MoneyScience News |
- Published / Preprint: HOPE, FEAR, AND ASPIRATIONS
- Published / Preprint: OPTIMAL HIGHâFREQUENCY TRADING IN A PRO RATA MICROSTRUCTURE WITH PREDICTIVE INFORMATION
- Published / Preprint: BESSEL PROCESSES, STOCHASTIC VOLATILITY, AND TIMER OPTIONS
- Published / Preprint: NOâARBITRAGE PRICING FOR DIVIDENDâPAYING SECURITIES IN DISCRETEâTIME MARKETS WITH TRANSACTION COSTS
- Published / Preprint: PORTFOLIO LIQUIDATION IN DARK POOLS IN CONTINUOUS TIME
- Published / Preprint: ROBUST UTILITY MAXIMIZATION IN NONDOMINATED MODELS WITH 2BSDE: THE UNCERTAIN VOLATILITY MODEL
- Blog Post: TheFinancialServicesClub: Paranoid about launderers (and rightly so)
- Blog Post: TheAlephBlog: On RSS and Feedburner
- Published / Preprint: The convergence of regional house prices in the USA in the context of the stress testing of financial institutions. (arXiv:1306.3531v1 [q-fin.RM])
- Published / Preprint: Thermodynamics of long-run economic innovation and growth. (arXiv:1306.3554v1 [q-fin.GN])
- Published / Preprint: How interbank lending amplifies overlapping portfolio contagion: A case study of the Austrian banking network. (arXiv:1306.3704v1 [q-fin.GN])
- Published / Preprint: From Text to Bank Interrelation Maps. (arXiv:1306.3856v1 [q-fin.RM])
- Published / Preprint: Applying the Wiener-Hopf Monte Carlo simulation technique for Levy processes to path functionals such as first passage times, undershoots and overshoots. (arXiv:1306.3923v1 [math.PR])
- Blog Post: rob_daly: Innotribe Names Startup Challenge Finalists
- Blog Post: iMFdirect: F&D Magazine: A Mother's Example
- Vendor News: June 17, 2013 - SS&C Appoints Timothy Reilly Senior Vice President, Institutional Outsourcing
- Strategy, Value and Risk - An Interview with Jamie Rogers
| Published / Preprint: HOPE, FEAR, AND ASPIRATIONS Posted: 18 Jun 2013 04:39 AM PDT We propose a rankâ€dependent portfolio choice model in continuous time that captures the role in decision making of three emotions: hope, fear, and aspirations. Hope and fear are modeled through an inverseâ€S shaped probability weighting function and aspirations through a probabilistic constraint. By employing the recently developed approach of quantile formulation, we solve the portfolio... Visit MoneyScience for the Complete Article.      |
| Posted: 18 Jun 2013 04:39 AM PDT We propose a framework to study optimal trading policies in a oneâ€tick pro rata limit order book, as typically arises in shortâ€term interest rate futures contracts. The highâ€frequency trader chooses to post either market orders or limit orders, which are represented, respectively, by impulse controls and regular controls. We discuss the consequences of the two main features of this... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: BESSEL PROCESSES, STOCHASTIC VOLATILITY, AND TIMER OPTIONS Posted: 18 Jun 2013 04:39 AM PDT Motivated by analytical valuation of timer options (an important innovation in realized varianceâ€based derivatives), we explore their novel mathematical connection with stochastic volatility and Bessel processes (with constant drift). Under the Heston (1993) stochastic volatility model, we formulate the problem through a firstâ€passage time problem on realized variance, and generalize the... Visit MoneyScience for the Complete Article.    |
| Posted: 18 Jun 2013 04:39 AM PDT We prove a version of First Fundamental Theorem of Asset Pricing under transaction costs for discreteâ€time markets with dividendâ€paying securities. Specifically, we show that the noâ€arbitrage condition under the efficient friction assumption is equivalent to the existence of a riskâ€neutral measure. We derive dual representations for the superhedging ask and subhedging bid price processes... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: PORTFOLIO LIQUIDATION IN DARK POOLS IN CONTINUOUS TIME Posted: 18 Jun 2013 04:39 AM PDT We consider an illiquid financial market where a risk averse investor has to liquidate a portfolio within a finite time horizon [0, T] and can trade continuously at a traditional exchange (the “primary venueâ€) and in a dark pool. At the primary venue, trading yields a linear price impact. In the dark pool, no price impact costs arise but order execution is uncertain, modeled by a... Visit MoneyScience for the Complete Article.    |
