MoneyScience News |
- Blog Post: TheFinancialServicesClub: Banks should not be political pawns
- Blog Post: TheAlephBlog: Book Review: The One Thing
- Vendor News: August 21, 2013 - SS&C GlobeOp Forward Redemption Indicator: August notifications 4.00%
- Published / Preprint: Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility. (arXiv:1308.4276v1 [q-fin.ST])
- Published / Preprint: Optimal robust bounds for variance options. (arXiv:1308.4363v1 [q-fin.PR])
- Published / Preprint: 20Aug/Mortgage insurance: market structure, underwriting cycle and policy implications issued by the Joint Forum
| Blog Post: TheFinancialServicesClub: Banks should not be political pawns Posted: 21 Aug 2013 11:41 PM PDT I received an email on my recent blogs about remittances and Somalia from one reader, Knut Flottorpm, and thought it worth posting on the blog to add to the debate. read more... Visit MoneyScience for the Complete Article.      |
| Blog Post: TheAlephBlog: Book Review: The One Thing Posted: 21 Aug 2013 11:28 PM PDT read more... Visit MoneyScience for the Complete Article.    |
| Posted: 21 Aug 2013 01:25 AM PDT    |
| Posted: 20 Aug 2013 05:38 PM PDT This paper investigates how the conditional quantiles of future returns and volatility of financial assets vary with various measures of ex-post variation in asset prices as well as option-implied volatility. We work in the flexible quantile regression framework and rely on recently developed model-free measures of integrated variance, upside and downside semivariance, and jump variation. Our... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Optimal robust bounds for variance options. (arXiv:1308.4363v1 [q-fin.PR]) Posted: 20 Aug 2013 05:38 PM PDT Robust, or model-independent properties of the variance swap are well-known, and date back to Dupire and Neuberger, who showed that, given the price of co-terminal call options, the price of a variance swap was exactly specified under the assumption that the price process is continuous. In Cox and Wang we showed that a lower bound on the price of a variance call could be established using a... Visit MoneyScience for the Complete Article.    |
| Posted: 20 Aug 2013 03:07 AM PDT "Mortgage insurance: market structure, underwriting cycle and policy implications" issued by the Joint Forum (20 August 2013) Visit MoneyScience for the Complete Article.    |
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