Thursday, February 28, 2013

MoneyScience News

MoneyScience News

Blog Post: TheFinancialServicesClub: The latest stats on Bitcoin

Posted: 28 Feb 2013 01:01 AM PST

I’ve written a lot about Bitcoin over the last year:read more...

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Blog Post: Falkenblog: Too Many Axioms?

Posted: 27 Feb 2013 06:55 PM PST

I stumbled upon a website that listed 61 common behavioral biases,  and most of them seemed good to know, unfortunately.  I guess there are so many because we are constantly using heuristics to explain and predict, and of course these heuristics are often applied incorrectly, in the same way we think people from large countries or states far away know each other or get along (eg, I...

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Published / Preprint: CoCo Bonds Valuation with Equity- and Credit-Calibrated First Passage Structural Models. (arXiv:1302.6629v1 [q-fin.PR])

Posted: 27 Feb 2013 05:32 PM PST

After the beginning of the credit and liquidity crisis, financial institutions have been considering creating a convertible-bond type contract focusing on Capital. Under the terms of this contract, a bond is converted into equity if the authorities deem the institution to be under-capitalized. This paper discusses this Contingent Capital (or Coco) bond instrument and presents a pricing...

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Published / Preprint: Continuous-time Mean-Variance Portfolio Selection with Stochastic Parameters. (arXiv:1302.6669v1 [q-fin.PM])

Posted: 27 Feb 2013 05:32 PM PST

This paper studies a continuous-time market {under stochastic environment} where an agent, having specified an investment horizon and a target terminal mean return, seeks to minimize the variance of the return with multiple stocks and a bond. In the considered model firstly proposed by [3], the mean returns of individual assets are explicitly affected by underlying Gaussian economic factors....

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Published / Preprint: On the theory of firm in nonlinear dynamic financial and economic systems. (arXiv:1302.6721v1 [q-fin.GN])

Posted: 27 Feb 2013 05:32 PM PST

The new business paradigms originate a strong necessity to re-think the theory of the firm with the aim to get a better understanding on the organizational and functional principles of the firm, operating in the investment economies in the prosperous societies. In this connection, we make the innovative research to advance our scientific knowledge on the theory of firm in the conditions of the...

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Published / Preprint: An extension of Paulsen-Gjessing's risk model with stochastic return on investments. (arXiv:1302.6757v1 [q-fin.CP])

Posted: 27 Feb 2013 05:32 PM PST

We consider in this paper a general two-sided jump-diffusion risk model that allows for risky investments as well as for correlation between the two Brownian motions driving insurance risk and investment return. We first introduce the model and then find the integro-differential equations satisfied by the Gerber-Shiu functions as well as the expected discounted penalty functions at ruin caused by...

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Published / Preprint: The first passage time problem for mixed-exponential jump processes with applications in insurance and finance. (arXiv:1302.6762v1 [q-fin.CP])

Posted: 27 Feb 2013 05:32 PM PST

This paper stidies the first passage times to constant boundaries for mixed-exponential jump diffusion processes. Explicit solutions of the Laplace transforms of the distribution of the first passage times, the joint distribution of the first passage times and undershoot (overshoot) are obtained. As applications, we present explicit expression of the Gerber-Shiu functions for surplus processes...

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