MoneyScience News |
- Blog Post: TheAlephBlog: On the Value of Writing Well
- Blog Post: TheFinancialServicesClub: Zimbabwe's currency crisis and the 100 trillion dollar note
- Published / Preprint: Option pricing with anomalous scaling and infinite-state switching volatility. (arXiv:1307.6322v1 [q-fin.PR])
- Published / Preprint: Modelling energy spot prices by volatility modulated L\'{e}vy-driven Volterra processes. (arXiv:1307.6332v1 [q-fin.PR])
- Published / Preprint: CVA for Bilateral Counterparty Risk under Alternative Settlement Conventions. (arXiv:1307.6486v1 [q-fin.PR])
- Blog Post: iMFdirect: The Times They are a-Changin': will (fiscal) history repeat itself?
| Blog Post: TheAlephBlog: On the Value of Writing Well Posted: 25 Jul 2013 02:40 AM PDT I read this article yesterday, Does it matter if students can’t write? at the Financial Times. I say, yes it matters.read more... Visit MoneyScience for the Complete Article.      |
| Blog Post: TheFinancialServicesClub: Zimbabwe's currency crisis and the 100 trillion dollar note Posted: 25 Jul 2013 01:00 AM PDT During my trip to Africa, we had a few days out at the magnificent Victoria Falls. An amazing natural wonder of the world, particularly from the Zimbabwean side of the falls where you can walk the 1.8 kilometres opposite the massively flowing waters.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 24 Jul 2013 05:39 PM PDT Volatility clustering, long-range dependence, non-Gaussianity and anomalous scaling are all well-known stylized facts of financial assets return dynamics. These elements have a relevant impact on the aptness of models for the pricing of options written on financial assets. We make us of a model developed in physics that captures the previously cited returns features . The model allows deriving... Visit MoneyScience for the Complete Article.    |
| Posted: 24 Jul 2013 05:39 PM PDT This paper introduces the class of volatility modulated L\'{e}vy-driven Volterra (VMLV) processes and their important subclass of L\'{e}vy semistationary (LSS) processes as a new framework for modelling energy spot prices. The main modelling idea consists of four principles: First, deseasonalised spot prices can be modelled directly in stationarity. Second, stochastic volatility is... Visit MoneyScience for the Complete Article.    |
| Posted: 24 Jul 2013 05:39 PM PDT We depart from the usual methods for pricing contracts with the counterparty credit risk found in most of the existing literature. In effect, typically, these models do not account for either systemic effects or at-first-default contagion and postulate that the contract value at default equals either the risk-free value or the pre-default value. We propose instead a fairly general framework,... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: The Times They are a-Changin': will (fiscal) history repeat itself? Posted: 24 Jul 2013 11:06 AM PDT By Carlo Cottarelliread more... Visit MoneyScience for the Complete Article.    |
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