MoneyScience News |
- Blog Post: TheAlephBlog: Why it is Hard to Win in Investing
- Blog Post: iMFdirect: Reduced Speed, Rising Challenges: IMF Outlook for Latin America and the Caribbean
- Blog Post: TheFinancialServicesClub: Art would not flourish without banks
- Published / Preprint: Incorporating a Volatility Smile into the Markov-Functional Model. (arXiv:1404.6120v1 [q-fin.MF])
- Published / Preprint: A Multi-Entity Input Output (MEIO) Approach to Sustainability - Water-Energy-GHG (WEG) Footprint Statements in Use Cases from Auto and Telco Industries. (arXiv:1404.6227v1 [q-fin.GN])
- Published / Preprint: A model of financial contagion with variable asset returns may be replaced with a simple threshold model of cascades. (arXiv:1312.6804v2 [q-fin.RM] UPDATED)
- Gain insight into Islamic banking, finance and economic development with Wiley Finance
- Vendor News: April 24, 2014 - SS&C Launches REIT Servicing Group
- Published / Preprint: Measurement and Internalization of Systemic Risk in a Global Banking Network. (arXiv:1404.5689v1 [q-fin.GN])
- Vendor News: Infosys DigitizeEdge Creates New Immersive Experience for Orange IPTV Viewers
- Protect Your Investments in Todayâs Global Economic Climate with Wiley Finance
- Published / Preprint: Futures Premium and Efficiency of the Rice Futures Markets in Prewar Japan. (arXiv:1404.5381v1 [q-fin.ST])
- Published / Preprint: Continuous time portfolio choice under monotone preferences with quadratic penalty - stochastic interest rate case. (arXiv:1404.5408v1 [q-fin.PM])
- Published / Preprint: 23Apr/William Coen appointed as the next Secretary General of the Basel Committee
- Blog Post: ThePracticalQuant: Verticalized Big Data applications
- Published / Preprint: Spectral Model of Turnover Reduction. (arXiv:1404.5050v1 [q-fin.GN])
- Published / Preprint: High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids. (arXiv:1404.5138v1 [q-fin.CP])
- Published / Preprint: High-order compact finite difference scheme for option pricing in stochastic volatility models. (arXiv:1404.5140v1 [q-fin.CP])
- Published / Preprint: Self-Averaging Property of Minimal Investment Risk of Mean-Variance Model. (arXiv:1404.5222v1 [q-fin.PM])
- Published / Preprint: Reconstruction of density functions by sk-splines. (arXiv:1404.5271v1 [q-fin.MF])
- Published / Preprint: Could corporate governance practices enhance social welfare?
- Published / Preprint: Financial centers and firm performance during the crisis period: Evidence from India
- Published / Preprint: Corporate governance in Kuwait: An analysis in terms of grounded theory
- Published / Preprint: Financial statements are messages that need a context to be better understood
- Published / Preprint: Market reactions to Wells Notice: An empirical analysis
- Vendor News: Portfolio Probe support news
- Blog Post: PatrickBurns: US market portrait 2014 week 16
- Vendor News: GW&K Live on FidessaâÂÂs Sentinel Compliance Service
- Interview with Cyril Demaria, author of Introduction to Private Equity: Venture, Growth, LBO and Turn-Around Capital, 2nd Edition
| Blog Post: TheAlephBlog: Why it is Hard to Win in Investing Posted: 26 Apr 2014 05:18 AM PDT Before I start this evening, I want to say something about many investment books that I have been reading of late. Â In terms of information toward the stated goal of the book, there is often a lot of build up, some of it necessary, some not, some of it interesting, some not, occasionally some unique insights, but most of the time not. Â Much of it is filler that could be eliminated. Â And, if... Visit MoneyScience for the Complete Article.      |
| Posted: 25 Apr 2014 07:10 AM PDT By Alejandro Wernerread more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: Art would not flourish without banks Posted: 25 Apr 2014 01:55 AM PDT Having spent some time talking about life 700 years ago, you relaise that some things stay constant. read more... Visit MoneyScience for the Complete Article.    |
