation method introduced by Giles (Operations Research, 56(3):607-617, 2008) exploits strong convergence properties to improve the computational complexity by combining simulations with different levels of resolution. Previous research has analysed its efficiency when using the Euler-Maruyama discretisation, and also demonstrated its improved efficiency using... Visit MoneyScience for the Complete Article.    |
| Posted: 19 Feb 2013 05:31 PM PST Assuming that agents' preferences satisfy first-order stochastic dominance, we show that the Expected Utility Paradigm can explain all rational investment choices. In particular, the optimal investment strategy in any behavioral law-invariant setting corresponds to the optimum for some risk averse expected utility maximizer whose concave utility function we derive explicitly. This result enables... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Skewness Risk Premium: Theory and Empirical Evidence (CEPR DP9349) Posted: 19 Feb 2013 05:27 AM PST Skewness Risk Premium: Theory and Empirical Evidence Author(s): Thorsten Lehnert, Yuehao Lin, Christian C Wolff CEPR Discussion Paper Number 9349 Paper Details | PDF Download* | Purchase Electronic | Purchase Printed Programme Area(s): Financial Economics (FE) Date of Publication: 17/02/2013 Keyword(s): asset pricing, central moments, investor sentiment, option markets, risk... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Capital, Trust and Competitiveness in the Banking Sector (CEPR DP9348) Posted: 19 Feb 2013 05:27 AM PST Capital, Trust and Competitiveness in the Banking Sector Author(s): Thomas Gehrig CEPR Discussion Paper Number 9348 Paper Details | PDF Download* | Purchase Electronic | Purchase Printed Programme Area(s): Financial Economics (FE), Public Policy (PP) Date of Publication: 17/02/2013 Keyword(s): bank capital, Basel process of capital regulation, trust JEL(s): E58, G01, G21, H63 ... Visit MoneyScience for the Complete Article.    |
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