MoneyScience News |
- Blog Post: TheAlephBlog: Fire and Ice
- Blog Post: TheFinancialServicesClub: Data is at the heart of everything today, especially cyberattacks
- Published / Preprint: A Stochastic Volatility Model for Crude Oil Futures Curves and the Pricing of Calendar Spread Options. (arXiv:1401.7913v1 [q-fin.PR])
- Blog Post: iMFdirect: The Outlook for Latin America and the Caribbean in 2014
- Published / Preprint: Release of the Kraken: A Novel Money Multiplier Equation's Debut in 21st Century Banking. (arXiv:1401.7344v1 [q-fin.GN])
- Published / Preprint: Network Risk and Forecasting Power in Phase-Flipping Dynamical Networks. (arXiv:1401.7450v1 [physics.soc-ph])
- Published / Preprint: Testing for rational speculative bubbles in the Brazilian residential real-estate market. (arXiv:1401.7615v1 [q-fin.GN])
- Blog Post: WealthandCapitalMarketsBlog: Fixed Income vendors: Ready, Steady, Go!
- Published / Preprint: Self-affinity in financial asset returns. (arXiv:1401.7170v1 [q-fin.ST])
- Published / Preprint: Option Pricing of Twin Assets. (arXiv:1401.6735v1 [q-fin.PR])
- Published / Preprint: Modeling Credit Spreads Using Nonlinear Regression. (arXiv:1401.6955v1 [q-fin.ST])
- Published / Preprint: Multidimensional Breeden-Litzenberger representation for state price densities and static hedging. (arXiv:1401.6383v1 [math.PR])
- Published / Preprint: Interconnected risk contributions: an heavy-tail approach to analyse US financial sectors. (arXiv:1401.6408v1 [q-fin.RM])
- Blog Post: PatrickBurns: The portfolio optimization higher-moment credo
- Blog Post: ThePracticalQuant: What I use for data visualization
- Vendor News: January 24, 2014 - SS&C Technologies and University of Southern Indiana Launch Investment Accounting Accelerator at the Romain College of Business
- Blog Post: rob_daly: Omega Securities Mints New CEO
- Published / Preprint: 23Jan/International banking statistics at end-September 2013
- Published / Preprint: 23Jan/Fundamental elements of a bank's capital planning process issued by the Basel Committee
- Published / Preprint: Estimate nothing. (arXiv:1401.5666v1 [q-fin.CP])
- Winner of Ethical Finance Lifetime Achievement Award
- Published / Preprint: Why free markets die: An evolutionary perspective. (arXiv:1401.5314v1 [q-fin.GN])
- Published / Preprint: Modeling the stylized facts of wholesale system marginal price (SMP) and the impacts of regulatory reforms on the Greek Electricity Market. (arXiv:1401.5452v1 [q-fin.ST])
- Published / Preprint: Risk narrative disclosure strategies to enhance organizational legitimacy: Evidence from UAE financial institutions
- Published / Preprint: Auditing firms are the natural rating agencies for balance sheet debt due to an informational advantage
- Gain financial insight and get the most from your investments, with Wileyâs "Little Book, Big Profits" series.
