Tuesday, June 10, 2014

MoneyScience News

MoneyScience News

Blog Post: TheAlephBlog: Enabling Others

Posted: 10 Jun 2014 02:49 AM PDT

Whether on a micro-level (a business) or on a macro-level (a government) the way to build value comes from a simple concept.  What can I/we do to enable the goals of others?  Growth and success come through service.read more...

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Blog Post: TheFinancialServicesClub: Is happiness and income equality related to each other?

Posted: 10 Jun 2014 02:09 AM PDT

Bearing in mind that we have Financial Services Club Nordic Region, as I left the Stockholm meeting last week I picked up a fascinating book at the airport about the Nordic countries.read more...

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Vendor News: Fidessa brings intelligent workflow to US Treasuries

Posted: 10 Jun 2014 12:56 AM PDT

Published / Preprint: A generalized pricing and hedging framework for multi-currency fixed income desks. (arXiv:1406.1811v1 [q-fin.PR])

Posted: 09 Jun 2014 05:39 PM PDT

It is well known that traded foreign exchange forwards and cross currency swaps (CCS) cannot be priced applying cash and carry arguments. This paper proposes a generalized multi-currency pricing and hedging framework that allows the flexibility of choosing the perspective from which funding is managed for each currency. When cross currency basis spreads collapse to zero, this method converges to...

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Published / Preprint: Stochastic Analysis Seminar on Filtering Theory. (arXiv:1406.1936v1 [q-fin.MF])

Posted: 09 Jun 2014 05:38 PM PDT

These notes were originally written for the Stochastic Analysis Seminar in the Department of Operations Research and Financial Engineering at Princeton University, in February of 2011. The seminar was attended and supported by members of the Research Training Group, with the author being partially supported by NSF grant DMS-0739195.

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Published / Preprint: A Method of Reducing Dimension of Space Variables in Multi-dimensional Black-Scholes Equations. (arXiv:1406.2053v1 [q-fin.CP])

Posted: 09 Jun 2014 05:38 PM PDT

We study a method of reducing space dimension in multi-dimensional Black-Scholes partial differential equations as well as in multi-dimensional parabolic equations. We prove that a multiplicative transformation of space variables in the Black-Scholes partial differential equation reserves the form of Black-Scholes partial differential equation and reduces the space dimension. We show that this...

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Published / Preprint: Historical Backtesting of Local Volatility Model using AUD/USD Vanilla Options. (arXiv:1406.2133v1 [q-fin.PR])

Posted: 09 Jun 2014 05:38 PM PDT

The Local Volatility model is a well-known extension of the Black-Scholes constant volatility model whereby the volatility is dependent on both time and the underlying asset. This model can be calibrated to provide a perfect fit to a wide range of implied volatility surfaces. The model is easy to calibrate and still very popular in FX option trading. In this paper we address a question...

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Published / Preprint: Analitic approach to solve a degenerate parabolic PDE for the Heston model. (arXiv:1406.2292v1 [math.AP])

Posted: 09 Jun 2014 05:38 PM PDT

We present an analytic approach to solve a degenerate parabolic problem associated to the Heston model, which is widely used in mathematical finance to derive the price of an European option on an risky asset with stochastic volatility. We give a variational formulation, involving weighted Sobolev spaces, of the second order degenerate elliptic operator of the parabolic PDE. We use this approach...

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