Monday, February 25, 2013

MoneyScience News

MoneyScience News

ICMA Centre lecturer wins Henley Business Schoolâs 2013 Research Output Prize

Posted: 25 Feb 2013 04:39 AM PST

The ICMA Centre’s Dr Ioannis Oikonomou has been awarded the University’s 2013 Best Research Output Prize for Henley Business School. Each year the University awards Faculty Output Prizes for the best research outputs from each of its four faculties. Dr Oikonomou won the award with his research paper* “The Impact of Corporate Social Performance on Financial Risk and Utility: AContinue reading

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Blog Post: TheFinancialServicesClub: Launch of the Financial Services Club Poland: 17th April 2013

Posted: 25 Feb 2013 12:02 AM PST

As many of you know, we have a virbrant Club community that has been running in various countries for a while now.read more...

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Published / Preprint: How to make Dupire's local volatility work with jumps. (arXiv:1302.5548v1 [q-fin.PR])

Posted: 24 Feb 2013 05:33 PM PST

There are several (mathematical) reasons why Dupire's formula fails in the non-diffusion setting. And yet, in practice, ad-hoc preconditioning of the option data works reasonably well. In this note we attempt to explain why. In particular, we propose a regularization procedure of the option data so that Dupire's local vol diffusion process recreates the correct option prices, even in manifest...

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