Wednesday, June 25, 2014

MoneyScience News

MoneyScience News

Blog Post: TheFinancialServicesClub: Things you need to know before you launch a Digital Bank

Posted: 25 Jun 2014 03:08 AM PDT

I recently presented the Digital Bank story at a conference in Swtizerland.read more...

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Vendor News: David Polen Promoted to Global Head of Electronic Execution at Fidessa

Posted: 25 Jun 2014 02:18 AM PDT

Vendor News: Make-Up Tips, Offers on-the-go for Maybelline Customers with a New Mobile Solution from Infosys

Posted: 25 Jun 2014 12:57 AM PDT

Maybelline, a global leader in the make-up market, has partnered with Infosys to create, test and deploy a new optimized website for a wide range of mobile devices.

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Blog Post: TheAlephBlog: A Few Notes on Bonds

Posted: 25 Jun 2014 12:13 AM PDT

My comments this evening stem from a Bloomberg.com article entitled Bond Market Has $900 Billion Mom-and-Pop Problem When Rates Rise.  A few excerpts with my comments:read more...

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Published / Preprint: From Black-Scholes to Online Learning: Dynamic Hedging under Adversarial Environments. (arXiv:1406.6084v1 [cs.DS])

Posted: 24 Jun 2014 05:38 PM PDT

We consider a non-stochastic online learning approach to price financial options by modeling the market dynamic as a repeated game between the nature (adversary) and the investor. We demonstrate that such framework yields analogous structure as the Black-Scholes model, the widely popular option pricing model in stochastic finance, for both European and American options with convex payoffs. In the...

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Published / Preprint: Semiclassical approximation in stochastic optimal control I. Portfolio construction problem. (arXiv:1406.6090v1 [q-fin.CP])

Posted: 24 Jun 2014 05:38 PM PDT

This is the first in a series of papers in which we study an efficient approximation scheme for solving the Hamilton-Jacobi-Bellman equation for multi-dimensional problems in stochastic control theory. The method is a combination of a WKB style asymptotic expansion of the value function, which reduces the second order HJB partial differential equation to a hierarchy of first order PDEs, followed...

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Published / Preprint: How to hedge extrapolated yield curves. (arXiv:1406.6142v1 [q-fin.PR])

Posted: 24 Jun 2014 05:38 PM PDT

We present a framework on how to hedge the interest rate sensitivity of liabilities discounted by an extrapolated yield curve. The framework is based on functional analysis in that we consider the extrapolated yield curve as a functional of an observed yield curve and use its G\^ateaux variation to understand the sensitivity to any possible yield curve shift. We apply the framework to analyse...

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Published / Preprint: Optimal investment with time-varying stochastic endowments. (arXiv:1406.6245v1 [q-fin.PM])

Posted: 24 Jun 2014 05:38 PM PDT

This paper considers a utility maximization and optimal asset allocation problem in the presence of a stochastic endowment that cannot be fully hedged through trading in the financial market. We rely on the dynamic programming approach to solve the optimization problem. The properties of the value function, particularly the homogeneity, are used to reduce the HJB equation by one dimension....

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Research Library: Modelling the short term herding behaviour of stock markets

Posted: 09 Jun 2014 04:08 AM PDT

Yoash Shapira, Yonatan Berman and Eshel Ben-Jacob   Abstract Modelling the behaviour of stock markets has been of major interest in the past century. The market can be treated as a network of many investors reacting in accordance to their group behaviour, as manifested by the index and effected by the flow of external information into the system. Here we devise a model that ...

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