MoneyScience News |
- Blog Post: TheAlephBlog: 'Smart Betaâ and Portfolio Rule Seven
- Published / Preprint: 24Jun/Proposed revisions to Pillar 3 disclosure requirements published by the Basel Committee
- Published / Preprint: Statistical Arbitrage in the Black-Scholes Framework. (arXiv:1406.5646v1 [q-fin.MF])
- Published / Preprint: An Unconventional Attempt to Tame Mandelbrot's Grey Swans. (arXiv:1406.5718v1 [q-fin.ST])
- Published / Preprint: Reduction of systemic risk by means of Pigouvian taxation. (arXiv:1406.5817v1 [q-fin.RM])
- Published / Preprint: Moral Hazard in Dynamic Risk Management. (arXiv:1406.5852v1 [q-fin.PM])
- Published / Preprint: Computation of copulas by Fourier methods. (arXiv:1108.1216v2 [math.PR] UPDATED)
- Blog Post: iMFdirect: What a Drag: The Burden of Nonperforming Loans on Credit in the Euro Area
- Vendor News: June 23, 2014 - SS&C Appoints Michael J. Zamkow to its Board of Directors
- Event: Free webinar: Cost of Collateral for Clearing
- Vendor News: Fidessa brings intelligent workflow to US Treasuries
| Blog Post: TheAlephBlog: 'Smart Betaâ and Portfolio Rule Seven Posted: 24 Jun 2014 02:58 AM PDT I’m not an advocate for smart beta. Â There are several reasons for that:read more... Visit MoneyScience for the Complete Article.      |
| Posted: 24 Jun 2014 01:06 AM PDT Press release about the Basel Committee publishing proposed revisions to Pillar 3 disclosure requirements (24 June 2014) Visit MoneyScience for the Complete Article.    |
| Posted: 23 Jun 2014 05:38 PM PDT In this study we prove the existence of statistical arbitrage opportunities in the Black-Scholes framework by considering trading strategies that consists of borrowing from the risk free rate and taking a long position in the stock until it hits a deterministic barrier level. We derive analytical formulas for the expected value, variance, and probability of loss for the discounted cumulative... Visit MoneyScience for the Complete Article.    |
| Posted: 23 Jun 2014 05:38 PM PDT We suggest an original physical approach to describe the mechanism of market pricing. The core of our approach is to consider pricing at different time scales separately, using independent equations of motion. Such an approach leads to a pricing model that not only allows estimating the volatility of future market prices, but also permits forecasting the direction of the price move. Alongside... Visit MoneyScience for the Complete Article.    |
| Posted: 23 Jun 2014 05:38 PM PDT We analyze the possibility of reduction of systemic risk in financial markets through Pigouvian taxation of financial institutions which is used to support the rescue fund. We introduce the concept of the cascade risk with a clear operational definition as a subclass and a network related measure of the systemic risk. Using financial networks constructed from real Italian money market data and... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Moral Hazard in Dynamic Risk Management. (arXiv:1406.5852v1 [q-fin.PM]) Posted: 23 Jun 2014 05:38 PM PDT We consider a contracting problem in which a principal hires an agent to manage a risky project. When the agent chooses volatility components of the output process and the principal observes the output continuously, the principal can compute the quadratic variation of the output, but not the individual components. This leads to moral hazard with respect to the risk choices of the agent. Using a... Visit MoneyScience for the Complete Article.    |
| Posted: 23 Jun 2014 05:38 PM PDT We provide an integral representation for the (implied) copulas of dependent random variables in terms of their moment generating functions. The proof uses ideas from Fourier methods for option pricing. This representation can be used for a large class of models from mathematical finance, including L\'evy and affine processes. As an application, we compute the implied copula of the... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: What a Drag: The Burden of Nonperforming Loans on Credit in the Euro Area Posted: 23 Jun 2014 08:28 AM PDT By Will Kerry, Jean Portier, Luigi Ruggerone and Constant Verkoren read more... Visit MoneyScience for the Complete Article.    |
| Vendor News: June 23, 2014 - SS&C Appoints Michael J. Zamkow to its Board of Directors Posted: 23 Jun 2014 06:09 AM PDT    |
| Event: Free webinar: Cost of Collateral for Clearing Posted: 17 Jun 2014 03:58 AM PDT Location: Online; Date: June 26th, 2014; Presenter: Dmitry Pugachevsky: Director of Research, Quantifiread more... Visit MoneyScience for the Complete Article.    |
| Vendor News: Fidessa brings intelligent workflow to US Treasuries Posted: 10 Jun 2014 12:56 AM PDT    |
| You are subscribed to email updates from The Complete MoneyScience Reloaded To stop receiving these emails, you may unsubscribe now. | Email delivery powered by Google |
| Google Inc., 20 West Kinzie, Chicago IL USA 60610 | |