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Blog Post: TheFinancialServicesClub: 2014: let the good times roll
Blog Post: TheAlephBlog: Zzzzzzzzzzz'¦
Published / Preprint: Multilevel path simulation for weak approximation schemes: myth or reality. (arXiv:1406.2581v1 [q-fin.CP])
Blog Post: iMFdirect: Managing the revenue from natural resources'whatâs a Finance Minister to do?
Vendor News: June 10, 2014 - Wexford Capital extends fund administration relationship with SS&C GlobeOp

Blog Post: TheFinancialServicesClub: 2014: let the good times roll

Posted: 11 Jun 2014 03:30 AM PDT

It is interesting to hear the non-stop debate about the UK housing market bubble (and it is a bubble); the settling of the European markets after the sovereign debt crisis; the burgeoning US economy that is getting back to normal superpower status; whilst China will be the #1 economy by 2018; and other bullish market statements.read more...

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Blog Post: TheAlephBlog: Zzzzzzzzzzz'¦

Posted: 11 Jun 2014 03:19 AM PDT

There was one time when I was writing for RealMoney when none of the three main indexes (S&P 500, DJIA, Nasdaq Composite) moved much on a given day, and so posted on it to show how rare it was. Â One fellow e-mailed me be saying, “You have too much Â time on your hands.”read more...

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Published / Preprint: Multilevel path simulation for weak approximation schemes: myth or reality. (arXiv:1406.2581v1 [q-fin.CP])

Posted: 10 Jun 2014 05:39 PM PDT

In this paper we discuss the possibility of using multilevel Monte Carlo (MLMC) methods for weak approximation schemes. It turns out that by means of a simple coupling between consecutive time discretisation levels, one can achieve the same complexity gain as under the presence of a strong convergence. We exemplify this general idea in the case of weak Euler and Milstein schemes, and prove that...

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