MoneyScience News |
- Blog Post: TheFinancialServicesClub: Customers no longer fit into neat, age-based demographics
- Published / Preprint: FIRE SALES FORENSICS: MEASURING ENDOGENOUS RISK
- Published / Preprint: From Wall Street to Main Street: The Impact of the Financial Crisis on Consumer Credit Supply
- Published / Preprint: 01Sep/CPSS - New charter and renamed as Committee on Payments and Market Infrastructures
- Published / Preprint: Fast and Simple Method for Pricing Exotic Options using Gauss-Hermite Quadrature on a Cubic Spline Interpolation. (arXiv:1408.6938v1 [q-fin.CP])
- Published / Preprint: How structurally stable are global socioeconomic systems?. (arXiv:1408.6973v1 [physics.soc-ph])
- Published / Preprint: Long Term Optimal Investment in Matrix Valued Factor Models. (arXiv:1408.7010v1 [q-fin.MF])
- Published / Preprint: Ito calculus without probability in idealized financial markets. (arXiv:1108.0799v2 [q-fin.TR] UPDATED)
| Blog Post: TheFinancialServicesClub: Customers no longer fit into neat, age-based demographics Posted: 01 Sep 2014 03:52 AM PDT Presenting at a conference recently, the opening keynote began by saying: “we are living with six generations of human, who all have different tastes and needsâ€.read more... Visit MoneyScience for the Complete Article.      |
| Published / Preprint: FIRE SALES FORENSICS: MEASURING ENDOGENOUS RISK Posted: 01 Sep 2014 02:57 AM PDT We propose a tractable framework for quantifying the impact of lossâ€triggered fire sales on portfolio risk, in a multiâ€asset setting. We derive analytical expressions for the impact of fire sales on the realized volatility and correlations of asset returns in a fire sales scenario and show that our results provide a quantitative explanation for the spikes in volatility and correlations... Visit MoneyScience for the Complete Article.    |
| Posted: 01 Sep 2014 02:06 AM PDT How did the collapse of the asset-backed securities (ABS) market during the 2007 to 2009 financial crisis affect the supply of credit to the broader economy? Using new data on the U.S. credit union industry, we find that ABS-related losses are associated with a large contraction in the supply of credit to consumers, especially among those credit unions that began the crisis with weaker... Visit MoneyScience for the Complete Article.    |
| Posted: 31 Aug 2014 11:46 PM PDT Press release about the Committee on Payment and Settlement Systems' new charter and name (01 September 2014) Visit MoneyScience for the Complete Article.    |
| Posted: 31 Aug 2014 05:38 PM PDT There is a vast literature on numerical valuation of exotic options using Monte Carlo, binomial and trinomial trees, and finite difference methods. When transition density of the underlying asset or its moments are known in closed form, it can be convenient and more efficient to utilize direct integration methods to calculate the required option price expectations in a backward time-stepping... Visit MoneyScience for the Complete Article.    |
| Posted: 31 Aug 2014 05:38 PM PDT The stability analysis of socioeconomic systems has been centered on answering whether small perturbations when a system is in a given quantitative state will push the system permanently to a different quantitative state. However, typically the quantitative state of socioeconomic systems is subject to constant change. Therefore, a key stability question that has been under-investigated is how... Visit MoneyScience for the Complete Article.    |
| Posted: 31 Aug 2014 05:38 PM PDT Long term optimal investment problems are studied in a factor model with matrix valued state variables. Explicit parameter restrictions are obtained under which, for an isoelastic investor, the finite horizon value function and optimal strategy converge to their long-run counterparts as the investment horizon approaches infinity. This convergence also yields portfolio turnpikes for general... Visit MoneyScience for the Complete Article.    |
| Posted: 31 Aug 2014 05:38 PM PDT We consider idealized financial markets in which price paths of the traded securities are cadlag functions, imposing mild restrictions on the allowed size of jumps. We prove the existence of quadratic variation for typical price paths, where the qualification "typical" means that there is a trading strategy that risks only one monetary unit and brings infinite capital if quadratic variation does... Visit MoneyScience for the Complete Article.    |
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