Tuesday, July 8, 2014

MoneyScience News

MoneyScience News

They Discovered Something In The Brains Of Great Investors That Makes Them Do So Much Better

Posted: 08 Jul 2014 04:51 AM PDT

This is a bit strange. The Brains Of Great Traders http://t.co/4tELuy41ZR — moneyscience (@moneyscience) July 8, 2014

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The Most Annoying Problem in Computing

Posted: 08 Jul 2014 04:51 AM PDT

And on a not entirely unrelated theme: The Most Annoying Problem In Computing Is Still Unsolved http://t.co/6TH1XRR4Rf via @freakonometrics — moneyscience…

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Solar has won. Even if coal were free to burn, power stations couldn't compete

Posted: 08 Jul 2014 04:51 AM PDT

As early as 2018, solar could be economically viable to power big cities...Centralised, coal-fired power is over http://t.co/i046P9TfPh — moneyscience…

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Vendor News: July 8, 2014 - SS&C GlobeOp Depositary 'Lite' Service fully Authorized

Posted: 08 Jul 2014 01:08 AM PDT

Published / Preprint: Computing Greeks for L\'evy Models: The Fourier Transform Approach. (arXiv:1407.1343v1 [q-fin.PR])

Posted: 07 Jul 2014 05:40 PM PDT

The computation of Greeks for exponential L\'evy models are usually approached by Malliavin Calculus and other methods, as the Likelihood Ratio and the finite difference method. In this paper we obtain exact formulas for Greeks of European options based on the Lewis formula for the option value. Therefore, it is possible to obtain accurate approximations using Fast Fourier Transform. We will...

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Published / Preprint: Non-arbitrage for Informational Discrete Time Market Models. (arXiv:1407.1453v1 [q-fin.MF])

Posted: 07 Jul 2014 05:40 PM PDT

This paper focuses on the stability of the non-arbitrage condition in discrete time market models when some unknown information $\tau$ is partially/fully incorporated into the market. Our main conclusions are twofold. On the one hand, for a fixed market $S$, we prove that the non-arbitrage condition is preserved under a mild condition. On the other hand, we give the necessary and sufficient...

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Published / Preprint: Robust Superhedging with Jumps and Diffusion. (arXiv:1407.1674v1 [q-fin.MF])

Posted: 07 Jul 2014 05:40 PM PDT

We establish a nondominated version of the optional decomposition theorem in a setting that includes jump processes with nonvanishing diffusion as well as general continuous processes. This result is used to derive a robust superhedging duality and the existence of an optimal superhedging strategy for general contingent claims. We illustrate the main results in the framework of nonlinear...

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Published / Preprint: Density of Skew Brownian motion and its functionals with application in finance. (arXiv:1407.1715v1 [math.PR])

Posted: 07 Jul 2014 05:40 PM PDT

We derive the joint density of a Skew Brownian motion, its last visit to the origin, local and occupation times. The result is applied to option pricing in a two valued local volatility model and in a displaced diffusion model with constrained volatility.

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Published / Preprint: Discrete, Non Probabilistic Market Models. Arbitrage and Pricing Intervals. (arXiv:1407.1769v1 [q-fin.MF])

Posted: 07 Jul 2014 05:40 PM PDT

The paper develops general, discrete, non-probabilistic market models and minmax price bounds leading to a price interval. The approach provides the trajectory based analogue of martingale-like properties as well as a generalization that allows a limited notion of arbitrage in the market while still providing coherent option prices. Several properties of the price bounds are obtained, in...

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