MoneyScience News |
- MoneyScience: MoneyScience's event: GPUs, Monte Carlo Simulation and Kooderive with Professor Mark Joshi
- MoneyScience: MoneyScience's event: Introduction to QuantLib Development with Luigi Ballabio
- Saving the Market from Capitalism: Ideas for an Alternative Finance - MoneyScience
- Blog Post: TheFinancialServicesClub: Things worth reading: 30th July 2014
- Published / Preprint: Convex duality for stochastic singular control problems. (arXiv:1407.7717v1 [math.OC])
- Published / Preprint: Utility indifference pricing and hedging for structured contracts in energy markets. (arXiv:1407.7725v1 [q-fin.MF])
- Blog Post: TheAlephBlog: The Best of the Aleph Blog, Part 25
- Blog Post: iMFdirect: Should We Worry About Higher Interest Rates?
- Reputational Risk Drives Social Media Processes - Wall Street & Technology
- Liquidity at Heart of MiFID Debate
- http://ineteconomics.org/sites/inet.civicactions.net/files/Note-33-Arthur.pdf
- Twitter / GokhanKula: Maslow’s Hierarchy Of Credit ...
- Managing Housing Market Risks in the United Kingdom - iMFdirect's blog - MoneyScience
- Piketty's Terrifying Dystopia - Falkenblog's blog - MoneyScience
Posted: 30 Jul 2014 03:57 AM PDT |
MoneyScience: MoneyScience's event: Introduction to QuantLib Development with Luigi Ballabio Posted: 30 Jul 2014 03:57 AM PDT |
Saving the Market from Capitalism: Ideas for an Alternative Finance - MoneyScience Posted: 30 Jul 2014 02:12 AM PDT |
Blog Post: TheFinancialServicesClub: Things worth reading: 30th July 2014 Posted: 29 Jul 2014 11:12 PM PDT |
Posted: 29 Jul 2014 07:52 PM PDT We develop a general theory of convex duality for certain singular control problems, taking the abstract results by Kramkov and Schachermayer (1999) for optimal expected utility from nonnegative random variables to the level of optimal expected utility from increasing, adapted controls. The main contributions are the formulation of a suitable duality framework, the identification of the problem's... Visit MoneyScience for the Complete Article. |
Posted: 29 Jul 2014 07:52 PM PDT In this paper we focus on pricing of structured products in energy markets using utility indifference pricing approach. In particular, we compute the buyer's price of such derivatives for an agent investing in the forward market, whose preferences are described by an exponential utility function. Such a price is characterized in terms of continuous viscosity solutions of suitable non-linear PDEs.... Visit MoneyScience for the Complete Article. |
Blog Post: TheAlephBlog: The Best of the Aleph Blog, Part 25 Posted: 29 Jul 2014 12:40 PM PDT |
Blog Post: iMFdirect: Should We Worry About Higher Interest Rates? Posted: 29 Jul 2014 11:30 AM PDT |
Reputational Risk Drives Social Media Processes - Wall Street & Technology Posted: 29 Jul 2014 07:26 AM PDT |
Liquidity at Heart of MiFID Debate Posted: 29 Jul 2014 07:26 AM PDT |
http://ineteconomics.org/sites/inet.civicactions.net/files/Note-33-Arthur.pdf Posted: 29 Jul 2014 04:11 AM PDT |
Twitter / GokhanKula: Maslow’s Hierarchy Of Credit ... Posted: 29 Jul 2014 04:11 AM PDT |
Managing Housing Market Risks in the United Kingdom - iMFdirect's blog - MoneyScience Posted: 29 Jul 2014 04:11 AM PDT |
Piketty's Terrifying Dystopia - Falkenblog's blog - MoneyScience Posted: 29 Jul 2014 04:11 AM PDT |
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