MoneyScience News |
- Published / Preprint: Bilateral Credit Valuation Adjustment for Large Credit Derivatives Portfolios. (arXiv:1305.5575v1 [q-fin.PR])
- Published / Preprint: On a Heath-Jarrow-Morton approach for stock options. (arXiv:1305.5621v1 [q-fin.PR])
- Published / Preprint: To the problem of turbulence in quantitative easing transmission channels and transactions network channels at quantitative easing policy implementation by central banks. (arXiv:1305.5656v1 [q-fin.GN])
- Blog Post: Falkenblog: Is Low Vol Overbought?
- Blog Post: emotionalfinance: It's cloudsâ illusions I recall . . . trading and the illusion of control
| Posted: 26 May 2013 05:49 PM PDT We obtain an explicit formula for the bilateral counterparty valuation adjustment of a credit default swaps portfolio referencing an asymptotically large number of entities. We perform the analysis under a doubly stochastic intensity framework, allowing for default correlation through a common jump process. The key insight behind our approach is an explicit characterization of the portfolio... Visit MoneyScience for the Complete Article.      |
| Posted: 26 May 2013 05:49 PM PDT This paper aims at transferring the philosophy behind Heath-Jarrow-Morton to the modelling of call options with all strikes and maturities. Contrary to the approach by Carmona and Nadtochiy (2009) and related to the recent contribution Carmona and Nadtochiy (2012) by the same authors, the key parametrisation of our approach involves time-inhomogeneous L\'evy processes instead of... Visit MoneyScience for the Complete Article.    |
| Posted: 26 May 2013 05:49 PM PDT In agreement with the recent research findings in the econophysics, we propose that the nonlinear dynamic chaos can be generated by the turbulent capital flows in both the quantitative easing transmission channels and the transaction networks channels, when there are the laminar turbulent capital flows transitions in the financial system. We demonstrate that the capital flows in both the... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: Is Low Vol Overbought? Posted: 26 May 2013 03:52 PM PDT Robeco's Pim van Vliet on whether low-volatility stocks are expensive: Basically, he says that looking P/E ratios they are slightly expensive. His low vol fund has a P/E ratio similar to the average, but on a dividend rate, it's actually cheaper. He argues that low volatility stocks have predictable performance based on valuation, so in today's trendy environment, it pays to have a nuanced... Visit MoneyScience for the Complete Article.    |
| Posted: 26 May 2013 09:03 AM PDT Visit MoneyScience for the Complete Article.    |
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