| Posted: 24 Apr 2014 05:39 PM PDT We study a Markov-Functional (MF) interest-rate model with Uncertain Volatility Displaced Diffusion (UVDD) digital mapping, which is consistent with the volatility-smile phenomenon observed in the option market. We first check the impact of pricing Bermudan swaptions by the model. Next, we also investigate the future smiles implied by the MF models and the smile dynamics implied by the UVDD... Visit MoneyScience for the Complete Article.    |
| Posted: 24 Apr 2014 05:39 PM PDT A new Input-Output model, called the Multi-Entity Input-Output (MEIO) model, is introduced to estimate the responsibility of entities of an ecosystem on the footprint of each other. It assumed that the ecosystem is comprised of end users, service providers, and utilities. The proposed MEIO modeling approach can be seen as a realization of the Everybody-in-the-Loop (EitL) framework, which promotes... Visit MoneyScience for the Complete Article.    |
| Posted: 24 Apr 2014 05:39 PM PDT I show the equivalence between a model of financial contagion and the threshold model of global cascades proposed by Watts (2002). The model financial network comprises banks that hold risky external assets as well as interbank assets. It is shown that a simple threshold model can replicate the size and the frequency of financial contagion without using information about individual balance... Visit MoneyScience for the Complete Article.    |
| Gain insight into Islamic banking, finance and economic development with Wiley Finance Posted: 24 Apr 2014 11:59 AM PDT Gain Insight into Islamic Banking, Finance, Economic Developmentread more... Visit MoneyScience for the Complete Article.    |
| Vendor News: April 24, 2014 - SS&C Launches REIT Servicing Group Posted: 24 Apr 2014 06:08 AM PDT    |
| Posted: 23 Apr 2014 05:30 PM PDT The negative externalities from an individual bank failure to the whole system can be huge. One of the key purposes of bank regulation is to internalize the social costs of potential bank failures via capital charges. This study proposes a method to evaluate and allocate the systemic risk to different countries/regions using a SIR type of epidemic spreading model and the Shapley value in game... Visit MoneyScience for the Complete Article.    |
| Vendor News: Infosys DigitizeEdge Creates New Immersive Experience for Orange IPTV Viewers Posted: 23 Apr 2014 02:50 AM PDT Infosys partners with Orange to offer customers a wide range of TV apps on the Orange Livebox Play. These apps will be powered by Infosys DigitizeEdge. Visit MoneyScience for the Complete Article.    |
| Protect Your Investments in Todayâs Global Economic Climate with Wiley Finance Posted: 23 Apr 2014 02:30 AM PDT Protect Your Investments in Today’s Global Economic Climateread more... Visit MoneyScience for the Complete Article.    |
| Posted: 23 Apr 2014 02:18 AM PDT This paper examines how the Tokyo and Osaka rice futures markets in prewar Japan were evolving in view of market efficiency. Applying a non-Bayesian time-varying model approach to analyze the famous equation for the futures premium, we find that the market efficiency of the two major rice futures markets varied with time. Such time-varying structure of the rice futures markets in prewar Japan... Visit MoneyScience for the Complete Article.    |
| Posted: 23 Apr 2014 02:18 AM PDT This is a follow up of our previous paper - Trybu{\l}a and Zawisza \cite{TryZaw}, where we considered a modification of a monotone mean-variance functional in continuous time in stochastic factor model. In this article we address the problem of optimizing the mentioned functional in a market with a stochastic interest rate. We formulate it as a stochastic differential game problem and use... Visit MoneyScience for the Complete Article.    |
| Posted: 23 Apr 2014 12:36 AM PDT BIS press release about the Basel Committee appointing William Coen as its next Secretary General (23 April 2014) Visit MoneyScience for the Complete Article.    |
