MoneyScience News |
- Published / Preprint: Currency Derivatives Pricing for Markov-modulated Merton Jump-diffusion Spot Forex Rate. (arXiv:1402.2273v1 [q-fin.CP])
- Published / Preprint: Risk Margin Quantile Function Via Parametric and Non-Parametric Bayesian Quantile Regression. (arXiv:1402.2492v1 [q-fin.RM])
- Published / Preprint: Stock portfolio structure of individual investors infers future trading behavior. (arXiv:1402.2494v1 [q-fin.GN])
- Published / Preprint: Model-independent Superhedging under Portfolio Constraints. (arXiv:1402.2599v1 [q-fin.PR])
- Blog Post: TheFinancialServicesClub: Can the bank's leopard really change its spots?
- Vendor News: February 11, 2014 - SS&C Reports Record Fourth Quarter and 2013 Results
- Blog Post: WealthandCapitalMarketsBlog: Rising Market Concentration in the Post-Trade Industry
- Special offers from www.wileyWILMOTT.com
| Posted: 11 Feb 2014 05:37 PM PST We derived similar to Bo et al. (2010) results but in the case when the dynamics of the FX rate is driven by a general Merton jump-diffusion process. The main results of our paper are as follows: 1) formulas for the Esscher transform parameters which ensure that the martingale condition for the discounted foreign exchange rate is a martingale for a general Merton jump--diffusion process are... Visit MoneyScience for the Complete Article.      |
| Posted: 11 Feb 2014 05:37 PM PST We develop quantile regression models in order to derive risk margin and to evaluate capital in non-life insurance applications. By utilizing the entire range of conditional quantile functions, especially higher quantile levels, we detail how quantile regression is capable of providing an accurate estimation of risk margin and an overview of implied capital based on the historical volatility of a... Visit MoneyScience for the Complete Article.    |
| Posted: 11 Feb 2014 05:37 PM PST Although the understanding of and motivation behind individual trading behavior is an important puzzle in finance, little is known about the connection between an investor's portfolio structure and her trading behavior in practice. In this paper, we investigate the relation between what stocks investors hold, and what stocks they buy, and show that investors with similar portfolio structures to a... Visit MoneyScience for the Complete Article.    |
| Posted: 11 Feb 2014 05:37 PM PST In a discrete-time market, we study the problem of model-independent superhedging of exotic options under portfolio constraints. The superhedging portfolio consists of static positions in liquidly traded vanilla options, and a dynamic trading strategy, subject to certain constraints, on the risky asset. By the theory of Monge-Kantorovich optimal transport, we establish a superhedging duality,... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: Can the bank's leopard really change its spots? Posted: 11 Feb 2014 02:09 PM PST Talking with one of my bank contacts last week was interesting.read more... Visit MoneyScience for the Complete Article.    |
| Vendor News: February 11, 2014 - SS&C Reports Record Fourth Quarter and 2013 Results Posted: 11 Feb 2014 01:16 PM PST    |
| Blog Post: WealthandCapitalMarketsBlog: Rising Market Concentration in the Post-Trade Industry Posted: 11 Feb 2014 04:17 AM PST Several drivers will impact the evolution of the post trade industry. Different drivers act in different directions, however, if there is one common theme that is the concentration of players in the post trade ecosystem is likely to go up over the next 5-7 years and post-trade processing will increasingly become a scale business. This trend will be particularly seen in Europe, especially among... Visit MoneyScience for the Complete Article.    |
| Special offers from www.wileyWILMOTT.com Posted: 15 Jan 2014 05:44 AM PST Wileyread more... Visit MoneyScience for the Complete Article.    |
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