MoneyScience News |
- Blog Post: TheAlephBlog: The Rules, Part XLI
- Blog Post: TheFinancialServicesClub: 20 years of change and the challenge is still the same
- Published / Preprint: Hedging without sweat: a genetic programming approach. (arXiv:1305.6762v1 [q-fin.RM])
- Published / Preprint: Marginal density expansions for diffusions and stochastic volatility, part II: Applications [to the Stein--Stein model]. (arXiv:1305.6765v1 [math.PR])
- Published / Preprint: Two-step memory within Continuous Time Random Walk. Description of double-action market dynamics. (arXiv:1305.6797v1 [physics.data-an])
- Published / Preprint: Optimal portfolios of a long-term investor with floor or drawdown constraints. (arXiv:1305.6831v1 [q-fin.PM])
- Published / Preprint: Pricing of Defaultable Bond with Discrete Default Intensity, Discrete Default Barrier and Exogenous Default recovery. (arXiv:1305.6868v1 [q-fin.PR])
- Blog Post: iMFdirect: On A Roll: Sustaining Strong Growth in Latin America
| Blog Post: TheAlephBlog: The Rules, Part XLI Posted: 30 May 2013 02:20 AM PDT If businesses anticipate a flow of financing, they will depend on it. Then a diminution or increase in the flow of investable funds will affect markets, even if the flow of investable funds remains positive or negative.read more... Visit MoneyScience for the Complete Article.      |
| Blog Post: TheFinancialServicesClub: 20 years of change and the challenge is still the same Posted: 30 May 2013 12:52 AM PDT Twenty years ago, I was inspired by Mike Hammer and James Champy’s book Re-engineering theCorporation to start a consulting practise in business process re-engineering (BPR).read more... Visit MoneyScience for the Complete Article.    |
| Posted: 29 May 2013 05:50 PM PDT Hedging in the presence of transaction costs leads to complex optimization problems. These problems typically lack closed-form solutions, and their implementation relies on numerical methods that provide hedging strategies for specific parameter values. In this paper we use a genetic programming algorithm to derive explicit formulas for near-optimal hedging strategies under nonlinear transaction... Visit MoneyScience for the Complete Article.    |
| Posted: 29 May 2013 05:50 PM PDT In the compagnion paper [Marginal density expansions for diffusions and stochastic volatility, part I] we discussed density expansions for multidimensional diffusions $(X^1,...,X^d)$, at fixed time $T$ and projected to their first $l$ coordinates, in the small noise regime. Global conditions were found which replace the well-known "not-in-cutlocus" condition known from heat-kernel asymptotics. In... Visit MoneyScience for the Complete Article.    |
| Posted: 29 May 2013 05:50 PM PDT By means of a novel version of the Continuous-Time Random Walk (CTRW) model with memory, we describe, for instance, the stochastic process of a single share price on a double-auction market within the high frequency time scale. The memory present in the model is understood as dependence between successive share price jumps, while waiting times between price changes are considered as i.i.d. random... Visit MoneyScience for the Complete Article.    |
| Posted: 29 May 2013 05:50 PM PDT We study the portfolio selection problem of a long-run investor who is maximising the asymptotic growth rate of her expected utility. We show that, somewhat surprisingly, it is essentially not affected by introduction of a floor constraint which requires the wealth process to dominate a given benchmark at all times. We further study the notion of long-run optimality of wealth processes via... Visit MoneyScience for the Complete Article.    |
| Posted: 29 May 2013 05:50 PM PDT In this article, we study the problem of pricing defaultable bond with discrete default intensity, discrete default barrier and exogenous default recovery. The motivation is the fact that the investor outside of the firm can know the firm information like default barrier only in some discrete dates such as announcing dates of firm management information and the credit rating of the firm that... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: On A Roll: Sustaining Strong Growth in Latin America Posted: 29 May 2013 06:55 AM PDT By Sebastián Sosa, Evridiki Tsounta, and Hye Sun Kimread more... Visit MoneyScience for the Complete Article.    |
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