MoneyScience News |
- Nobel-winning economists challenge conventional thinking on recovery
- Stop Obsessing About Global Warming
- Twitter and blogs are not add-ons to academic research, but a simple reflection of the passion that underpins it.
- Published / Preprint: Consistent Price Systems under Model Uncertainty. (arXiv:1408.5510v1 [q-fin.MF])
- Published / Preprint: High Performance Financial Simulation Using Randomized Quasi-Monte Carlo Methods. (arXiv:1408.5526v1 [q-fin.CP])
- Published / Preprint: Hierarchical causality in financial economics. (arXiv:1408.5585v1 [q-fin.GN])
- Published / Preprint: Symmetric thermal optimal path and time-dependent lead-lag relationship: Novel statistical tests and application to UK and US real-estate and monetary policies. (arXiv:1408.5618v1 [q-fin.ST])
- Published / Preprint: Approximating the zero-coupon bond price in a general one-factor model with constant coefficients. (arXiv:1408.5673v1 [q-fin.CP])
- Published / Preprint: Asymptotic replication with modified volatility under small transaction costs. (arXiv:1408.5677v1 [q-fin.MF])
- Blog Post: TheFinancialServicesClub: Part Two: Banking on Demand - the Open Sourced Bank
- Blog Post: WealthandCapitalMarketsBlog: Time for a New Take on Trust
- Blog Post: TheAlephBlog: Peddling the Credit Cycle
- Published / Preprint: The optimal hedging in a semi-Markov modulated market. (arXiv:1408.5266v1 [q-fin.MF])
| Nobel-winning economists challenge conventional thinking on recovery Posted: 26 Aug 2014 03:55 AM PDT Nobel-winning economists challenge conventional thinking on recovery http://t.co/bFnqSilJcs — Risk Management (@Risk_Mgmt) August 26, 2014 Visit MoneyScience for the Complete Article.      |
| Stop Obsessing About Global Warming Posted: 26 Aug 2014 03:22 AM PDT A broader debate about environmental threats http://t.co/OwlcJhV93j — Risk Management (@Risk_Mgmt) August 26, 2014 Visit MoneyScience for the Complete Article.    |
| Posted: 26 Aug 2014 03:22 AM PDT "Twitter and blogs are not add-ons to academic research, but a simple reflection of the passion that underpins it" http://t.co/8syxLheuVg — Arthur Charpentier… Visit MoneyScience for the Complete Article.    |
| Posted: 26 Aug 2014 02:58 AM PDT We develop a version of the fundamental theorem of asset pricing for discrete-time markets with proportional transaction costs and model uncertainty. A robust notion of no-arbitrage of the second kind is defined and shown to be equivalent to the existence of a collection of strictly consistent price systems. Visit MoneyScience for the Complete Article.    |
| Posted: 26 Aug 2014 02:58 AM PDT GPU computing has become popular in computational finance and many financial institutions are moving their CPU based applications to the GPU platform. Since most Monte Carlo algorithms are embarrassingly parallel, they benefit greatly from parallel implementations, and consequently Monte Carlo has become a focal point in GPU computing. GPU speed-up examples reported in the literature... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Hierarchical causality in financial economics. (arXiv:1408.5585v1 [q-fin.GN]) Posted: 26 Aug 2014 02:58 AM PDT Hierarchical analysis is considered and a novel, multilevel model is presented in order to explore causality, chance and complexity in financial economics. A coupled system of models is used to describe multilevel interactions, consistent with market data: the top-level is described by shared risk factors, the next level combines shared risk factors with information variables and bottom-up agent... Visit MoneyScience for the Complete Article.    |
| Posted: 26 Aug 2014 02:58 AM PDT We present the symmetric thermal optimal path (TOPS) method to determine the time-dependent lead-lag relationship between two stochastic time series. This novel version of the previously introduced TOP method alleviates some inconsistencies by imposing that the lead-lag relationship should be invariant with respect to a time reversal of the time series after a change of sign. This means that, if... Visit MoneyScience for the Complete Article.    |
| Posted: 26 Aug 2014 02:58 AM PDT We consider a general one-factor short rate model, in which the instantaneous interest rate is driven by a univariate diffusion with time independent drift and volatility. We construct recursive formula for the coefficients of the Taylor expansion of the bond price and its logarithm around $\tau=0$, where $\tau$ is time to maturity. We provide numerical examples of convergence of... Visit MoneyScience for the Complete Article.    |
| Posted: 26 Aug 2014 02:58 AM PDT Dynamic hedging of an European option under a general local volatility model with small linear transaction costs is studied. A continuous control version of Leland's strategy that asymptotically replicates the payoff is constructed. An associated central limit theorem of hedging error is proved. The asymptotic error variance is minimized by an explicit trading strategy. Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: Part Two: Banking on Demand - the Open Sourced Bank Posted: 26 Aug 2014 02:58 AM PDT So I started this series of blogs by talking about the age of the Digital Bank and that it starts with these basics: products are cloud-based components that leverage data in the back office to be relevant to the customer in the front office.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: WealthandCapitalMarketsBlog: Time for a New Take on Trust Posted: 25 Aug 2014 10:06 PM PDT Five years after the end of the financial crisis, bank trust companies are taking steps to update their technology platforms. That’s a good thing as most of the trust accounting systems currently in place were implemented pre-2007, and the ability to track assets quickly, efficiently, and accurately is critical given today’s complex compliance and security requirements. Thinner margins and... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: Peddling the Credit Cycle Posted: 25 Aug 2014 09:30 PM PDT Starting again with another letter from a reader, but I will just post his questions in response to this article:read more... Visit MoneyScience for the Complete Article.    |
| Posted: 25 Aug 2014 03:39 PM PDT This paper includes an original self contained proof of well-posedness of an initial-boundary value problem involving a non-local parabolic PDE which naturally arises in the study of derivative pricing in a generalized market model. We call this market model a semi-Markov modulated market. Although a wellposedness result of that problem is available in the literature, but this recent paper has a... Visit MoneyScience for the Complete Article.    |
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