| Posted: 18 Jun 2013 04:39 AM PDT The problem of robust utility maximization in an incomplete market with volatility uncertainty is considered, in the sense that the volatility of the market is only assumed to lie between two given bounds. The set of all possible models (probability measures) considered here is nondominated. We propose studying this problem in the framework of secondâ€order backward stochastic differential... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: Paranoid about launderers (and rightly so) Posted: 18 Jun 2013 02:01 AM PDT Since the big headline fines of Standard Chartered and HSBC for money laundering last year, there have been a lot of things rumbling in the background.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: On RSS and Feedburner Posted: 17 Jun 2013 10:08 PM PDT Hi Friends! This post particularly applies to those that read me via RSS, which may be half of my readership when you consider all of the republishers of my work. At present, Google has stopped working on Feedburner, and earning money from Feedburner, which currently handles most if not all of my RSS.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Jun 2013 05:39 PM PDT I studied the convergence of regional house prices to national prices in USA by analyzing time-series of house price indices of 9 Census Divisions. I found the evidence of the convergence in some parts of the country using asymmetric unit root tests. The fact that the evidence of the convergence is not present in large parts of the country raises an issue of execution and interpretation of... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Jun 2013 05:39 PM PDT This article derives prognostic expressions for the evolution of globally aggregated economic wealth, productivity, inflation, technological change, innovation and growth. The approach is to treat civilization as an open, non-equilibrium thermodynamic system that dissipates energy and diffuses matter in order to sustain existing circulations and to further its material growth. Appealing to a... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Jun 2013 05:39 PM PDT In spite of the growing theoretical literature on cascades of failures in interbank lending networks, empirical results seem to suggest that networks of direct exposures are not the major channel of financial contagion. In this paper we show that networks of interbank exposures can however significantly amplify contagion due to overlapping portfolios. To illustrate this point, we consider the... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: From Text to Bank Interrelation Maps. (arXiv:1306.3856v1 [q-fin.RM]) Posted: 17 Jun 2013 05:39 PM PDT In the wake of the ongoing global financial crisis, interdependencies among banks have come into focus in trying to assess systemic risk. To date, such analysis has largely been based on numerical data. By contrast, this study attempts to gain further insight into bank interconnections by tapping into financial discussion. Co-mentions of bank names are turned into a network, which can be... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Jun 2013 05:39 PM PDT In this note we apply the recently established Wiener-Hopf Monte Carlo (WHMC) simulation technique for Levy processes from Kuznetsov et al. [17] to path functionals, in particular first passage times, overshoots, undershoots and the last maximum before the passage time. Such functionals have many applications, for instance in finance (the pricing of exotic options in a Levy model) and insurance... Visit MoneyScience for the Complete Article.    |
| Blog Post: rob_daly: Innotribe Names Startup Challenge Finalists Posted: 17 Jun 2013 10:30 AM PDT Innotribe Names Startup Challenge Finalistsread more... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: F&D Magazine: A Mother's Example Posted: 17 Jun 2013 07:47 AM PDT By: Jeffrey Hayden, Editor-in-Chiefread more... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Jun 2013 06:09 AM PDT    |
| Strategy, Value and Risk - An Interview with Jamie Rogers Posted: 14 Jun 2013 01:13 AM PDT In this third part of our series of interviews with authors about their recently published books, I talk to Jamie Rogers about the 3rd edition of his book, 'Strategy, Value and Risk: A Guide to Advanced Financial Management".read more... Visit MoneyScience for the Complete Article.    |
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