MoneyScience News |
- Blog Post: TheFinancialServicesClub: The customer is ... not always right
- Vendor News: June 21, 2013 - SS&C GlobeOp Forward Redemption Indicator: June notifications 3.88%
- Blog Post: TheAlephBlog: Efficient Markets versus Ben Bernanke
- Published / Preprint: Valuation and hedging of OTC contracts with funding costs, collateralization and counterparty credit risk: Part 1. (arXiv:1306.4733v1 [q-fin.PR])
- Published / Preprint: Evolution of correlation structure of industrial indices of US equity markets. (arXiv:1306.4769v1 [q-fin.ST])
- Published / Preprint: Hedging and Leveraging: Principal Portfolios of the Capital Asset Pricing Model. (arXiv:1306.4958v1 [q-fin.PM])
- Published / Preprint: A Stochastic Feedback Model for Volatility. (arXiv:1306.4975v1 [q-fin.ST])
- Published / Preprint: On the time spent in the red by a refracted L\'evy risk process. (arXiv:1306.4619v1 [math.PR] CROSS LISTED)
- Blog Post: rob_daly: SIFMA Tech Dispatches: Post Mortem
- Vendor News: Infosys is now a contributing member of Open Data Center Alliance
| Blog Post: TheFinancialServicesClub: The customer is ... not always right Posted: 21 Jun 2013 02:41 AM PDT I just found a great website called Not Always Right that tells the staff side of humorous or challenging customer experiences in the USA.read more... Visit MoneyScience for the Complete Article.      |
| Vendor News: June 21, 2013 - SS&C GlobeOp Forward Redemption Indicator: June notifications 3.88% Posted: 21 Jun 2013 01:08 AM PDT    |
| Blog Post: TheAlephBlog: Efficient Markets versus Ben Bernanke Posted: 20 Jun 2013 11:29 PM PDT I’ve looked around for a transcript for Bernanke’s press conference, and I can’t find one. Here’s my gripe, and I mentioned briefly at the end of last night’s article.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 20 Jun 2013 05:38 PM PDT The research presented in this work is motivated by some recent papers regarding hedging and valuation of financial securities subject to funding costs, collateralization and counterparty credit risk. Our goal is to provide a sound theoretical underpinning for some results presented in these papers by developing a unified martingale framework for the non-linear approach to hedging and pricing of... Visit MoneyScience for the Complete Article.    |
| Posted: 20 Jun 2013 05:38 PM PDT We investigate the dynamics of correlations present between pairs of industry indices of US stocks traded in US markets by studying correlation based networks and spectral properties of the correlation matrix. The study is performed by using 49 industry index time series computed by K. French and E. Fama during the time period from July 1969 to December 2011 that is spanning more than 40 years.... Visit MoneyScience for the Complete Article.    |
| Posted: 20 Jun 2013 05:38 PM PDT The principal portfolios of the standard Capital Asset Pricing Model (CAPM) are analyzed and found to have remarkable hedging and leveraging properties. Principal portfolios implement a recasting of any correlated asset set of N risky securities into an equivalent but uncorrelated set when short sales are allowed. While a determination of principal portfolios in general requires a detailed... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: A Stochastic Feedback Model for Volatility. (arXiv:1306.4975v1 [q-fin.ST]) Posted: 20 Jun 2013 05:38 PM PDT Financial time series exhibit a number of interesting properties that are difficult to explain with simple models. These properties include fat-tails in the distribution of price fluctuations (or returns) that are slowly removed at longer timescales, strong autocorrelations in absolute returns but zero autocorrelation in returns themselves, and multifractal scaling. Although the underlying cause... Visit MoneyScience for the Complete Article.    |
| Posted: 20 Jun 2013 05:38 PM PDT In this paper, we introduce an insurance ruin model with adaptive premium rate, thereafter refered to as restructuring/refraction, in which classical ruin and bankruptcy are distinguished. In this model, the premium rate is increased as soon as the wealth process falls into the red zone and is brought back to its regular level when the process recovers. The analysis is mainly focused on the time... Visit MoneyScience for the Complete Article.    |
| Blog Post: rob_daly: SIFMA Tech Dispatches: Post Mortem Posted: 20 Jun 2013 11:09 AM PDT SIFMA Tech Dispatches: Post Mortemread more... Visit MoneyScience for the Complete Article.    |
| Vendor News: Infosys is now a contributing member of Open Data Center Alliance Posted: 20 Jun 2013 05:05 AM PDT Infosys will provide expertise in cloud and big data to support the Alliance’s mission â€" that of developing a unified vision around the cloud and big data requirements of enterprises. Visit MoneyScience for the Complete Article.    |
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