MoneyScience News |
- Published / Preprint: Wealth distribution and collective knowledge. A Boltzmann approach. (arXiv:1401.4550v1 [q-fin.GN])
- Published / Preprint: Mathematical Foundations for the Economy of Giving. (arXiv:1401.4664v1 [q-fin.GN])
- Published / Preprint: Martingale Inequalities and Deterministic Counterparts. (arXiv:1401.4698v1 [math.PR])
- Published / Preprint: On the Measurement of Economic Tail Risk. (arXiv:1401.4787v1 [q-fin.RM])
- Published / Preprint: A Coupled Markov Chain Approach to Credit Risk Modeling. (arXiv:0911.3802v2 [q-fin.RM] UPDATED)
- Blog Post: TheFinancialServicesClub: Don't tell mum I work for a bank ⦠she thinks Iâm a pianoplayer in a whorehouse!
- Alain Ruttiens on his book Mathematics of the Financial Markets: Financial Instruments and Derivatives Modelling, Valuation and Risk Issues
| Posted: 20 Jan 2014 05:38 PM PST We introduce and discuss a nonlinear kinetic equation of Boltzmann type which describes the influence of knowledge in the evolution of wealth in a system of agents which interact through the binary trades introduced in Cordier, Pareschi, Toscani, J. Stat. Phys. 2005. The trades, which include both saving propensity and the risks of the market, are here modified in the risk and saving parameters,... Visit MoneyScience for the Complete Article.      |
| Posted: 20 Jan 2014 05:38 PM PST This paper shows how we can build a model for transactions when goods are given away in the expectation of a later settlement. In settings where people keep track of their social accounts we are able to redefine concepts like account balance, yield curve and the law of diminishing returns. The model provides us with a result that expresses how people have a structural preference for one recipient... Visit MoneyScience for the Complete Article.    |
| Posted: 20 Jan 2014 05:38 PM PST We study martingale inequalities from an analytic point of view and show that a general martingale inequality can be reduced to a pair of deterministic inequalities in a small number of variables. More precisely, the optimal bound in the martingale inequality is determined by a fixed point of a simple nonlinear operator involving a concave envelope. Our results yield an explanation for certain... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: On the Measurement of Economic Tail Risk. (arXiv:1401.4787v1 [q-fin.RM]) Posted: 20 Jan 2014 05:38 PM PST This paper attempts to provide a decision theoretical foundation for the measurement of economic tail risk, which is not only closely related to utility theory but also relevant to statistical model uncertainty. The main result of the paper is that the only tail risk measure that satisfies both a set of economic axioms proposed by Schmeidler (1989, Econometrica) and the statistical property of... Visit MoneyScience for the Complete Article.    |
| Posted: 20 Jan 2014 05:38 PM PST We propose a Markov chain model for credit rating changes. We do not use any distributional assumptions on the asset values of the rated companies but directly model the rating transitions process. The parameters of the model are estimated by a maximum likelihood approach using historical rating transitions and heuristic global optimization techniques. read more... Visit MoneyScience for the Complete Article.    |
| Posted: 20 Jan 2014 05:10 AM PST I was going to start this week with a serious blog post, but the ABN AMRO kickoff meeting for 2014 has caught everyone’s attention. In fact, it’s made everyone note it so much that I’m going to dedicate today’s blog entry to it.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 10 Jan 2014 06:21 AM PST read more... Visit MoneyScience for the Complete Article.    |
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