MoneyScience News |
- Vendor News: GW&K Live on FidessaâÂÂs Sentinel Compliance Service
- Published / Preprint: Option Pricing Accuracy for Estimated Heston Models. (arXiv:1404.4014v1 [q-fin.MF])
- Published / Preprint: Stochastic Spot/Volatility Correlation in Stochastic Volatility Models and Barrier Option Pricing. (arXiv:1404.4028v1 [q-fin.PR])
- Published / Preprint: $L_p$ regularized portfolio optimization. (arXiv:1404.4040v1 [q-fin.PM])
- Blog Post: TheFinancialServicesClub: Cloud computing comes of age (thanks to vertical alignment to banking)
- Blog Post: TheAlephBlog: Peterson's Guide to Financial Blog Commenters
- Vendor News: April 15, 2014 - Capital Institutional Services, Inc. Goes Live on SS&Câs Lightning TradeDesk
| Vendor News: GW&K Live on FidessaâÂÂs Sentinel Compliance Service Posted: 16 Apr 2014 02:54 AM PDT      |
| Posted: 16 Apr 2014 02:52 AM PDT We consider assets for which price $X_t$ and squared volatility $Y_t$ are jointly driven by Heston joint stochastic differential equations (SDEs). When the parameters of these SDEs are estimated from $N$ sub-sampled data $(X_{nT}, Y_{nT})$, estimation errors do impact the classical option pricing PDEs. We estimate these option pricing errors by combining numerical evaluation of estimation errors... Visit MoneyScience for the Complete Article.    |
| Posted: 16 Apr 2014 02:52 AM PDT Most models for barrier pricing are designed to let a market maker tune the model-implied covariance between moves in the asset spot price and moves in the implied volatility skew. This is often implemented with a local volatility/stochastic volatility mixture model, where the mixture parameter tunes that covariance. This paper defines an alternate model where the spot/volatility correlation is a... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: $L_p$ regularized portfolio optimization. (arXiv:1404.4040v1 [q-fin.PM]) Posted: 16 Apr 2014 02:52 AM PDT Investors who optimize their portfolios under any of the coherent risk measures are naturally led to regularized portfolio optimization when they take into account the impact their trades make on the market. We show here that the impact function determines which regularizer is used. We also show that any regularizer based on the norm $L_p$ with $p>1$ makes the sensitivity of coherent risk... Visit MoneyScience for the Complete Article.    |
| Posted: 16 Apr 2014 02:51 AM PDT For some years now, banks have been grappling with the idea of cloud.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: Peterson's Guide to Financial Blog Commenters Posted: 15 Apr 2014 11:29 PM PDT I’ve been blogging for over seven years… this is just an experiment, and unlikely to be repeated. Â Here goes:read more... Visit MoneyScience for the Complete Article.    |
| Posted: 15 Apr 2014 06:09 AM PDT    |
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