MoneyScience News

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• Blog Post: TheFinancialServicesClub: Things worth reading: 3rd December 2013
• Published / Preprint: STOCHASTIC LOCAL INTENSITY LOSS MODELS WITH INTERACTING PARTICLE SYSTEMS
• Published / Preprint: MODELâINDEPENDENT NOâARBITRAGE CONDITIONS ON AMERICAN PUT OPTIONS
• Published / Preprint: ON VALUING STOCHASTIC PERPETUITIES USING NEW LONG HORIZON STOCK PRICE MODELS DISTINGUISHING BOOMS, BUSTS, AND BALANCED MARKETS
• Published / Preprint: CCPs, Central Clearing, CSA, Credit Collateral and Funding Costs Valuation FAQ: Re-hypothecation, CVA, Closeout, Netting, WWR, Gap-Risk, Initial and Variation Margins, Multiple Discount Curves, FVA?. (arXiv:1312.0128v1 [q-fin.PR])
• Published / Preprint: Science and the Future: Introduction. (arXiv:1312.0161v1 [physics.soc-ph])
• Published / Preprint: Stochastic areas of diffusions and applications in risk theory. (arXiv:1312.0283v1 [q-fin.RM])
• Published / Preprint: Towards a microeconomic theory of the finance-driven business cycle. (arXiv:1312.0323v1 [q-fin.GN])
• Published / Preprint: Optimal insurance purchase strategies via optimal multiple stopping times. (arXiv:1312.0424v1 [q-fin.RM])
• Published / Preprint: The impact of systemic risk on the diversification benefits of a risk portfolio. (arXiv:1312.0506v1 [q-fin.RM])
• Published / Preprint: Trade arrival dynamics and quote imbalance in a limit order book. (arXiv:1312.0514v1 [q-fin.TR])
• Published / Preprint: Asymptotic distribution of the Markowitz portfolio. (arXiv:1312.0557v1 [q-fin.PM])
• Published / Preprint: Simulating and analyzing order book data: The queue-reactive model. (arXiv:1312.0563v1 [q-fin.TR])
• Blog Post: iMFdirect: China: Fastest Growing Consumer Market in the World
• Vendor News: December 2, 2013 - SS&C Technologies to Present at NASDAQ OMX 30th Investor Program

Blog Post: TheFinancialServicesClub: Things worth reading: 3rd December 2013 Posted: 02 Dec 2013 08:28 PM PST Things we're reading today include ...read more... Visit MoneyScience for the Complete Article.

Published / Preprint: STOCHASTIC LOCAL INTENSITY LOSS MODELS WITH INTERACTING PARTICLE SYSTEMS Posted: 02 Dec 2013 08:08 PM PST Abstract It is well known from the work of Schönbucher that the marginal laws of a loss process can be matched by a unit increasing time inhomogeneous Markov process, whose deterministic jump intensity is called local intensity. The stochastic local intensity (SLI) models such as the one proposed by Arnsdorf and Halperin allow to get a stochastic jump intensity while keeping the same marginal... Visit MoneyScience for the Complete Article.

Published / Preprint: MODELâINDEPENDENT NOâARBITRAGE CONDITIONS ON AMERICAN PUT OPTIONS Posted: 02 Dec 2013 08:07 PM PST Abstract We consider the pricing of American put options in a model‐independent setting: that is, we do not assume that asset prices behave according to a given model, but aim to draw conclusions that hold in any model. We incorporate market information by supposing that the prices of European options are known.read more... Visit MoneyScience for the Complete Article.

Published / Preprint: ON VALUING STOCHASTIC PERPETUITIES USING NEW LONG HORIZON STOCK PRICE MODELS DISTINGUISHING BOOMS, BUSTS, AND BALANCED MARKETS Posted: 02 Dec 2013 08:07 PM PST Abstract For longer horizons, assuming no dividend distributions, models for discounted stock prices in balanced markets are formulated as conditional expectations of nontrivial terminal random variables defined at infinity. Observing that extant models fail to have this property, new models are proposed. The new concept of a balanced market proposed here permits a distinction between such... Visit MoneyScience for the Complete Article.

Published / Preprint: CCPs, Central Clearing, CSA, Credit Collateral and Funding Costs Valuation FAQ: Re-hypothecation, CVA, Closeout, Netting, WWR, Gap-Risk, Initial and Variation Margins, Multiple Discount Curves, FVA?. (arXiv:1312.0128v1 [q-fin.PR]) Posted: 02 Dec 2013 05:39 PM PST We present a dialogue on Funding Costs and Counterparty Credit Risk modeling, inclusive of collateral, wrong way risk, gap risk and possible Central Clearing implementation through CCPs. This dialogue is the continuation of the previous FAQ "Counterparty Risk, Collateral and Funding FAQ" by Brigo (2011). In this dialogue we focus more on funding costs for the hedging strategy of a portfolio of... Visit MoneyScience for the Complete Article.

