MoneyScience News |
- Blog Post: TheFinancialServicesClub: The Chancellor's speech is one of the worst ever
- Blog Post: TheAlephBlog: Seven Notes on Blogging and the Markets
- Published / Preprint: Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs. (arXiv:1302.0361v1 [q-fin.PR])
- Published / Preprint: CVA and FVA to Derivatives Trades Collateralized by Cash. (arXiv:1302.0465v1 [q-fin.PR])
- Published / Preprint: Basis of financial arithmetic from the viewpoint of the utility theory. (arXiv:1302.0537v1 [q-fin.GN])
- Published / Preprint: On return rate implied by behavioural present value. (arXiv:1302.0538v1 [q-fin.GN])
- Published / Preprint: Behavioural present value. (arXiv:1302.0539v1 [q-fin.GN])
- Published / Preprint: Inflation-rate Derivatives: From Market Model to Foreign Currency Analogy. (arXiv:1302.0574v1 [q-fin.PR])
- Published / Preprint: Robust Hedging with Proportional Transaction Costs. (arXiv:1302.0590v1 [q-fin.PM])
- Blog Post: Falkenblog: Acadian Has New Low Vol Paper
- Blog Post: iMFdirect: Resolutions for the Fiscal New Year'Staying on Track Is No Easy Task
- Research Library: Head and Shoulders above the Rest? The Performance of Institutional Portfolio Managers who Use Technical Analysis
- The criminal responsibilities of ⦠economists?
- Announcing the Ethics in Finance-Robin Cosgrove Prize 2012-2013
- Published / Preprint: Financial Crises: Explanations, Types, and Implications (CEPR DP9329)
| Blog Post: TheFinancialServicesClub: The Chancellor's speech is one of the worst ever Posted: 05 Feb 2013 02:12 AM PST So George Osborne, the UK Chancellor, made a big speech at JPMorgan’s HQ in Bournemouth yesterday.read more... Visit MoneyScience for the Complete Article.      |
| Blog Post: TheAlephBlog: Seven Notes on Blogging and the Markets Posted: 04 Feb 2013 10:39 PM PST I need to catch up on a few things, so bear with me. This might ramble.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 04 Feb 2013 05:38 PM PST We propose a continuous time model for financial markets with proportional transactions costs and a continuum of risky assets. This is motivated by bond markets in which the continuum of assets corresponds to the continuum of possible maturities. Our framework is well adapted to the study of no-arbitrage properties and related hedging problems. In particular, we extend the Fundamental Theorem of... Visit MoneyScience for the Complete Article.    |
| Posted: 04 Feb 2013 05:38 PM PST In this article, we combine replication pricing with expectation pricing for derivative trades that are partially collateralized by cash. The derivatives are replicated by underlying assets and cash, using repurchasing agreement (repo) and margining, which incur funding costs. We derive a partial differential equation (PDE) for the derivatives price, obtain and decompose its solution into the... Visit MoneyScience for the Complete Article.    |
| Posted: 04 Feb 2013 05:38 PM PST The main goal of this paper is presentation a modern axiomatic approach to financial arithmetic. At the first, the axiomatic financial arithmetic theory was proposed by Peccati who has introduced the axiomatic definition of the future value. This theory has been extensively developed in past years. Proposed approach to financial arithmetic is based on the financial flow utility concept. This... Visit MoneyScience for the Complete Article.    |
| Posted: 04 Feb 2013 05:38 PM PST The future value of a security is described as a random variable. Distribution of this random variable is the formal image of risk uncertainty. On the other side, any present value is defined as a value equivalent to the given future value. This equivalence relationship is a subjective. Thus follows, that present value is described as a fuzzy number, which is depend on the investor's... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Behavioural present value. (arXiv:1302.0539v1 [q-fin.GN]) Posted: 04 Feb 2013 05:38 PM PST Impact of chosen behavioural factors on imprecision of present value is discussed here. The formal model of behavioural present value is offered as a result of this discussion. Behavioural present value is described here by fuzzy set. These considerations were illustrated by means of extensive numerical case study. Finally there are shown that in proposed model the return rate is given, as a... Visit MoneyScience for the Complete Article.    |
| Posted: 04 Feb 2013 05:38 PM PST In this paper, we establish a market model for the term structure of forward inflation rates based on the risk-neutral dynamics of nominal and real zero-coupon bonds. Under the market model, we can price inflation caplets as well as inflation swaptions with a formula similar to the Black's formula, thus justify the current market practice. We demonstrate how to further extend the market model to... Visit MoneyScience for the Complete Article.    |
| Posted: 04 Feb 2013 05:38 PM PST Duality for robust hedging with proportional transaction costs of path dependent European options is obtained in a discrete time financial market with one risky asset. Investor's portfolio consists of a dynamically traded stock and a static position in vanilla options which can be exercised at maturity. Only stock trading is subject to proportional transaction costs. The main theorem is duality... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: Acadian Has New Low Vol Paper Posted: 04 Feb 2013 05:26 PM PST Bradley, Wurgler, and Taliaferro (2013) have a new paper out that tries decoct the essence of the low risk anomaly with reference to a vague assertion by Respected Dead Economist Paul Samuelson's that markets are macro inefficient and micro efficient. Samuelson noted one can arbitrage relative prices via derivatives, long/short portfolios, but if the aggregate market is too high or low,... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Resolutions for the Fiscal New Year'Staying on Track Is No Easy Task Posted: 04 Feb 2013 11:15 AM PST by Carlo Cottarelli and Philip Gersonread more... Visit MoneyScience for the Complete Article.    |
| Posted: 04 Feb 2013 07:15 AM PST H/T Phil Pearlman David Smith, Christophe Faugère and Ying Wang Abstract This study takes a novel approach to testing the efficacy of technical analysis. Ratherthan testing specific trading rules as is typically done in the literature, we rely oninstitutional portfolio managers’ statements about whether and how intensely they usetechnical analysis, irrespective of the... Visit MoneyScience for the Complete Article.    |
| The criminal responsibilities of ⦠economists? Posted: 04 Feb 2013 06:29 AM PST Using the events of L’Aquila and the subsequent convictions of Italian seismologists as a starting point, Ioannis goes on to explore the extent to which economists could and should be held accountable for economic and financial turmoils. In case you have missed it, a few months ago it was widely reported in the media that half a dozen Italian seismologists were convictedContinue reading Visit MoneyScience for the Complete Article.    |
| Announcing the Ethics in Finance-Robin Cosgrove Prize 2012-2013 Posted: 04 Feb 2013 05:46 AM PST There are two Competitions for the Prize:read more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Financial Crises: Explanations, Types, and Implications (CEPR DP9329) Posted: 04 Feb 2013 05:27 AM PST Financial Crises: Explanations, Types, and Implications Author(s): Stijn Claessens, Ayhan Kose CEPR Discussion Paper Number 9329 Paper Details | PDF Download* | Purchase Electronic | Purchase Printed Programme Area(s): Financial Economics (FE) Date of Publication: 03/02/2013 Keyword(s): asset booms, banking crises, credit booms, crises prediction, currency crises, debt crises,... Visit MoneyScience for the Complete Article.    |
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