MoneyScience News |
- Vendor News: Fidessa partners with key brokers to provide pan-ASEAN trading service
- Blog Post: TheFinancialServicesClub: The real cause of the Bitcoin bubble and burst
- Blog Post: Falkenblog: Random
- Published / Preprint: Existence of an endogenously complete equilibrium driven by a diffusion. (arXiv:1304.3516v1 [math.PR])
- Published / Preprint: Hedging of Game Options under Model Uncertainty in Discrete Time. (arXiv:1304.3574v1 [q-fin.PR])
| Vendor News: Fidessa partners with key brokers to provide pan-ASEAN trading service Posted: 15 Apr 2013 01:17 AM PDT      |
| Blog Post: TheFinancialServicesClub: The real cause of the Bitcoin bubble and burst Posted: 15 Apr 2013 01:07 AM PDT All the media has finally woken up to the Bitcoin phenomena when the value of Bitcoins rose from a steady $20 per coin to $266 last week รข€¦ only to crash to $100 by the end of the week.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 14 Apr 2013 07:51 PM PDT The Missing Risk Premium is a quick read, but if you really have no time, here's a 120 page PowerPoint highlighting many of its main arguments. Here's a paper in the JFE by Cao and Han finding that total variance generates lower-than-average returns, in this case, in option markets. Selling the highest volatility options generates a higher positive return over time. Clearly, this is risky, but... Visit MoneyScience for the Complete Article.    |
| Posted: 14 Apr 2013 05:31 PM PDT The existence of complete Radner equilibria is established in an economy which parameters are driven by a diffusion process. Our results complement those in the literature. In particular, we work under essentially minimal regularity conditions and treat time-inhomogeneous case. Visit MoneyScience for the Complete Article.    |
| Posted: 14 Apr 2013 05:31 PM PDT We introduce a setup of model uncertainty in discrete time. In this setup we derive dual expressions for the super--replication prices of game options with upper semicontinuous payoffs. We show that the super--replication price is equal to the supremum over a special (non dominated) set of martingale measures, of the corresponding Dynkin games values. This type of results is also new for American... Visit MoneyScience for the Complete Article.    |
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