MoneyScience News |
- Vendor News: SITA Partners with Infosys to Transform Global Finance and Procurement Operations; Implements Geographically Complex Oracle-Enabled Finance Program
- Blog Post: TheAlephBlog: Managing Berkshire Hathaway by Committee?
- Published / Preprint: The acceptance-rejection method for low-discrepancy sequences. (arXiv:1403.5599v1 [q-fin.CP])
- Published / Preprint: Systemic risk in dynamical networks with stochastic failure criterion. (arXiv:1403.5623v1 [q-fin.RM])
- Published / Preprint: Trajectory Based Models, Arbitrage and Continuity. (arXiv:1403.5685v1 [math.PR])
- Published / Preprint: The Implied Volatility Analysis: The South African Experience. (arXiv:1403.5965v1 [q-fin.ST])
- Published / Preprint: Reward-risk momentum strategies using classical tempered stable distribution. (arXiv:1403.6093v1 [q-fin.PM])
- Blog Post: WealthandCapitalMarketsBlog: 4.9.2014: Celent Securities & Investments Webinar: The Evolution of the Retail Investor Landscape
- Blog Post: TheFinancialServicesClub: What does a Banking Union mean for Europe?
- Published / Preprint: The importance of sector constraints
- Published / Preprint: The cross-market index for volatility surprise
- Published / Preprint: An integrated risk-budgeting approach for multi-strategy equity portfolios
- Published / Preprint: Value premium and default risk
- Published / Preprint: No-arbitrage conditions and expected returns when assets have different βâs in up and down markets
- Published / Preprint: Are they any good at all? A financial and ethical analysis of socially responsible mutual funds
- Event: The 3rd CVA Conference
| Posted: 25 Mar 2014 02:36 AM PDT Infosys has successfully delivered a Strategic Financial Systems (SFS) program for SITA, one of the world’s leading specialists in air transport communications and IT solutions. Visit MoneyScience for the Complete Article.      |
| Blog Post: TheAlephBlog: Managing Berkshire Hathaway by Committee? Posted: 25 Mar 2014 12:38 AM PDT While reading about portfolio companies today, I ended up reading this piece about Berkshire Hathaway. Â Not that great of an article, and it got worse when I read this:read more... Visit MoneyScience for the Complete Article.    |
| Posted: 24 Mar 2014 05:39 PM PDT Generation of pseudorandom numbers from different probability distributions has been studied extensively in the Monte Carlo simulation literature. Two standard generation techniques are the acceptance-rejection and inverse transformation methods. An alternative approach to Monte Carlo simulation is the quasi-Monte Carlo method, which uses low-discrepancy sequences, instead of pseudorandom... Visit MoneyScience for the Complete Article.    |
| Posted: 24 Mar 2014 05:39 PM PDT Complex non-linear interactions between banks and assets we model by two time-dependent Erd\H{o}s Renyi network models where each node, representing bank, can invest either to a single asset (model I) or multiple assets (model II). We use dynamical network approach to evaluate the collective financial failure---systemic risk---quantified by the fraction of active nodes. The systemic risk can... Visit MoneyScience for the Complete Article.    |
| Posted: 24 Mar 2014 05:39 PM PDT The paper develops no arbitrage results for trajectory based models by imposing general constraints on the trading portfolios. The main condition imposed, in order to avoid arbitrage opportunities, is a local continuity requirement on the final portfolio value considered as a functional on the trajectory space. The paper shows this to be a natural requirement by proving that a large class of... Visit MoneyScience for the Complete Article.    |
| Posted: 24 Mar 2014 05:39 PM PDT In this paper, we analyse the South African implied volatility in various setting. We assess the information content in SAVI implied volatility using daily markets data. Our empirical application is focused on the FTSE/JSE Top 40 index and we emphasize our models performance in distinct sub-periods. Our results are compared with VIX/VXN and S&P 500/NASDAQ 100 data in some points which are... Visit MoneyScience for the Complete Article.    |
| Posted: 24 Mar 2014 05:39 PM PDT We implement momentum strategies based on reward-risk measures as ranking criteria using classical tempered stable distribution. The performance and risk characteristics of the portfolios are obtained in various asset classes and markets. The reward-risk momentum strategies outperform the traditional momentum strategy with lower volatility level regardless of asset class and market. Additionally,... Visit MoneyScience for the Complete Article.    |
| Posted: 24 Mar 2014 11:25 AM PDT Isabella Fonseca, Wealth Management Research Director with Celent’s Securities and Investments Group and Ashley Globerman, Analyst with Celent’s Securities and Investments Group.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: What does a Banking Union mean for Europe? Posted: 24 Mar 2014 05:21 AM PDT We had another great launch meeting of the Financial Services Club in Slovakia last week.read more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The importance of sector constraints Posted: 24 Mar 2014 04:06 AM PDT Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The cross-market index for volatility surprise Posted: 24 Mar 2014 04:06 AM PDT Visit MoneyScience for the Complete Article.    |
| Published / Preprint: An integrated risk-budgeting approach for multi-strategy equity portfolios Posted: 24 Mar 2014 04:06 AM PDT Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Value premium and default risk Posted: 24 Mar 2014 04:06 AM PDT Visit MoneyScience for the Complete Article.    |
| Posted: 24 Mar 2014 04:06 AM PDT Visit MoneyScience for the Complete Article.    |
| Posted: 24 Mar 2014 04:06 AM PDT Visit MoneyScience for the Complete Article.    |
| Posted: 05 Mar 2014 06:40 AM PST Location: London, United Kingdom; Date: March 19th, 2014; This Conference will focus on the practical aspects of CVA through its ever changing complex evolution. Now the compliance deadline has passed we will examine the impact of regulatory changes and capital charges on running a CVA desk. The latest CVA modelling techniques will be presented, however this conference will also... Visit MoneyScience for the Complete Article.    |
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