Monday, July 28, 2014

MoneyScience News

MoneyScience News


Twitter / finansakrobat: Best and worst hedge funds ...

Posted: 28 Jul 2014 01:52 AM PDT

Best and worst hedge funds so far in 2014 (as of end of June) http://ift.tt/1AoGVts — financial acrobat (@finansakrobat) July 28, 2014

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Finextra: Iosco publishes social media report

Posted: 28 Jul 2014 01:52 AM PDT

Iosco publishes social media report http://t.co/xaVAndGVAB via @Finextra — Advent Software EMEA (@AdventEurope) July 28, 2014

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Published / Preprint: Fokker-Planck Description of Wealth Dynamics and the Origin of Pareto's Law. (arXiv:1407.6851v1 [q-fin.GN])

Posted: 27 Jul 2014 05:31 PM PDT

The so-called "Yard-Sale Model" of wealth distribution posits that wealth is transferred between economic agents as a result of transactions whose size is proportional to the wealth of the less wealthy agent. In recent work [B.M. Boghosian, "Kinetics of Wealth and the Pareto Law," {\it Phys. Rev. E} {\bf 89} (2014) 042804], it was shown that this results in a Fokker-Planck...

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Published / Preprint: On the optimal exercise boundaries of swing put options. (arXiv:1407.6860v1 [math.OC])

Posted: 27 Jul 2014 05:31 PM PDT

We use probabilistic methods to characterise the optimal exercise region of a swing option with put payoff, $n$ exercise rights and finite maturity. The underlying asset's dynamics is given by a geometric Brownian motion according to the Black & Scholes model. The optimal exercise region of each right (except the last) of the swing option that we consider is characterised in terms of...

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Blog Post: Falkenblog: Piketty's Terrifying Dystopia

Posted: 27 Jul 2014 10:20 AM PDT

OK, after a long absence, I'm posting this book review just because I feel like it:Thomas Piketty's bestselling door-stopper Capital in the Twenty First Century notes some facts that he thinks point to a clear problem and solution:The return on capital over the economic growth rate determines the Capital/Income ratio, where a higher return on capital implies higher level of capital...

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Blog Post: TheFinancialServicesClub: The Finanser's Week: 21st July ' 27th July 2014

Posted: 27 Jul 2014 08:49 AM PDT

Our biggest stories of the past week are ...read more...

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