MoneyScience News |
- Blog Post: TheFinancialServicesClub: Things worth reading: 19th June 2013
- Blog Post: TheAlephBlog: Book Review: The AIG Story
- Published / Preprint: Fractional G-White Noise Theory, Wavelet Decomposition for Fractional G-Brownian Motion, and Bid-Ask Pricing Application to Finance Under Uncertainty. (arXiv:1306.4070v1 [q-fin.PR])
- Published / Preprint: A cutting surface algorithm for semi-infinite convex programming with an application to moment robust optimization. (arXiv:1306.3437v2 [math.OC] CROSS LISTED)
- Blog Post: rob_daly: SIFMA Tech Dispatches: Day One
| Blog Post: TheFinancialServicesClub: Things worth reading: 19th June 2013 Posted: 18 Jun 2013 11:38 PM PDT Things we're reading today include ... read more... Visit MoneyScience for the Complete Article.      |
| Blog Post: TheAlephBlog: Book Review: The AIG Story Posted: 18 Jun 2013 10:50 PM PDT read more... Visit MoneyScience for the Complete Article.    |
| Posted: 18 Jun 2013 05:38 PM PDT G-framework is presented by Peng [41] for measure risk under uncertainty. In this paper, we define fractional G-Brownian motion (fGBm). Fractional G-Brownian motion is a centered G-Gaussian process with zero mean and stationary increments in the sense of sub-linearity with Hurst index $H\in (0,1)$. This process has stationary increments, self-similarity, and long rang dependence properties in... Visit MoneyScience for the Complete Article.    |
| Posted: 18 Jun 2013 05:38 PM PDT We first present and analyze a central cutting surface algorithm for general semi-infinite convex optimization problems, and use it to develop an algorithm for distributionally robust optimization problems in which the uncertainty set consists of probability distributions with given bounds on their moments. The cutting surface algorithm is also applicable to problems with non-differentiable... Visit MoneyScience for the Complete Article.    |
| Blog Post: rob_daly: SIFMA Tech Dispatches: Day One Posted: 18 Jun 2013 08:49 AM PDT SIFMA Tech Dispatches: Day Oneread more... Visit MoneyScience for the Complete Article.    |
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