Tuesday, April 23, 2013

MoneyScience News

MoneyScience News

Blog Post: TheFinancialServicesClub: How to steal ... the easy way

Posted: 23 Apr 2013 12:02 AM PDT

We were privileged to host Tony Sales last week.read more...

Visit MoneyScience for the Complete Article.

Blog Post: TheAlephBlog: Classic: Separating Weak Holders From the Strong

Posted: 22 Apr 2013 11:20 PM PDT

Note: this was published at RealMoney on 3/23/2004.  This was part two of a  four part series. Part One is lost but was given the lousy title: Managing Liability Affects Stocks, Pt. 1.  If you have a copy, send it to me.read more...

Visit MoneyScience for the Complete Article.

Published / Preprint: The pricing formula for cancellable European options. (arXiv:1304.5962v1 [q-fin.PR])

Posted: 22 Apr 2013 05:40 PM PDT

This paper examines the value of a cancellable European option in a finite time horizon setting. The specifications of this generalized European option allow the seller to cancel the option at any point in time for a fixed penalty paid directly to the holder. Here, we provide an explicit valuation formula for the European game call where the early cancellation time is obtained iteratively.

Visit MoneyScience for the Complete Article.

Published / Preprint: Analysis of Realized Volatility in Two Trading Sessions of the Japanese Stock Market. (arXiv:1304.6006v1 [q-fin.ST])

Posted: 22 Apr 2013 05:40 PM PDT

We analyze realized volatilities constructed using high-frequency stock data on the Tokyo Stock Exchange. In order to avoid non-trading hours issue in volatility calculations we define two realized volatilities calculated separately in the two trading sessions of the Tokyo Stock Exchange, i.e. morning and afternoon sessions. After calculating the realized volatilities at various sampling...

Visit MoneyScience for the Complete Article.