- Special offers from www.wileyWILMOTT.com
- Vendor News: Fidessa appoints Global Head of New Business Sales and Asia Pacific Sales Director
- Counterparty credit risk, collateral and funding - an interview with Professor Damiano Brigo
- Alain Ruttiens on his book Mathematics of the Financial Markets: Financial Instruments and Derivatives Modelling, Valuation and Risk Issues
| Blog Post: TheAlephBlog: Fire and Ice Posted: 01 Feb 2014 07:00 PM PST This is a hard time to be managing fixed income. Yes, if you are at a big shop with access to deal flow, not so bad — but when you are small like me and have limited tools for a small client base (less than 10% of my assets are fixed income… smart people, because I am better at equity investing) it is really difficult.read more... Visit MoneyScience for the Complete Article.      |
| Posted: 31 Jan 2014 02:00 AM PST Another dimension of discussion at the Business Continuity and Disaster Recovery conference was the whole area of hacktivism and cyberattacks.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 31 Jan 2014 01:59 AM PST We introduce a multi-factor stochastic volatility model based on the CIR/Heston stochastic volatility process. In order to capture the Samuelson effect displayed by commodity futures contracts, we add expiry-dependent exponential damping factors to their volatility coefficients. The pricing of single underlying European options on futures contracts is straightforward and can incorporate the... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: The Outlook for Latin America and the Caribbean in 2014 Posted: 30 Jan 2014 09:07 AM PST By Alejandro Wernerread more... Visit MoneyScience for the Complete Article.    |
| Posted: 29 Jan 2014 05:38 PM PST Historically, the banking multiplier has been in a range of 4 to 100, with 25% to 1% reserve ratios at most layers of the banking system encompassing the majority of its range in recent centuries. Here it is shown that multipliers over 1 000 can occur from a new mechanism in banking. This new multiplier uses a default insurance note to insure an outstanding loan in order to return the value of... Visit MoneyScience for the Complete Article.    |
| Posted: 29 Jan 2014 05:38 PM PST In order to model volatile real-world network behavior, we analyze phase-flipping dynamical scale-free network in which nodes and links fail and recover. We investigate how stochasticity in a parameter governing the recovery process affects phase-flipping dynamics, and find the probability that no more than q% of nodes and links fail. We derive higher moments of the fractions of active nodes and... Visit MoneyScience for the Complete Article.    |
| Posted: 29 Jan 2014 05:38 PM PST Speculative bubbles have been occurring periodically in local or global real estate markets and are considered a potential cause of economic crises. In this context, the detection of explosive behaviors in the financial market and the implementation of early warning diagnosis tests are of critical importance. The recent increase in Brazilian housing prices has risen concerns that the Brazilian... Visit MoneyScience for the Complete Article.    |
| Blog Post: WealthandCapitalMarketsBlog: Fixed Income vendors: Ready, Steady, Go! Posted: 29 Jan 2014 06:16 AM PST Celent has been following Fintech innovation in the Fixed Income trading space for a few years now. If you didn’t know (sic!) please check out the following reports: http://celent.com/reports/innovation-focus-analytics-powering-fixed-income-matching or http://celent.com/reports/technology-european-fixed-income-time-open-pandoras-box and listen to our Webinars, come to our Innovation... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Self-affinity in financial asset returns. (arXiv:1401.7170v1 [q-fin.ST]) Posted: 28 Jan 2014 05:30 PM PST We test for departures from normal and independent and identically distributed (NIID) returns, when returns under the alternative hypothesis are self-affine. Self-affine returns are either fractionally integrated and long-range dependent, or drawn randomly from an L-stable distribution with infinite higher-order moments. The finite sample performance of estimators of the two forms of... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Option Pricing of Twin Assets. (arXiv:1401.6735v1 [q-fin.PR]) Posted: 27 Jan 2014 05:38 PM PST How to price and hedge claims on nontraded assets are becoming increasingly important matters in option pricing theory today. The most common practice to deal with these issues is to use another similar or "closely related" asset or index which is traded, for hedging purposes. Implicitly, traders assume here that the higher the correlation between the traded and nontraded assets, the better the... Visit MoneyScience for the Complete Article.    |
| Posted: 27 Jan 2014 05:38 PM PST The term structure of credit spreads is studied with an aim to predict its future movements. A completely new approach to tackle this problem is presented, which utilizes nonlinear parametric models. The Brain-Cousens regression model with five parameters is chosen to describe the term structure of credit spreads. Further, we investigate the dependence of the parameter changes over time and the... Visit MoneyScience for the Complete Article.    |
