MoneyScience News |
- Blog Post: TheAlephBlog: At the Towson University Investment Group's International Market Summit, Part 2
- Blog Post: TheFinancialServicesClub: Things worth reading: 19th April 2013
- Published / Preprint: Double Whammy - How ICT Projects are Fooled by Randomness and Screwed by Political Intent. (arXiv:1304.4590v1 [q-fin.GN])
- Published / Preprint: Cubature on Wiener space: pathwise convergence. (arXiv:1304.4623v1 [math.PR])
- Published / Preprint: On the pricing and hedging of options for highly volatile periods. (arXiv:1304.4688v1 [q-fin.PR])
- Published / Preprint: On option pricing in illiquid markets with jumps. (arXiv:1304.4690v1 [q-fin.PR])
- Published / Preprint: On the accurate characterization of business cycles in nonlinear dynamic financial and economic systems. (arXiv:1304.4807v1 [q-fin.GN])
- Published / Preprint: Firm's Information Environment and Stock Liquidity : Evidence from Tunisian Context,. (arXiv:1304.4852v1 [q-fin.GN])
- Published / Preprint: Risk measures for processes and BSDEs. (arXiv:1304.4853v1 [math.PR])
- Published / Preprint: Modeling stock price returns and pricing a European option with Le Cam's statistical experiments, without stochastic calculus. (arXiv:1304.4929v1 [q-fin.PR])
- Blog Post: WealthandCapitalMarketsBlog: 6.20.13: Celent Securities & Investments Event'Innovation in Focus: US Fixed Trading and Markets
- Blog Post: rob_daly: NYSE Euronext Offers New XDP Consolidated Feed
- Blog Post: iMFdirect: How to Sustain Recent Financial Gains: Fix Old Risks and Meet New Challenges
- Published / Preprint: 17Apr/Implementation of PFMIs monitored by CPSS and IOSCO
| Posted: 18 Apr 2013 12:59 AM PDT Here are some questions submitted in writing that did not get asked. Â Here are some questions & answers:read more... Visit MoneyScience for the Complete Article.      |
| Blog Post: TheFinancialServicesClub: Things worth reading: 19th April 2013 Posted: 17 Apr 2013 10:19 PM PDT Things we're reading today include ... read more... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Apr 2013 05:39 PM PDT The cost-benefit analysis formulates the holy trinity of objectives of project management - cost, schedule, and benefits. As our previous research has shown, ICT projects deviate from their initial cost estimate by more than 10% in 8 out of 10 cases. Academic research has argued that Optimism Bias and Black Swan Blindness cause forecasts to fall short of actual costs. Firstly, optimism bias has... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Cubature on Wiener space: pathwise convergence. (arXiv:1304.4623v1 [math.PR]) Posted: 17 Apr 2013 05:39 PM PDT Cubature on Wiener space [Lyons, T.; Victoir, N.; Proc. R. Soc. Lond. A 8 January 2004 vol. 460 no. 2041 169-198] provides a powerful alternative to Monte Carlo simulation for the integration of certain functionals on Wiener space. More specifically, and in the language of mathematical finance, cubature allows for fast computation of European option prices in generic diffusion models. read more... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Apr 2013 05:39 PM PDT Option pricing is an integral part of modern financial risk management. The well-known Black and Scholes (1973) formula is commonly used for this purpose. This paper is an attempt to extend their work to a situation in which the unconditional volatility of the original asset is increasing during a certain period of time. We consider a market suffering from a financial crisis. We provide the... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Apr 2013 05:39 PM PDT One of the shortcomings of the Black and Scholes model on option pricing is the assumption that trading of the underlying asset does not affect the price of that asset. This assumption can be fulfilled only in perfectly liquid markets. Since most markets are illquid, this assumption might be too restrictive. Thus, taking into account the price impact in option pricing is an important issue. This... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Apr 2013 05:39 PM PDT The accurate characterization of the business cycles in the nonlinear dynamic financial and economic systems in the time of globalization represents a formidable research problem. The central banks and other financial institutions make their decisions on the minimum capital requirements, countercyclical capital buffer allocation and capital investments, going from the precise data on the business... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Apr 2013 05:39 PM PDT This paper analyzes the relationship between public disclosure, private information and stock liquidity in Tunisian context using a sample of 41 listed firms in the Tunis Stock Exchange in 2007. First, we find no evidence that there is a relation between public and private information. Second, Tunisian investors do not trust the information disclosed in both annual reports and web sites,... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Risk measures for processes and BSDEs. (arXiv:1304.4853v1 [math.PR]) Posted: 17 Apr 2013 05:39 PM PDT The paper analyzes risk assessment for cash flows in continuous time using the notion of convex risk measures for processes. By combining a decomposition result for optional measures, and a dual representation of a convex risk measure for bounded \cd processes, we show that this framework provides a systematic approach to the both issues of model ambiguity, and uncertainty about the time... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Apr 2013 05:39 PM PDT The embedding of the stock price return modeling problem in Le Cam's statistical experiments framework suggests strategies-probabilities, obtained from the traded stock prices in the time interval [t0, T], for the agent selling the stock's European call option at t_0 and for the buyer who may exercise it at T. The nature of these probabilities is justified by the slight dependence of stock... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Apr 2013 01:16 PM PDT Celent Research Director David Easthoperead more... Visit MoneyScience for the Complete Article.    |
| Blog Post: rob_daly: NYSE Euronext Offers New XDP Consolidated Feed Posted: 17 Apr 2013 12:47 PM PDT NYSE Euronext Offers New XDP Consolidated Feedread more... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: How to Sustain Recent Financial Gains: Fix Old Risks and Meet New Challenges Posted: 17 Apr 2013 06:39 AM PDT By José Viñalsread more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: 17Apr/Implementation of PFMIs monitored by CPSS and IOSCO Posted: 17 Apr 2013 06:17 AM PDT Press release about CPSS and IOSCO monitoring the implementation of PFMIs (BIS Press Release 17 April 2013) Visit MoneyScience for the Complete Article.    |
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