MoneyScience News |
- Blog Post: TheFinancialServicesClub: If you thought PPI was costly, wait till you see the price of this scandal
- Blog Post: TheAlephBlog: Using Life Insurance Products to Fund Long-Term Needs
- Published / Preprint: Government Solvency, Austerity and Fiscal Consolidation in the OECD: A Keynesian Appraisal of Transversality and No Ponzi Game Conditions. (arXiv:1304.7330v1 [q-fin.GN])
- Published / Preprint: Deriving Derivatives. (arXiv:1304.7533v1 [q-fin.GN])
- Published / Preprint: Elasticity theory of structuring. (arXiv:1304.7535v1 [q-fin.GN])
- Published / Preprint: Balancing small fixed and proportional transaction cost in trading strategies. (arXiv:1304.7562v1 [q-fin.PM])
- Published / Preprint: Pricing TARN Using a Finite Difference Method. (arXiv:1304.7563v1 [q-fin.CP])
- Vendor News: Portfolio Probe version 1.06 released
- Blog Post: iMFdirect: Rethinking Macroeconomic Policy
- INET and CIGI Seek Proposals for Research Grants of up to $250,000
| Posted: 30 Apr 2013 03:01 AM PDT We had a fascinating insight into the issue of swaps mis-selling from Jeremy Roe last night at the Financial Services Club.read more... Visit MoneyScience for the Complete Article.      |
| Blog Post: TheAlephBlog: Using Life Insurance Products to Fund Long-Term Needs Posted: 30 Apr 2013 12:23 AM PDT I have noted recently a number of advertisements offering risk-free investing. When I dig into them, they are selling life insurance and annuities. They claim high rates of return with virtually no risk. Here are the problems:read more... Visit MoneyScience for the Complete Article.    |
| Posted: 29 Apr 2013 06:57 PM PDT This paper investigates the relevance of the No-Ponzi game condition for public debt (i.e. the public debt growth rate has to be lower than the real interest rate, a necessary assumption for Ricardian equivalence) and of the transversality condition for the GDP growth rate (i.e. the GDP growth rate has to be lower than the real interest rate). First, on the unbalanced panel of 21 countries from... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Deriving Derivatives. (arXiv:1304.7533v1 [q-fin.GN]) Posted: 29 Apr 2013 06:57 PM PDT We review the current practice in the design of investment products. It turns out that the quality of products can be substantially improved with a relatively small quantitative effort. Recognizing financial products as the ultimate output of our industry this approach puts demands on support infrastructure such as pricing models. This allows for critical review of modelling assumptions and leads... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Elasticity theory of structuring. (arXiv:1304.7535v1 [q-fin.GN]) Posted: 29 Apr 2013 06:57 PM PDT We reinforce the foundations of our quantitative approach to structuring by considering a large class of rational investors. Again, the Bayesian laws of information processing provide us with simple yet powerful tools. Structuring of investment derivatives is summarized as a manufacturing process. This allows for performance, quality and safety to be built into the product at the level of... Visit MoneyScience for the Complete Article.    |
| Posted: 29 Apr 2013 06:57 PM PDT Transaction costs appear in financial markets in more than one form. There are several results in the literature on small proportional transaction cost and not that many on fixed transaction cost. In the present work, we heuristically study the effect of both types of transaction cost by focusing on a portfolio optimization. Here we assume the presence of fixed transaction cost and that there is... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Pricing TARN Using a Finite Difference Method. (arXiv:1304.7563v1 [q-fin.CP]) Posted: 29 Apr 2013 06:57 PM PDT Typically options with a path dependent payoff, such as Target Accumulation Redemption Note (TARN), are evaluated by a Monte Carlo method. This paper describes a finite difference scheme for pricing a TARN option. Key steps in the proposed scheme involve tracking of multiple one-dimensional finite difference solutions, application of jump conditions at each cash flow exchange date, and a cubic... Visit MoneyScience for the Complete Article.    |
| Vendor News: Portfolio Probe version 1.06 released Posted: 29 Apr 2013 12:23 PM PDT Portfolio Probe version 1.06 released body,.backgroundTable{ background- } #contentTable{ border:0px none #000000; margin-top:10px; } .headerTop{ background- border-top:0px none #000000; border-bottom:0px none #FFFFFF; text-align:center; padding:0px; } .adminText{ font-size:10px; line-height:200%; font-family:Verdana; text-decoration:none;... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Rethinking Macroeconomic Policy Posted: 29 Apr 2013 09:01 AM PDT By Olivier Blanchardread more... Visit MoneyScience for the Complete Article.    |
| INET and CIGI Seek Proposals for Research Grants of up to $250,000 Posted: 29 Apr 2013 06:27 AM PDT The Institute for New Economic Thinking (INET) and The Centre for International Governance Innovation (CIGI) of Ontario, Canada, are accepting research proposals for their joint 2013 Grant Program, with grants ranging in value from $25,000 to $250,000.read more... Visit MoneyScience for the Complete Article.    |
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