MoneyScience News |
- Blog Post: TheAlephBlog: Inflation?
- Published / Preprint: Credit Risk in a Geometric Arbitrage Perspective. (arXiv:1406.6805v1 [q-fin.PR])
- Published / Preprint: Coping with area price risk in electricity markets: Forecasting Contracts for Difference in the Nordic power market. (arXiv:1406.6862v1 [stat.AP])
- Published / Preprint: Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization. (arXiv:1406.6902v1 [q-fin.PM])
- Published / Preprint: Optimal Investment with Stopping in Finite Horizon. (arXiv:1406.6940v1 [q-fin.PM])
- Published / Preprint: Change of numeraire in the two-marginals martingale transport problem. (arXiv:1406.6951v1 [math.PR])
- Published / Preprint: On the Depletion Problem for an Insurance Risk Process: New Non-ruin Quantities in Collective Risk Theory. (arXiv:1406.6952v1 [q-fin.RM])
- Blog Post: iMFdirect: Slowdown in Emerging Markets: Not Just a Hiccup
- Blog Post: TheFinancialServicesClub: There is no next big thing ...
| Blog Post: TheAlephBlog: Inflation? Posted: 27 Jun 2014 02:34 AM PDT Is price inflation growing? Â I see three data points, amid slow nominal growth:read more... Visit MoneyScience for the Complete Article.      |
| Posted: 26 Jun 2014 05:33 PM PDT Geometric Arbitrage Theory, where a generic market is modelled with a principal fibre bundle and arbitrage corresponds to its curvature, is applied to credit markets to model default risk and recovery, leading to closed form no arbitrage characterizations for corporate bonds. Visit MoneyScience for the Complete Article.    |
| Posted: 26 Jun 2014 05:33 PM PDT Contracts for Difference (CfDs) are forwards on the spread between an area price and the system price. Together with the system price forwards, these products are used to hedge the area price risk in the Nordic electricity market. The CfDs are typically available for the next two months, three quarters and three years. This is fine, except that CfDs are not traded at NASDAQ OMX Commodities for... Visit MoneyScience for the Complete Article.    |
| Posted: 26 Jun 2014 05:33 PM PDT In this paper we investigate the local risk-minimization approach for a combined financial-insurance model where there are restrictions on the information available to the insurance company. In particular we assume that, at any time, the insurance company may observe the number of deaths from a specific portfolio of insured individuals but not the mortality hazard rate. We consider a financial... Visit MoneyScience for the Complete Article.    |
| Posted: 26 Jun 2014 05:33 PM PDT In this paper, we investigate dynamic optimization problems featuring both stochastic control and optimal stopping in a finite time horizon. The paper aims to develop new methodologies, which are significantly different from those of mixed dynamic optimal control and stopping problems in the existing literature, to study a manager's decision. We formulate our model to a free boundary problem of a... Visit MoneyScience for the Complete Article.    |
| Posted: 26 Jun 2014 05:33 PM PDT In this paper we consider the optimal transport approach for computing the model-free prices of a given path-dependent contingent claim in a two periods model. More precisely, we revisit the optimal transport plans constructed in \cite{BrenierMartingale} and \cite{HobsonKlimmek2013} in the case of positive martingales and a single maximizer for the difference between the c.d.f.'s of the... Visit MoneyScience for the Complete Article.    |
| Posted: 26 Jun 2014 05:33 PM PDT The field of risk theory has traditionally focused on ruin-related quantities. In particular, the socalled Expected Discounted Penalty Function has been the object of a thorough study over the years. Although interesting in their own right, ruin related quantities do not seem to capture path-dependent properties of the reserve. In this article we aim at presenting the probabilistic properties of... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Slowdown in Emerging Markets: Not Just a Hiccup Posted: 26 Jun 2014 12:25 PM PDT By Evridiki Tsounta and Kalpana Kochhar read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: There is no next big thing ... Posted: 26 Jun 2014 04:08 AM PDT Speaking at a recent conference about the Bank of 2020, I started to get a little edgy.read more... Visit MoneyScience for the Complete Article.    |
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