| Blog Post: ThePracticalQuant: Verticalized Big Data applications Posted: 22 Apr 2014 03:32 AM PDT [A version of this post appears on the O'Reilly Data blog.]As much as I love talking about general-purpose big data platforms and data science frameworks, I'm the first to admit that many of the interesting startups I talk to are focused on specific verticals. At their core big data applications merge large amounts of real-time and static data to improve decision-making:This simple idea can be... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Spectral Model of Turnover Reduction. (arXiv:1404.5050v1 [q-fin.GN]) Posted: 22 Apr 2014 03:28 AM PDT When trades are crossed between multiple alpha streams, portfolio turnover decreases. Turnover reduction needs to be taken into account for optimizing asset allocation to these alphas. We propose a spectral model of turnover reduction for a general alpha correlation matrix in the limit where the number of alphas is large. Visit MoneyScience for the Complete Article.    |
| Posted: 22 Apr 2014 03:28 AM PDT We derive high-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids. The schemes are fourth-order accurate in space and second-order accurate in time for vanishing correlation. In our numerical study we obtain high-order numerical convergence also for non-zero correlation and non-smooth payoffs which are typical in option pricing. In all... Visit MoneyScience for the Complete Article.    |
| Posted: 22 Apr 2014 03:28 AM PDT We derive a new high-order compact finite difference scheme for option pricing in stochastic volatility models. The scheme is fourth-order accurate in space and second-order accurate in time. Under some restrictions, theoretical results like unconditional stability in the sense of von Neumann are presented. Where the analysis becomes too involved we validate our findings by a numerical study.... Visit MoneyScience for the Complete Article.    |
| Posted: 22 Apr 2014 03:28 AM PDT In portfolio optimization problems, the minimum expected investment risk is not always smaller than the expected minimal investment risk. That is, using a well-known approach from operations research, it is possible to derive a strategy that minimizes the expected investment risk, but this strategy does not always result in the best rate of return on assets. Prior to making investment decisions,... Visit MoneyScience for the Complete Article.    |
| Posted: 22 Apr 2014 03:28 AM PDT Reconstruction of density functions and their characteristic functions by radial basis functions with scattered data points is a popular topic in the theory of pricing of basket options. Such functions are usually entire or admit an analytic extension into an appropriate tube and "bell-shaped" with rapidly decaying tails. Unfortunately, the domain of such functions is not compact which creates... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Could corporate governance practices enhance social welfare? Posted: 20 Apr 2014 11:16 PM PDT Visit MoneyScience for the Complete Article.    |
| Posted: 20 Apr 2014 11:16 PM PDT Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Corporate governance in Kuwait: An analysis in terms of grounded theory Posted: 20 Apr 2014 11:16 PM PDT Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Financial statements are messages that need a context to be better understood Posted: 20 Apr 2014 11:16 PM PDT Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Market reactions to Wells Notice: An empirical analysis Posted: 20 Apr 2014 11:16 PM PDT Visit MoneyScience for the Complete Article.    |
| Vendor News: Portfolio Probe support news Posted: 20 Apr 2014 10:55 AM PDT Portfolio Probe support news body,.backgroundTable{ background- } #contentTable{ border:0px none #000000; margin-top:10px; } .headerTop{ background- border-top:0px none #000000; border-bottom:0px none #FFFFFF; text-align:center; padding:0px; } .adminText{ font-size:10px; line-height:200%; font-family:Verdana; text-decoration:none; }... Visit MoneyScience for the Complete Article.    |
| Blog Post: PatrickBurns: US market portrait 2014 week 16 Posted: 19 Apr 2014 02:45 AM PDT US large cap market returns.read more... Visit MoneyScience for the Complete Article.    |
| Vendor News: GW&K Live on FidessaâÂÂs Sentinel Compliance Service Posted: 16 Apr 2014 02:54 AM PDT    |
| Posted: 04 Apr 2014 02:39 AM PDT Interview with Cyril Demaria, author of Introduction to Private Equity: Venture, Growth, LBO and Turn-Around Capital, 2nd Editionread more... Visit MoneyScience for the Complete Article.    |
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