MoneyScience News |
- Published / Preprint: 27Sep/Report on China's implementation of Basel III published by the Basel Committee
- Blog Post: TheFinancialServicesClub: Things worth reading: 27th September 2013
- Blog Post: TheAlephBlog: On Leveraged Municipal Bond Closed-End Funds
- Published / Preprint: Optimal Execution Trajectories. Linear Market Impact with Exponential Decay. (arXiv:1309.6725v1 [q-fin.TR])
- Published / Preprint: A new financial metric for the art market. (arXiv:1309.6929v1 [q-fin.GN])
- Blog Post: ThePracticalQuant: Databricks aims to build next-generation analytic tools for Big Data
- Blog Post: iMFdirect: Taming government debt'it can be done, but it ainât easy
- Published / Preprint: General Properties of Solutions to Inhomogeneous Black-Scholes Equations with Discontinuous Maturity Payoffs and Application. (arXiv:1309.6505v1 [q-fin.PR])
- No such pipe, or this pipe has been deleted
- Published / Preprint: 25Sep/Basel III monitoring results published by the Basel Committee
- Published / Preprint: Control of the socio-economic systems using herding interactions. (arXiv:1309.6105v1 [physics.soc-ph])
- Published / Preprint: Change of measure up to a random time: Details. (arXiv:1309.6141v1 [math.PR])
- Published / Preprint: Pricing and Hedging Derivative Securities with Unknown Local Volatilities. (arXiv:1309.6164v1 [q-fin.PR])
- Blog Post: Falkenblog: Bye
- Henley Business School welcomes Her Majesty the Queen for three-county Diamond Jubilee Garden Party
- Blog Post: WealthandCapitalMarketsBlog: OTC Derivatives in Asia
Posted: 27 Sep 2013 12:47 AM PDT |
Blog Post: TheFinancialServicesClub: Things worth reading: 27th September 2013 Posted: 26 Sep 2013 11:19 PM PDT |
Blog Post: TheAlephBlog: On Leveraged Municipal Bond Closed-End Funds Posted: 26 Sep 2013 09:47 PM PDT |
Posted: 26 Sep 2013 05:38 PM PDT Optimal execution of portfolio transactions is the essential part of algorithmic trading. In this paper we present in simple analytical form the optimal trajectory for risk-averse trader with the assumption of exponential market recovery and short-time investment horizon. Visit MoneyScience for the Complete Article. |
Published / Preprint: A new financial metric for the art market. (arXiv:1309.6929v1 [q-fin.GN]) Posted: 26 Sep 2013 05:38 PM PDT |
Blog Post: ThePracticalQuant: Databricks aims to build next-generation analytic tools for Big Data Posted: 26 Sep 2013 07:07 AM PDT [A version of this post appears on the O'Reilly Strata blog.]Key technologists behind the Berkeley Data Analytics Stack (BDAS) have launched a company that will build software - centered around Apache Spark and Shark - for analyzing big data. Details of their product and strategy are sparse, as the company is operating in stealth mode. But through conversations with the founders of Databricks,... Visit MoneyScience for the Complete Article. |
Blog Post: iMFdirect: Taming government debt'it can be done, but it ainât easy Posted: 26 Sep 2013 06:18 AM PDT |
Posted: 25 Sep 2013 05:39 PM PDT We provide representations of solutions to terminal value problems of inhomogeneous Black-Scholes equations and studied such general properties as min-max estimates, gradient estimates, monotonicity and convexity of the solutions with respect to the stock price variable, which are important for financial security pricing. In particular, we focus on finding representation of the gradient (with... Visit MoneyScience for the Complete Article. |
No such pipe, or this pipe has been deleted Posted: 25 Sep 2013 05:18 PM PDT |
Published / Preprint: 25Sep/Basel III monitoring results published by the Basel Committee Posted: 25 Sep 2013 01:06 AM PDT |
Posted: 24 Sep 2013 05:38 PM PDT Collective behavior of the complex socio-economic systems is heavily influenced by the herding, group, behavior of individuals. The importance of the herding behavior may enable the control of the collective behavior of the individuals. In this contribution we consider a simple agent-based herding model modified to include agents with controlled state. We show that in certain case even the... Visit MoneyScience for the Complete Article. |
Published / Preprint: Change of measure up to a random time: Details. (arXiv:1309.6141v1 [math.PR]) Posted: 24 Sep 2013 05:38 PM PDT This paper extends results from Mortimer and Williams (1991) about changes of probability measure up to random times. Many new classes of examples involving honest times and pseudo-stopping times are provided. Furthermore, we discuss the question of market viability up to a random time. Visit MoneyScience for the Complete Article. |
Posted: 24 Sep 2013 05:38 PM PDT A common assumption in financial engineering is that the market price for any derivative coincides with an objectively defined risk-neutral price - a plausible assumption only if traders collectively possess objective knowledge about the price dynamics of the underlying security over short time scales. Here we assume that traders have an objective knowledge about the underlying security's price... Visit MoneyScience for the Complete Article. |
Posted: 24 Sep 2013 11:36 AM PDT I've got a new job with Pine River, and I really want my new colleagues to know I'm not going to blab about anything that comes up, so blogging is now really over. Of course, if you bump into me you can always buy me drinks and try to get me spill the beans, but I should warn you, I can drink a lot of beer. Best. Visit MoneyScience for the Complete Article. |
Henley Business School welcomes Her Majesty the Queen for three-county Diamond Jubilee Garden Party Posted: 24 Sep 2013 10:59 AM PDT |
Blog Post: WealthandCapitalMarketsBlog: OTC Derivatives in Asia Posted: 24 Sep 2013 09:06 AM PDT Over-the-counter (OTC) derivatives have come under scrutiny since the Global Financial Crisis (GFC) of 2008. The global OTC derivative market is primarily dominated by the US and Europe, with Asia accounting for less than 10% of notional outstanding. The Asian financial market, unlike its western counterparts, is not a homogeneous entity. Rather, the countries in the region are divided along... Visit MoneyScience for the Complete Article. |
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