MoneyScience News |
- Blog Post: TheFinancialServicesClub: Things worth reading: (Friday the) 13th September 2013
- Vendor News: September 13, 2013 - SS&C GlobeOp Hedge Fund Performance Index: August performance 0.29%; Capital Movement Index: September net flows advance 0.42%
- Blog Post: TheAlephBlog: On Blogging Long-Term (Post 2200)
- Published / Preprint: Stability analysis of a model for the market dynamics of a smart grid. (arXiv:1309.2970v1 [nlin.PS])
- Published / Preprint: On sub-hedging American options under model uncertainty. (arXiv:1309.2982v1 [math.PR])
- Published / Preprint: Multi-Asset Option Pricing with Exponential L\'evy Processes and the Mellin Transform. (arXiv:1309.3035v1 [q-fin.PR])
- Published / Preprint: A nested factor model for non-linear dependences in stock returns. (arXiv:1309.3102v1 [q-fin.RM])
| Blog Post: TheFinancialServicesClub: Things worth reading: (Friday the) 13th September 2013 Posted: 13 Sep 2013 03:22 AM PDT Things we're reading today include ... read more... Visit MoneyScience for the Complete Article.      |
| Posted: 13 Sep 2013 01:09 AM PDT    |
| Blog Post: TheAlephBlog: On Blogging Long-Term (Post 2200) Posted: 12 Sep 2013 09:58 PM PDT When I started blogging in February 2007, I did not know that I would be able to write on new topics for so long. But I committed to writing two short posts a night initially, which became one long post per night, excluding the Sabbath.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 12 Sep 2013 05:38 PM PDT We consider the dynamics of a smart grid system characterized by widespread distributed generation and storage devices. We assume that agents are free to trade electric energy over the network and we focus on the emerging market dynamics. We consider three different models for the market dynamics for which we present a stability analysis. We see that stability depends on the specific form of the... Visit MoneyScience for the Complete Article.    |
| Posted: 12 Sep 2013 05:38 PM PDT We consider as given a discrete time financial market with a risky asset and options written on that asset and determine the sub-hedging price of an American option in the model independent framework of ArXiv:1301.5568. We also show that the order of min and max in the dual representation of the price can be exchanged. Our results generalize those of ArXiv:1304.3574 to the case when static... Visit MoneyScience for the Complete Article.    |
| Posted: 12 Sep 2013 05:38 PM PDT Exponential L\'evy processes have been used for modelling financial derivatives because of their ability to exhibit many empirical features of markets. Using their multidimensional analogue, a general analytic pricing formula is obtained, allowing for the direct valuation of multi-asset options on $n \in \z^+$ risky assets. By providing alternate expressions for multi-asset option... Visit MoneyScience for the Complete Article.    |
| Posted: 12 Sep 2013 05:38 PM PDT The aim of our work is to propose a natural framework to account for all the empirically known properties of the multivariate distribution of stock returns. We define and study a "nested factor model", where the linear factors part is standard, but where the log-volatility of the linear factors and of the residuals are themselves endowed with a factor structure and residuals. We propose a... Visit MoneyScience for the Complete Article.    |
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