MoneyScience News |
- Blog Post: TheFinancialServicesClub: Bankers: if you can't jail them, at least you can sue them
- Vendor News: May 21, 2014 - SS&C GlobeOp Forward Redemption Indicator: May notifications 4.32%
- Blog Post: TheAlephBlog: Classic: Changes in Corporate Bonds
- Published / Preprint: DO ARBITRAGEâFREE PRICES COME FROM UTILITY MAXIMIZATION?
- Published / Preprint: MULTIDIMENSIONAL DYNAMIC RISK MEASURE VIA CONDITIONAL gâEXPECTATION
- Published / Preprint: BENCHMARKED RISK MINIMIZATION
- Published / Preprint: ARROWâDEBREU EQUILIBRIA FOR RANKâDEPENDENT UTILITIES
- Published / Preprint: GAMBLING IN CONTESTS WITH REGRET
- Published / Preprint: HIGHâORDER SHORTâTIME EXPANSIONS FOR ATM OPTION PRICES OF EXPONENTIAL LÃVY MODELS
- Published / Preprint: UTILITY MAXIMIZATION UNDER MODEL UNCERTAINTY IN DISCRETE TIME
- Published / Preprint: VALUATION OF BARRIER OPTIONS VIA A GENERAL SELFâDUALITY
- Published / Preprint: Set-valued shortfall and divergence risk measures. (arXiv:1405.4905v1 [q-fin.RM])
- Published / Preprint: Correlation structure and principal components in global crude oil market. (arXiv:1405.5000v1 [q-fin.ST])
- Blog Post: iMFdirect: Building the Future: Jobs, Growth, and Fairness in the Arab World
- Vendor News: Infosys annual report 2014 available online for ADS holders
| Blog Post: TheFinancialServicesClub: Bankers: if you can't jail them, at least you can sue them Posted: 21 May 2014 02:22 AM PDT I read three interesting commentaries this week about the financial crisis, and it builds upon yesterday’s discussion of Credit Suisse being the first bank for over a decade to admit to criminal wrong-doing in the USA.read more... Visit MoneyScience for the Complete Article.      |
| Vendor News: May 21, 2014 - SS&C GlobeOp Forward Redemption Indicator: May notifications 4.32% Posted: 21 May 2014 01:07 AM PDT    |
| Blog Post: TheAlephBlog: Classic: Changes in Corporate Bonds Posted: 20 May 2014 11:59 PM PDT This was a two part article that was published at RealMoney July 19-20, 2004:read more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: DO ARBITRAGEâFREE PRICES COME FROM UTILITY MAXIMIZATION? Posted: 20 May 2014 09:03 PM PDT Abstract In this paper we ask whether, given a stock market and an illiquid derivative, there exists arbitrageâ€free prices at which a utilityâ€maximizing agent would always want to buy the derivative, irrespectively of his own initial endowment of derivatives and cash. We prove that this is false for any given investor if one considers all initial endowments with finite utility, and that it... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: MULTIDIMENSIONAL DYNAMIC RISK MEASURE VIA CONDITIONAL gâEXPECTATION Posted: 20 May 2014 09:03 PM PDT Abstract This paper deals with multidimensional dynamic risk measures induced by conditional gâ€expectations. A notion of multidimensional gâ€expectation is proposed to provide a multidimensional version of nonlinear expectations. By a technical result on explicit expressions for the comparison theorem, uniqueness theorem, and viability on a rectangle of solutions to multidimensional backward... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: BENCHMARKED RISK MINIMIZATION Posted: 20 May 2014 09:03 PM PDT Abstract This paper discusses the problem of hedging not perfectly replicable contingent claims using the numéraire portfolio. The proposed concept of benchmarked risk minimization leads beyond the classical noâ€arbitrage paradigm. It provides in incomplete markets a generalization of the pricing under classical risk minimization, pioneered by Föllmer, Sondermann, and Schweizer. The latter... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: ARROWâDEBREU EQUILIBRIA FOR RANKâDEPENDENT UTILITIES Posted: 20 May 2014 09:03 PM PDT Abstract We provide conditions on a oneâ€periodâ€twoâ€date pure exchange economy with rankâ€dependent utility agents under which Arrowâ€"Debreu equilibria exist. When such an equilibrium exists, we show that the stateâ€price density is a weighted marginal rate of intertemporal substitution of a representative agent, where the weight depends on the differential of the probability weighting... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: GAMBLING IN CONTESTS WITH REGRET Posted: 20 May 2014 09:03 PM PDT Abstract This paper discusses the gambling contest introduced in Seel and Strack (, Gambling in Contests, Journal of Economic Theory, 148(5), 2033â€"2048) and considers the impact of adding a penalty associated with failure to follow a winning strategy. The Seel and Strack model consists of nâ€agents each of whom privately observes a transient diffusion process and chooses when to stop it. The... Visit MoneyScience for the Complete Article.    |
| Posted: 20 May 2014 09:03 PM PDT AbstractThe shortâ€time asymptotic behavior of option prices for a variety of models with jumps has received much attention in recent years. In this work, a novel secondâ€order approximation for atâ€theâ€money (ATM) option prices is derived for a large class of exponential Lévy models with or without Brownian component. The results hereafter shed new light on the connection between both the... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: UTILITY MAXIMIZATION UNDER MODEL UNCERTAINTY IN DISCRETE TIME Posted: 20 May 2014 09:03 PM PDT Abstract We give a general formulation of the utility maximization problem under nondominated model uncertainty in discrete time and show that an optimal portfolio exists for any utility function that is bounded from above. In the unbounded case, integrability conditions are needed as nonexistence may arise even if the value function is finite.read more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: VALUATION OF BARRIER OPTIONS VIA A GENERAL SELFâDUALITY Posted: 20 May 2014 09:03 PM PDT Abstract Classical putâ€"call symmetry relates the price of puts and calls under a suitable dual market transform. One wellâ€known application is the semistatic hedging of pathâ€dependent barrier options with European options. This, however, in its classical form requires the price process to observe rather stringent and unrealistic symmetry properties. In this paper, we develop a general... Visit MoneyScience for the Complete Article.    |
| Posted: 20 May 2014 05:39 PM PDT This paper is concerned with the utility-based risk of a financial position in a multi-asset market with frictions. Risk is quantified by set-valued risk measures, and market frictions are modeled by conical/convex random solvency regions representing proportional transaction costs or illiquidity effects, and convex random sets representing trading constraints. First, with a general set-valued... Visit MoneyScience for the Complete Article.    |
| Posted: 20 May 2014 05:39 PM PDT This article investigates the correlation structure of the global crude oil market using the daily returns of 71 oil price time series across the world from 1992 to 2012. We identify from the correlation matrix six clusters of time series exhibiting evident geographical traits, which supports Weiner's (1991) regionalization hypothesis of the global oil market. We find that intra-cluster pairs of... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Building the Future: Jobs, Growth, and Fairness in the Arab World Posted: 20 May 2014 11:38 AM PDT By Christine Lagarderead more... Visit MoneyScience for the Complete Article.    |
| Vendor News: Infosys annual report 2014 available online for ADS holders Posted: 19 May 2014 05:27 PM PDT Infosys Limited today announced that as in the previous years, it will furnish its annual reports to its ADS holders on its website in lieu of physical distribution. Visit MoneyScience for the Complete Article.    |
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