MoneyScience News |
- Blog Post: TheFinancialServicesClub: There's a big difference between KYC and KNOWING your customer
- Published / Preprint: Dynamic Linkages Between Tokyo and Osaka Rice Futures Markets in Prewar Japan. (arXiv:1404.1164v1 [q-fin.GN])
- Published / Preprint: Parallel American Monte Carlo. (arXiv:1404.1180v1 [q-fin.CP])
- Published / Preprint: Discretisation-Invariant Swaps. (arXiv:1404.1351v1 [q-fin.PR])
- Blog Post: TheAlephBlog: Reaching For Yield
- Blog Post: ThePracticalQuant: 5 Fun Facts about HBase that you didn't know
| Blog Post: TheFinancialServicesClub: There's a big difference between KYC and KNOWING your customer Posted: 07 Apr 2014 02:59 AM PDT I had a really interesting conversation with @Anthemis last week.read more... Visit MoneyScience for the Complete Article.      |
| Posted: 06 Apr 2014 05:37 PM PDT This paper examines how the rice futures market in prewar Japan evolved in view of market efficiency changing with time. Using a non-Bayesian time-varying VAR model, we compute the time-varying degree of market efficiency of the rice futures exchanges in Tokyo and Osaka. Then we demonstrated that the markets experienced three periods of significantly low market efficiency every time... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Parallel American Monte Carlo. (arXiv:1404.1180v1 [q-fin.CP]) Posted: 06 Apr 2014 05:37 PM PDT In this paper we introduce a new algorithm for American Monte Carlo that can be used either for American-style options, callable structured products or for computing counterparty credit risk (e.g. CVA or PFE computation). Leveraging least squares regressions, the main novel feature of our algorithm is that it can be fully parallelized. Moreover, there is no need to store the paths and the payoff... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Discretisation-Invariant Swaps. (arXiv:1404.1351v1 [q-fin.PR]) Posted: 06 Apr 2014 05:37 PM PDT Extensive research illustrates the jump and discretisation errors that affect the valuation of standard swap contracts. We introduce a vector space of price and return characteristics that allow to define swaps which can be valued exactly, assuming only that the market is free of arbitrage. Although fair-value swap rates are independent of monitoring frequency, the associated risk premiums are... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: Reaching For Yield Posted: 06 Apr 2014 05:10 PM PDT 15 months ago I wrote a piece called Expensive High Yield â€" II.  High yield is still expensive.  I won’t post all of the regressions, but I have re-run them.  The results are largely the same as before.  Yields are low, and spreads are overly tight for everything except CCC bonds.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: ThePracticalQuant: 5 Fun Facts about HBase that you didn't know Posted: 06 Apr 2014 10:37 AM PDT [A version of this post appears on the O'Reilly Data blog.]With HBaseCon right around the corner, I wanted to take stock of one of the more popular1 components in the Hadoop ecosystem. Over the last few years, many more companies have come to rely on HBase to run key products and services. The conference will showcase a wide variety of such examples, and highlight some of the new features that... Visit MoneyScience for the Complete Article.    |
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