Thursday, March 7, 2013

MoneyScience News

MoneyScience News

Blog Post: TheFinancialServicesClub: Fixing Our Banks: Part One

Posted: 07 Mar 2013 01:05 AM PST

Another day another conference, this one was about “Fixing our banks â€" what to fix for whom?” at South Bank University.read more...

Visit MoneyScience for the Complete Article.

Published / Preprint: Investment and Consumption with Regime-Switching Discount Rates. (arXiv:1303.1248v1 [q-fin.PM])

Posted: 06 Mar 2013 05:30 PM PST

This paper considers the problem of consumption and investment in a financial market within a continuous time stochastic economy. The investor exhibits a change in the discount rate. The investment opportunities are a stock and a riskless account. The market coefficients and discount factor switch according to a finite state Markov chain. The change in the discount rate leads to...

Visit MoneyScience for the Complete Article.

Published / Preprint: The Pricing of A Moving Barrier Option. (arXiv:1303.1296v1 [q-fin.PR])

Posted: 06 Mar 2013 05:30 PM PST

We provided an analytical representation of the price of a barrier option with one type of special moving barrier. We consider the case that risk free rate, dividend rate and stock volatility are time dependent. We get a pricing formula and put call parity for barrier option when the moving barrier has a special relation with risk free rate, dividend rate and stock volatility.

Visit MoneyScience for the Complete Article.

Published / Preprint: Analytical Pricing of Defaultable Bond with Stochastic Default Intensity. (arXiv:1303.1298v1 [q-fin.PR])

Posted: 06 Mar 2013 05:30 PM PST

We provide analytical pricing formula of corporate defaultable bond with both expected and unexpected default in the case with stochastic default intensity. In the case with constant short rate and exogenous default recovery using PDE method, we gave some pricing formula of the defaultable bond under the conditions that 1)expected default recovery is the same with unexpected default recovery; 2)...

Visit MoneyScience for the Complete Article.

Published / Preprint: Pricing American options via multi-level approximation methods. (arXiv:1303.1334v1 [q-fin.CP])

Posted: 06 Mar 2013 05:30 PM PST

In this article we propose a novel approach to reduce the computational complexity of various approximation methods for pricing discrete time American options. Given a sequence of continuation values estimates corresponding to different levels of spatial approximation and time discretization, we propose a multi-level low biased estimate for the price of an American option. It turns out that the...

Visit MoneyScience for the Complete Article.