Thursday, February 20, 2014

MoneyScience News

MoneyScience News

Blog Post: TheFinancialServicesClub: What can you buy with a bitcoin?

Posted: 20 Feb 2014 03:39 AM PST

Everyone thinks bitcoins are worth buying as they keep going up in value.  From $2 in October 2011 to $20 in January 2013 to $266 in April to $100 in May to $1300 in December to anywhere between $250 and $600 today, dependent upon where you trade them.read more...

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Published / Preprint: Very exotic derivatives

Posted: 19 Feb 2014 11:25 PM PST



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Published / Preprint: Valuation of reverse convertibles in the variance gamma economy

Posted: 19 Feb 2014 11:25 PM PST



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Published / Preprint: Crooked volatility smiles: Evidence from leveraged and inverse ETF options

Posted: 19 Feb 2014 11:25 PM PST



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Published / Preprint: Strategy diversification: Combining momentum and carry strategies within a foreign exchange portfolio

Posted: 19 Feb 2014 11:25 PM PST



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Published / Preprint: Reconsidering funds of hedge funds

Posted: 19 Feb 2014 11:25 PM PST



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Blog Post: TheAlephBlog: On Emergent Phenomena

Posted: 19 Feb 2014 10:18 PM PST

How do you deal with a risk that has never been seen before?  I’m going to focus on financial risks here, but clever people can generalize to other classes of human risk, like war and terrorism.read more...

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Published / Preprint: A debt behaviour model. (arXiv:1402.4551v1 [q-fin.PR])

Posted: 19 Feb 2014 05:38 PM PST

A stochastic model with hidden discrete Markov processes is constructed to understand the behavior of debtors.

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Published / Preprint: Large deviation asymptotics for the left tail of the sum of dependent positive random variables. (arXiv:1402.4683v1 [math.PR])

Posted: 19 Feb 2014 05:38 PM PST

We study the left tail behavior of the logarithm of the distribution function of a sum of dependent positive random variables. Asymptotics are computed under the assumption that the marginal distribution functions decay slowly at zero, meaning that the their logarithms are slowly varying functions. This includes parametric families such as log-normal, gamma, Weibull and many distributions from...

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Published / Preprint: Mapping systemic risk: critical degree and failures distribution in financial networks. (arXiv:1402.4783v1 [q-fin.GN])

Posted: 19 Feb 2014 05:37 PM PST

The recent financial crisis illustrated the need for a thorough, functional understanding of systemic risk in strongly interconnected financial structures. Dynamic processes on complex networks being intrinsically difficult, most recent studies of this problem have relied on numerical simulations. In this paper, we report analytical results in a network model of interbank lending based on...

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MoneyScience interviews Ciby Joseph, author of Advanced Credit Risk Analysis and Management

Posted: 19 Feb 2014 12:20 PM PST

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Gain financial insight and get the most from your investments, with Wileyâs "Little Book, Big Profits" series.

Posted: 15 Jan 2014 11:49 AM PST

Gain Financial Insight and Get the Most from Your Investmentsread more...

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