MoneyScience News |
- Blog Post: TheAlephBlog: The Good ETF, Part 2 (sort of)
- Published / Preprint: On small-noise equations with degenerate limiting system arising from volatility models. (arXiv:1404.4464v1 [math.PR])
- Published / Preprint: Macroprudential oversight, risk communication and visualization. (arXiv:1404.4550v1 [q-fin.CP])
- Published / Preprint: Directed Random Market: the equilibrium distribution. (arXiv:1404.4068v1 [q-fin.GN])
- Published / Preprint: The Master Equation in Mean Field Theory. (arXiv:1404.4150v1 [math.AP])
- Blog Post: TheFinancialServicesClub: The long, good Friday and a manic Monday
| Blog Post: TheAlephBlog: The Good ETF, Part 2 (sort of) Posted: 17 Apr 2014 10:38 PM PDT About 4.5 years ago, I wrote a short piece called The Good ETF.  I’ll quote the summary:read more... Visit MoneyScience for the Complete Article.      |
| Posted: 17 Apr 2014 05:38 PM PDT The one-dimensional SDE with non Lipschitz diffusion coefficient $dX_{t} = b(X_{t})dt + \sigma X_{t}^{\gamma} dB_{t}, \ X_{0}=x, \ \gamma<1$ is widely studied in mathematical finance. Several works have proposed asymptotic analysis of densities and implied volatilities in models involving specific instances of this equation, based on a careful implementation of... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Apr 2014 05:38 PM PDT This paper discusses the role of risk communication in macroprudential oversight and of visualization in risk communication. Beyond the soar in availability and precision of data, the transition from firm-centric to system-wide supervision imposes obvious data needs. Moreover, broad and effective communication of timely information related to systemic risks is a key mandate of macroprudential... Visit MoneyScience for the Complete Article.    |
| Posted: 17 Apr 2014 07:50 AM PDT We find the explicit expression for the equilibrium wealth distribution of the Directed Random Market process, recently introduced by Mart\'inez-Mart\'inez and L\'opez-Ruiz, which turns out to be a Gamma distribution with shape parameter $\frac{1}{2}$. We also prove the convergence of the discrete-time process describing the evolution of the distribution of wealth to the... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The Master Equation in Mean Field Theory. (arXiv:1404.4150v1 [math.AP]) Posted: 17 Apr 2014 07:50 AM PDT In his lectures at College de France, P.L. Lions introduced the concept of Master equation, see [5] for Mean Field Games. It is introduced in a heuristic fashion, from the system of partial differential equations, associated to a Nash equilibrium for a large, but finite, number of players. The method, also explained in[2], consists in a formal analogy of terms. The interest of this equation is... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: The long, good Friday and a manic Monday Posted: 17 Apr 2014 07:50 AM PDT It's a long holiday weekend here in Britain and so the Finanser is away until Tuesday.read more... Visit MoneyScience for the Complete Article.    |
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