MoneyScience News |
- Blog Post: TheFinancialServicesClub: European Union means Banking Union, but what does it mean for the City of London?
- Blog Post: TheAlephBlog: E-mails on Insurance
- Published / Preprint: Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures. (arXiv:1401.3911v1 [stat.AP])
- Published / Preprint: CCP Cleared or Bilateral CSA Trades with Initial/Variation Margins under credit, funding and wrong-way risks: A Unified Valuation Approach. (arXiv:1401.3994v1 [q-fin.PR])
- Blog Post: iMFdirect: U.S. Monetary Policy and Its Effects on Latin America
| Posted: 17 Jan 2014 03:30 AM PST We had our usual first footing for the Financial Services Club this week, with an illuminating update from David Doyle, Policy Adviser on all things related to EU Financial Legislation.read more... Visit MoneyScience for the Complete Article.      |
| Blog Post: TheAlephBlog: E-mails on Insurance Posted: 16 Jan 2014 11:08 PM PST Here we go. E-mail #1:read more... Visit MoneyScience for the Complete Article.    |
| Posted: 16 Jan 2014 05:38 PM PST This paper investigates the dynamic behaviour of jumps in financial prices and volatility. The proposed model is based on a standard jump diffusion process for price and volatility augmented by a bivariate Hawkes process for the two jump components. The latter process specifies a joint dynamic structure for the price and volatility jump intensities, with the intensity of a volatility jump also... Visit MoneyScience for the Complete Article.    |
| Posted: 16 Jan 2014 05:38 PM PST The introduction of CCPs in most derivative transactions will dramatically change the landscape of derivatives pricing, hedging and risk management, and, according to the TABB group, will lead to an overall liquidity impact about 2 USD trillions. In this article we develop for the first time a comprehensive approach for pricing under CCP clearing, including variation and initial margins, gap... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: U.S. Monetary Policy and Its Effects on Latin America Posted: 16 Jan 2014 10:07 AM PST By Alejandro Wernerread more... Visit MoneyScience for the Complete Article.    |
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