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- Mathematicians Explain Why Social Epidemics Spread Faster in Some Countries Than Others | MIT Technology Review
- Blog Post: TheFinancialServicesClub: Financial Institutions Unprepared For Digital Future
- Blog Post: TheAlephBlog: On Berkshire Hathaway and Asbestos
- Risk-sensitive investment in a market with animal spirits. (arXiv:1407.5278v1 [q-fin.PM]) - Quantitative Finance at arXiv's blog - MoneyScience
- Kiss the SIPs Goodbye? Hell no! - Rob Daly's blog - MoneyScience
- MoneyScience: MoneyScience's event: 14th Winter school on Mathematical Finance
- Vendor News: July 22, 2014 - SS&C GlobeOp Forward Redemption Indicator: July notifications 3.15%
- Vendor News: Infosys is a Strategic Partner for Daimlerâs European Data Centers
- Published / Preprint: An exact and explicit formula for pricing Asian options with regime switching. (arXiv:1407.5091v1 [q-fin.PR])
- Published / Preprint: Unanticipated Features of the Multidimensional $G$-Normal Distribution. (arXiv:1407.5139v1 [math.PR])
- Published / Preprint: Agent-based model with asymmetric trading and herding for complex financial systems. (arXiv:1407.5258v1 [q-fin.ST])
- Published / Preprint: Risk-sensitive investment in a market with animal spirits. (arXiv:1407.5278v1 [q-fin.PM])
- Published / Preprint: The dynamics of the leverage cycle. (arXiv:1407.5305v1 [q-fin.EC])
- Published / Preprint: Rockets and feathers meet Joseph: Reinvestigating the oil-gasoline asymmetry on the international markets. (arXiv:1407.5466v1 [q-fin.ST])
- Published / Preprint: Arbitrage-free prediction of the implied volatility smile. (arXiv:1407.5528v1 [q-fin.PR])
- Blog Post: iMFdirect: Asia's Seismic Shift: How Can the Financial Sector Serve Better?
| Posted: 22 Jul 2014 03:52 AM PDT "Why Social Epidemics Spread Faster in Some Countries Than Others" http://t.co/RylHJX8Okt ht @DiegoKuonen — Arthur Charpentier (@freakonometrics) July 22,… Visit MoneyScience for the Complete Article.      |
| Blog Post: TheFinancialServicesClub: Financial Institutions Unprepared For Digital Future Posted: 22 Jul 2014 03:42 AM PDT My good friend Jim Marous who recently joined The Financial Brand, asked me to make a comment about this new report from Bain.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: On Berkshire Hathaway and Asbestos Posted: 22 Jul 2014 03:41 AM PDT Recently, a friend of mine from Canada came to stay with me. Â We talked about a wide number of things, but when we talked about investing, I described insurance investing to him, giving my usual explanation on reserving.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 22 Jul 2014 03:11 AM PDT Research: Risk-sensitive investment in a market with animal spirits. (arXiv:1407.5278v1 [q-fin.PM]) http://t.co/C4FjBLEWI6 — moneyscience (@moneyscience) July… Visit MoneyScience for the Complete Article.    |
| Kiss the SIPs Goodbye? Hell no! - Rob Daly's blog - MoneyScience Posted: 22 Jul 2014 03:10 AM PDT .@rob_daly -Kiss the SIPs Goodbye? Hell no! http://t.co/9tIflpKeRs — moneyscience (@moneyscience) July 21, 2014 Visit MoneyScience for the Complete Article.    |
| MoneyScience: MoneyScience's event: 14th Winter school on Mathematical Finance Posted: 22 Jul 2014 03:10 AM PDT Event - 14th Winter school on Mathematical Finance - 26-29 January 2015 including a Damiano Brigo mini course http://t.co/ZvVgPWzMgt — moneyscience… Visit MoneyScience for the Complete Article.    |
| Vendor News: July 22, 2014 - SS&C GlobeOp Forward Redemption Indicator: July notifications 3.15% Posted: 22 Jul 2014 01:07 AM PDT    |
| Vendor News: Infosys is a Strategic Partner for Daimlerâs European Data Centers Posted: 22 Jul 2014 12:07 AM PDT Infosys and Daimler AG have entered into a multi-year agreement covering management of infrastructure services and data centers, providing e-collaboration and middleware services as well as overseeing database operations. Visit MoneyScience for the Complete Article.    |
| Posted: 21 Jul 2014 05:39 PM PDT This paper studies the pricing of European-style Asian options when the price dynamics of the underlying risky asset are assumed to follow a Markov- modulated geometric Brownian motion; that is, the appreciation rate and the volatility of the underlying risky asset depend on unobservable states of the economy described by a continuous-time hidden Markov process. We derive the exact, explicit and... Visit MoneyScience for the Complete Article.    |
| Posted: 21 Jul 2014 05:39 PM PDT In one dimension, the theory of the $G$-normal distribution is well-developed, and many results from the classical setting have a nonlinear counterpart. Significant challenges remain in multiple dimensions, and some of what has already been discovered is quite nonintuitive. By answering several classically-inspired questions concerning independence, covariance uncertainty, and behavior under... Visit MoneyScience for the Complete Article.    |
| Posted: 21 Jul 2014 05:39 PM PDT Background: For complex financial systems, the negative and positive return-volatility correlations, i.e., the so-called leverage and anti-leverage effects, are particularly important for the understanding of the price dynamics. However, the microscopic origination of the leverage and anti-leverage effects is still not understood, and how to produce these effects in agent-based modeling remains... Visit MoneyScience for the Complete Article.    |
| Posted: 21 Jul 2014 05:39 PM PDT A new jump diffusion regime-switching model is introduced, which allows for linking jumps in asset prices with regime changes. We prove the existence and uniqueness of the solution to the risk-sensitive asset management criterion maximisation problem in this setting. We provide an ODE for the optimal value function, which may be efficiently solved numerically. Relevant probability measure changes... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The dynamics of the leverage cycle. (arXiv:1407.5305v1 [q-fin.EC]) Posted: 21 Jul 2014 05:39 PM PDT We present a simple agent-based model of a financial system composed of leveraged investors such as banks that invest in stocks and manage their risk using a Value-at-Risk constraint, based on historical observations of asset prices. The Value-at-Risk constraint implies that when perceived risk is low, leverage is high and vice versa, a phenomenon that has been dubbed pro-cyclical leverage. We... Visit MoneyScience for the Complete Article.    |
| Posted: 21 Jul 2014 05:39 PM PDT We reinvestigate the "rockets and feathers" effect between retail gasoline and crude oil prices in a new framework of fractional integration, long-term memory and borderline (non-)stationarity. The most frequently used error-correction model is examined in detail and we find that the prices return to their equilibrium value much more slowly than would be typical for the error-correction model.... Visit MoneyScience for the Complete Article.    |
| Posted: 21 Jul 2014 05:39 PM PDT This paper gives an arbitrage-free prediction for future prices of an arbitrary co-terminal set of options with a given maturity, based on the observed time series of these option prices. The statistical analysis of such a multi-dimensional time series of option prices corresponding to $n$ strikes (with $n$ large, e.g. $n\geq 40$) and the same maturity, is a difficult task due to the fact... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Asia's Seismic Shift: How Can the Financial Sector Serve Better? Posted: 21 Jul 2014 11:08 AM PDT By Min Zhuread more... Visit MoneyScience for the Complete Article.    |
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