| Posted: 26 Jan 2014 05:37 PM PST In this article, we consider European options of type $h(X^1_T, X^2_T,\ldots, X^n_T)$ depending on several underlying assets. We study how such options can be valued in terms of simple vanilla options in non-specified market models. We consider different approaches related to static hedging and derive several pricing formulas for a wide class of payoff functions $h:\R_+^n\rightarrow... Visit MoneyScience for the Complete Article.    |
| Posted: 26 Jan 2014 05:37 PM PST In this paper we consider a multivariate model-based approach to measure the dynamic evolution of tail risk interdependence among US banks, financial services and insurance sectors. To deeply investigate the risk contribution of insurers we consider separately life and non-life companies. To achieve this goal we apply the multivariate student-t Markov Switching model and the Multiple-CoVaR (CoES)... Visit MoneyScience for the Complete Article.    |
| Blog Post: PatrickBurns: The portfolio optimization higher-moment credo Posted: 26 Jan 2014 12:36 PM PST The question of skewness and kurtosis in portfolio optimization.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: ThePracticalQuant: What I use for data visualization Posted: 26 Jan 2014 10:37 AM PST [A version of this post appears on the O'Reilly Data blog.]Depending on the nature of the problem, data size, and deliverable, I still draw upon an array of tools for data visualization. As I survey the Design track at next month's Strata conference, I see creators and power users of visualizations tools that many data scientists have come to rely on. Several pioneers will lead sessions on (new)... Visit MoneyScience for the Complete Article.    |
| Posted: 24 Jan 2014 11:19 AM PST    |
| Blog Post: rob_daly: Omega Securities Mints New CEO Posted: 23 Jan 2014 10:08 AM PST Omega Securities Mints New CEOread more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: 23Jan/International banking statistics at end-September 2013 Posted: 23 Jan 2014 07:31 AM PST Press release about the release of international banking statistics at end-September 2013 (23 January 2014) Visit MoneyScience for the Complete Article.    |
| Posted: 23 Jan 2014 02:27 AM PST Press release about the Basel Committee issuing fundamental elements of a bank's capital planning process (23 January 2014) Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Estimate nothing. (arXiv:1401.5666v1 [q-fin.CP]) Posted: 22 Jan 2014 06:02 PM PST In the econometrics of financial time series, it is customary to take some parametric model for the data, and then estimate the parameters from historical data. This approach suffers from several problems. Firstly, how is estimation error to be quantified, and then taken into account when making statements about the future behaviour of the observed time series? Secondly, decisions may be taken... Visit MoneyScience for the Complete Article.    |
| Winner of Ethical Finance Lifetime Achievement Award Posted: 22 Jan 2014 05:54 AM PST Gain the insight of Rosenbaum and Pearl’s combined 30+ years of experience on a multitude of transactions, as well as input received from numerous investment bankers, investment professionals at private equity firms and hedge funds, attorneys, corporate executives, peer authors, and university professors.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 22 Jan 2014 03:12 AM PST Company mergers and acquisitions are often perceived to act as catalysts for corporate growth in free markets systems: it is conventional wisdom that those activities lead to better and more efficient markets. However, the broad adoption of this perception into corporate strategy is prone to result in a less diverse and more unstable environment, dominated by either very large or very small niche... Visit MoneyScience for the Complete Article.    |
| Posted: 22 Jan 2014 03:12 AM PST This work presents the results of an empirical research with the target of modeling the stylized facts of the daily expost System Marginal Price (SMP) of the Greek wholesale electricity market, using data from January 2004 to December of 2011. SMP is considered here as the footprint of an underline stochastic and nonlinear process that bears all the information reflecting not only the effects of... Visit MoneyScience for the Complete Article.    |
| Posted: 21 Jan 2014 10:25 PM PST Visit MoneyScience for the Complete Article.    |
| Posted: 21 Jan 2014 10:25 PM PST Visit MoneyScience for the Complete Article.    |
| Posted: 15 Jan 2014 11:49 AM PST Gain Financial Insight and Get the Most from Your Investmentsread more... 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.    |
| Vendor News: Fidessa appoints Global Head of New Business Sales and Asia Pacific Sales Director Posted: 15 Jan 2014 02:18 AM PST    |
| Counterparty credit risk, collateral and funding - an interview with Professor Damiano Brigo Posted: 13 Jan 2014 04:27 AM PST Prof. Damiano Brigo is Chair and co-Head of Mathematical Finance at Imperial College, London, consistently ranked among the top 10 world universities, and Director of the Capco Research Institute in the industry. Damiano’s previous roles include Gilbart Professor and Head of Group at King's College, Managing Director and Quantitative Innovation Global Head in Fitch, Head of Credit Models in... 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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