MoneyScience News |
- Blog Post: TheFinancialServicesClub: Is the Governor of the Bank of England lost at sea?
- Blog Post: TheAlephBlog: The Rules, Part XLII
- Blog Post: WealthandCapitalMarketsBlog: 7.11.13: Celent Securities & Investments Webinar: The Blurring of the IDB Vs. D2C Models in Fixed Income and FX
- Published / Preprint: Are stocks riskier than bonds? Not if you assess risk like Warren Buffett
- Published / Preprint: Can time difference deter arbitrage opportunities?
- Published / Preprint: Benchmark replication portfolio strategies
- Published / Preprint: Are behavioural finance equity funds a superior investment? A note on fund performance and market efficiency
- Published / Preprint: Compositional changes in the FTSE100 index from the standpoint of an arbitrageur
- Published / Preprint: Defaultable Bond with Endogenous Default Recovery and Integral of Higher Binary Options. (arXiv:1305.6988v1 [q-fin.PR])
- Published / Preprint: Prices and Asymptotics for Discrete Variance Swaps. (arXiv:1305.7092v1 [q-fin.PR])
- Published / Preprint: On martingale measures and pricing for continuous bond-stock market with stochastic bond. (arXiv:1108.0719v2 [q-fin.PR] UPDATED)
| Blog Post: TheFinancialServicesClub: Is the Governor of the Bank of England lost at sea? Posted: 31 May 2013 02:33 AM PDT We have several national British Treasures: Buckingham Palace, the Queen, the Houses of Parliament, Bruce Forsyth, Chicken Tikka Masala; but a new one is bidding for glory. Sir Mervyn King, the outgoing Governor of the Bank of England.read more... Visit MoneyScience for the Complete Article.      |
| Blog Post: TheAlephBlog: The Rules, Part XLII Posted: 31 May 2013 02:30 AM PDT During a panic, it is useful to reflect on the degree to which the real economy has been driven by the financial economy. In the Great Depression, the degree was heavy; in the seventies, it was light. Today, my guess is that it is in-between, which makes it difficult to figure out the right strategy.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 30 May 2013 11:53 PM PDT Celent Senior Analyst Joséphine de Chazournesread more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Are stocks riskier than bonds? Not if you assess risk like Warren Buffett Posted: 30 May 2013 10:59 PM PDT Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Can time difference deter arbitrage opportunities? Posted: 30 May 2013 10:59 PM PDT Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Benchmark replication portfolio strategies Posted: 30 May 2013 10:59 PM PDT Visit MoneyScience for the Complete Article.    |
| Posted: 30 May 2013 10:59 PM PDT Visit MoneyScience for the Complete Article.    |
| Posted: 30 May 2013 10:59 PM PDT Visit MoneyScience for the Complete Article.    |
| Posted: 30 May 2013 05:50 PM PDT In this article, we study the problem of pricing defaultable bond with endogenous default recovery under discrete default information using higher order binary oprions and their integrals. In our credit risk model, the risk free short rate is a constant, the default event occurs in an expected when the firm value reaches a certain lower threshold - the default barrier at predetermined discrete... Visit MoneyScience for the Complete Article.    |
| Posted: 30 May 2013 05:49 PM PDT We study the fair strike of a discrete variance swap for a general time-homogeneous stochastic volatility model. In the special cases of Heston, Hull-White and Schobel-Zhu stochastic volatility models we give simple explicit expressions (improving Broadie and Jain (2008a) in the case of the Heston model). We give conditions on parameters under which the fair strike of a discrete variance swap is... Visit MoneyScience for the Complete Article.    |
| Posted: 30 May 2013 05:49 PM PDT This paper studies stock options pricing in the presence of the stochastic deviations in bond prices. The martingale measure is not unique for this market, and there are non-replicable claims. It is shown that arbitrarily small deviations cause significant changes in the market properties. In particular, the martingale prices and the second moment of the hedging error can vary significantly and... Visit MoneyScience for the Complete Article.    |
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