Published / Preprint: Science and the Future: Introduction. (arXiv:1312.0161v1 [physics.soc-ph]) Posted: 02 Dec 2013 05:39 PM PST The contradiction between physical and economical sciences concerning the growth of the production/consumption mechanism is analyzed. It is then shown that if one wishes to keep the security level stable or to enhance it in a growing economy the cost of security grows faster than the gross wealth. The result is a typical evolution in which the net wealth increases up to a maximum, then abruptly... Visit MoneyScience for the Complete Article.

Published / Preprint: Stochastic areas of diffusions and applications in risk theory. (arXiv:1312.0283v1 [q-fin.RM]) Posted: 02 Dec 2013 05:39 PM PST In this paper we study the stochastic area swept by a regular time-homogeneous diffusion till a stopping time. This unifies some recent literature in this area. Through stochastic time change we establish a link between the stochastic area and the stopping time of another associated time-homogeneous diffusion. Then we characterize the Laplace transform of the stochastic area in terms of the... Visit MoneyScience for the Complete Article.

Published / Preprint: Towards a microeconomic theory of the finance-driven business cycle. (arXiv:1312.0323v1 [q-fin.GN]) Posted: 02 Dec 2013 05:39 PM PST I sketch a broad program for a microeconomic theory of the business cycle as a recurring episode of disequilibrium, driven by incompleteness of the financial market and by information asymmetries between borrowers and lenders. This proposal seeks to incorporate five distinct but connected processes that have been discussed at varying lengths in the literature: the leverage cycle, financial panic,... Visit MoneyScience for the Complete Article.

Published / Preprint: Optimal insurance purchase strategies via optimal multiple stopping times. (arXiv:1312.0424v1 [q-fin.RM]) Posted: 02 Dec 2013 05:39 PM PST In this paper we study a class of insurance products where the policy holder has the option to insure $k$ of its annual Operational Risk losses in a horizon of $T$ years. This involves a choice of $k$ out of $T$ years in which to apply the insurance policy coverage by making claims against losses in the given year. The insurance product structure presented can accommodate any kind of annual... Visit MoneyScience for the Complete Article.

Published / Preprint: The impact of systemic risk on the diversification benefits of a risk portfolio. (arXiv:1312.0506v1 [q-fin.RM]) Posted: 02 Dec 2013 05:39 PM PST Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit it. One of them is the existence of systemic risk that affects all the policies at the same time. We introduce here a probabilistic approach to examine the consequences of its presence on the risk loading of the premium of a portfolio of insurance policies. This approach could... Visit MoneyScience for the Complete Article.

Published / Preprint: Trade arrival dynamics and quote imbalance in a limit order book. (arXiv:1312.0514v1 [q-fin.TR]) Posted: 02 Dec 2013 05:39 PM PST We examine the dynamics of the bid and ask queues of a limit order book and their relationship with the intensity of trade arrivals. In particular, we study the probability of price movements and trade arrivals as a function of the quote imbalance at the top of the limit order book. We propose a stochastic model in an attempt to capture the joint dynamics of the top of the book queues and the... Visit MoneyScience for the Complete Article.

Published / Preprint: Asymptotic distribution of the Markowitz portfolio. (arXiv:1312.0557v1 [q-fin.PM]) Posted: 02 Dec 2013 05:39 PM PST The asymptotic distribution of the Markowitz portfolio is derived, for the general case (assuming fourth moments of returns exist), and for the case of multivariate normal returns. The derivation allows for inference which is robust to heteroskedasticity and autocorrelation of moments up to order four. As a side effect, one can estimate the proportion of error in the Markowitz portfolio due to... Visit MoneyScience for the Complete Article.

Published / Preprint: Simulating and analyzing order book data: The queue-reactive model. (arXiv:1312.0563v1 [q-fin.TR]) Posted: 02 Dec 2013 05:39 PM PST Through the analysis of a dataset of ultra high frequency order book updates, we introduce a model which accommodates the empirical properties of the full order book together with the stylized facts of lower frequency financial data. To do so, we split the time interval of interest into periods in which a well chosen reference price, typically the mid price, remains constant. Within... Visit MoneyScience for the Complete Article.

Blog Post: iMFdirect: China: Fastest Growing Consumer Market in the World Posted: 02 Dec 2013 07:18 AM PST By Steven Barnettread more... Visit MoneyScience for the Complete Article.

Vendor News: December 2, 2013 - SS&C Technologies to Present at NASDAQ OMX 30th Investor Program Posted: 02 Dec 2013 01:06 AM PST

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