MoneyScience News |
- Blog Post: TheAlephBlog: Illusory Investment Income
- Blog Post: TheFinancialServicesClub: Amazon's secret sauce: customer obsession
- Vendor News: May 13, 2014 - SS&C GlobeOp Hedge Fund Performance Index: April performance -0.59%; Capital Movement Index: May net flows advance 0.94%
- Published / Preprint: A Multi-factor Adaptive Statistical Arbitrage Model. (arXiv:1405.2384v1 [q-fin.PM])
- Published / Preprint: A Non Convex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries. (arXiv:1405.2442v1 [math.OC])
- Published / Preprint: How does bad and good volatility spill over across petroleum markets?. (arXiv:1405.2445v1 [q-fin.ST])
- Published / Preprint: Affine LIBOR models with multiple curves: theory, examples and calibration. (arXiv:1405.2450v1 [q-fin.MF])
- Published / Preprint: Interest rate models and Whittaker functions. (arXiv:1405.2459v1 [q-fin.MF])
- Published / Preprint: Risk Neutral Option Pricing With Neither Dynamic Hedging nor Complete Markets, A Measure-Theoretic Proof. (arXiv:1405.2609v1 [q-fin.MF])
- Published / Preprint: Simple examples of pure-jump strict local martingales. (arXiv:1405.2669v1 [math.PR])
- Published / Preprint: Arbitrage Pricing of Multi-person Game Contingent Claims. (arXiv:1405.2718v1 [q-fin.MF])
- Blog Post: WealthandCapitalMarketsBlog: 6.11.2014 Celent Webinar: How to Better Leverage Celent
- Published / Preprint: Gaussian-Chain Filters for Heavy-Tailed Noise with Application to Detecting Big Buyers and Big Sellers in Stock Market. (arXiv:1405.2220v1 [q-fin.TR])
- Published / Preprint: Optimal stopping under model uncertainty: randomized stopping times approach. (arXiv:1405.2240v1 [q-fin.MF])
- Event: Webcast - Counterparty Credit Risk- Perspectives and Tools
| Blog Post: TheAlephBlog: Illusory Investment Income Posted: 13 May 2014 01:30 AM PDT Yield is an illusion, whether it comes from stocks, REITs, preferred stocks, bonds, loans, limited partnerships, etc.  Yield from investments is not the same as being a farmer with chickens, where each day you can collect eggs, enjoy or sell them, and your net worth is not affected by harvesting the eggs.read more... Visit MoneyScience for the Complete Article.      |
| Blog Post: TheFinancialServicesClub: Amazon's secret sauce: customer obsession Posted: 13 May 2014 01:29 AM PDT I was watching this great advert documentary about Amazon on the BBC this week.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 13 May 2014 01:07 AM PDT    |
| Posted: 12 May 2014 05:40 PM PDT This paper examines the implementation of a statistical arbitrage trading strategy based on co-integration relationships where we discover candidate portfolios using multiple factors rather than just price data. The portfolio selection methodologies include K-means clustering, graphical lasso and a combination of the two. Our results show that clustering appears to yield better candidate... Visit MoneyScience for the Complete Article.    |
| Posted: 12 May 2014 05:40 PM PDT We show that the equivalence between certain problems of singular stochastic control (SSC) and related questions of optimal stopping known for convex performance criteria (see, for example, Karatzas and Shreve (1984)) continues to hold in a non convex problem provided a related discretionary stopping time is introduced. Our problem is one of storage and consumption for electricity, a partially... Visit MoneyScience for the Complete Article.    |
| Posted: 12 May 2014 05:40 PM PDT We detect and quantify asymmetries in volatility spillovers using the realized semivariances of petroleum commodities: crude oil, gasoline, and heating oil. During the 1987--2014 period we document increasing spillovers from volatility among petroleum commodities that substantially change after the 2008 financial crisis. The increase in volatility spillovers correlates with the progressive... Visit MoneyScience for the Complete Article.    |
| Posted: 12 May 2014 05:40 PM PDT We introduce a multiple curve LIBOR framework that combines tractable dynamics and semi-analytic pricing formulas with positive interest rates and basis spreads. The dynamics of OIS and LIBOR rates are specified following the methodology of the affine LIBOR models and are driven by the wide and flexible class of affine processes. The affine property is preserved under forward measures, which... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Interest rate models and Whittaker functions. (arXiv:1405.2459v1 [q-fin.MF]) Posted: 12 May 2014 05:40 PM PDT I present the technique which can analyse some interest rate models: Constantinides-Ingersoll, CIR-model, geometric CIR and Geometric Brownian Motion. All these models have the unified structure of Whittaker function. The main focus of this text is closed-form solutions of the zero-coupon bond value in these models. In text I emphasize the specific details of mathematical methods of their... Visit MoneyScience for the Complete Article.    |
| Posted: 12 May 2014 05:40 PM PDT Proof that under simple assumptions, such as con- straints of Put-Call Parity, the probability measure for the valuation of a European option has the mean of the risk-neutral one, under any general probability distribution, bypassing the Black-Scholes-Merton dynamic hedging argument, and without the requirement of complete markets. We confirm that the heuristics used by traders for centuries are... Visit MoneyScience for the Complete Article.    |
| Posted: 12 May 2014 05:40 PM PDT We present simple new examples of pure-jump strict local martingales. The examples are constructed as exponentials of self-exciting affine Markov processes. We characterize the strict local martingale property of these processes by an integral criterion and by non-uniqueness of an associated ordinary differential equation. Finally we show an alternative construction for our examples by an... Visit MoneyScience for the Complete Article.    |
| Posted: 12 May 2014 05:39 PM PDT We introduce a class of financial contracts involving several parties by extending the notion of a two-person game option (see Kifer (2000)) to a contract in which an arbitrary number of parties is involved and each of them is allowed to make a wide array of decisions at any time, not restricted to simply `exercising the option'. The collection of decisions by all parties then determines the... Visit MoneyScience for the Complete Article.    |
| Blog Post: WealthandCapitalMarketsBlog: 6.11.2014 Celent Webinar: How to Better Leverage Celent Posted: 12 May 2014 01:09 PM PDT Celent CEO, Craig Weberread more... Visit MoneyScience for the Complete Article.    |
| Posted: 11 May 2014 05:38 PM PDT We propose a new heavy-tailed distribution --- Gaussian-Chain (GC) distribution, which is inspirited by the hierarchical structures prevailing in social organizations. We determine the mean, variance and kurtosis of the Gaussian-Chain distribution to show its heavy-tailed property, and compute the tail distribution table to give specific numbers showing how heavy is the heavy-tails. To filter out... Visit MoneyScience for the Complete Article.    |
| Posted: 11 May 2014 05:38 PM PDT In this work we consider optimal stopping problems with conditional convex risk measures called optimised certainty equivalents. Without assuming any kind of time-consistency for the underlying family of risk measures, we derive a novel representation for the solution of the optimal stopping problem. In particular, we generalise the additive dual representation of Rogers (2002) to the case of... Visit MoneyScience for the Complete Article.    |
| Event: Webcast - Counterparty Credit Risk- Perspectives and Tools Posted: 11 May 2014 10:41 AM PDT Location: Online; Date: May 20th, 2014; Financial firms are facing significant challenges when it comes to measuring and assessing risk from counterparties. In the aftermath of the 2008 financial crisis, progress measuring the broad array of financial transactions with other institutions remains uneven and progress toward consistent, timely and accurate reporting of top counterparty... Visit MoneyScience for the Complete Article.    |
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