MoneyScience News |
- Published / Preprint: Asymptotics for $d$-dimensional L\'evy-type processes. (arXiv:1404.3153v1 [q-fin.CP])
- Published / Preprint: Pricing of Basket Options Using Polynomial Approximations. (arXiv:1404.3160v1 [q-fin.PR])
- Published / Preprint: A Dynamical Model of the Industrial Economy of the Humber Region. (arXiv:1404.3167v1 [q-fin.EC])
- Blog Post: TheFinancialServicesClub: Facebook is getting regulatory approval to start financial services division
- Blog Post: TheAlephBlog: Sorted Weekly Tweets
| Posted: 14 Apr 2014 03:00 AM PDT We consider a general d-dimensional Levy-type process with killing. Combining the classical Dyson series approach with a novel polynomial expansion of the generator A(t) of the Levy-type process, we derive a family of asymptotic approximations for transition densities and European-style options prices. Examples of stochastic volatility models with jumps are provided in order to illustrate the... Visit MoneyScience for the Complete Article.      |
| Posted: 14 Apr 2014 03:00 AM PDT In this paper we use Bernstein and Chebyshev polynomials to approximate the price of some basket options under a bivariate Black-Scholes model. The method consists in expanding the price of a univariate related contract after conditioning on the remaining underlying assets and calculating the mixed exponential-power moments of a Gaussian distribution that arise as a consequence of such... Visit MoneyScience for the Complete Article.    |
| Posted: 14 Apr 2014 03:00 AM PDT The Humber region in the UK is a large and diverse industrial area centred around oil refining, chemical industries and energy production. However there is currently a desire to see the region transition towards a more bio-based economy. New bio-related industries are being situated in the region as a consequence of policy and economic incentives. Many of these industries are connected through... Visit MoneyScience for the Complete Article.    |
| Posted: 14 Apr 2014 02:49 AM PDT Apparently Facebook has applied for an e-money licence in Europe, according to today’s Financial Times. read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: Sorted Weekly Tweets Posted: 13 Apr 2014 04:41 PM PDT US Policy & Politics read more... Visit MoneyScience for the Complete Article.    |
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