Friday, September 19, 2014

MoneyScience News

MoneyScience News

Blog Post: TheFinancialServicesClub: US Digital Bank Book Launch

Posted: 19 Sep 2014 04:19 AM PDT

We are launching Digital Bank officially in the USA over the next few weeks.read more...

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Blog Post: rob_daly: Once more into the breach, dear friends, once more'¦

Posted: 19 Sep 2014 03:59 AM PDT

Once more into the breach, dear friends, once more…read more...

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Blog Post: TheAlephBlog: Volatility Can Be Risk, At Rare Times

Posted: 19 Sep 2014 02:50 AM PDT

Photo Credit: Matt Cavanaghread more...

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Published / Preprint: The $\alpha$-Hypergeometric Stochastic Volatility Model. (arXiv:1409.5142v1 [q-fin.PR])

Posted: 19 Sep 2014 02:50 AM PDT

The aim of this work is to introduce a new stochastic volatility model for equity derivatives. To overcome some of the well-known problems of the Heston model, and more generally of the affine models, we define a new specification for the dynamics of the stock and its volatility. Within this framework we develop all the key elements to perform the pricing of vanilla European options as well as of...

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Blog Post: ThePracticalQuant: Announcing Spark Certification

Posted: 18 Sep 2014 03:37 PM PDT

I'm happy to announce the Databricks/O'Reilly Developer Certification for Apache Spark! For more details, please read my post on the O'Reilly Radar.

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Blog Post: iMFdirect: Three Key Questions About the Slowdown in Emerging Markets

Posted: 18 Sep 2014 07:48 AM PDT

By Sweta Saxenaread more...

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Vendor News: Infosys and Huawei Announce Global Partnership to Offer Cloud, Big Data and Communication Solutions

Posted: 18 Sep 2014 03:38 AM PDT

Infosys today announced a global partnership with Huawei, a leading global information and communication technology (ICT) solution provider.

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Published / Preprint: A simple dynamical model leading to Pareto wealth distribution and stability. (arXiv:1409.4857v1 [q-fin.EC])

Posted: 18 Sep 2014 03:29 AM PDT

We propose a simple dynamical model of wealth evolution. The invariant distributions are of Pareto type and are dynamically stable as conjectured by Pareto.

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Published / Preprint: Can Market Risk Perception Drive Inefficient Prices? Theory and Evidence. (arXiv:1409.4890v1 [q-fin.GN])

Posted: 18 Sep 2014 03:29 AM PDT

This work presents an asset pricing model that under rational expectation equilibrium perspective shows how, depending on risk aversion and noise volatility, a risky-asset has one equilibrium price that differs in term of efficiency: an informational efficient one (similar to Campbell and Kyle (1993)), and another one where price diverges from its informational efficient level. The former Pareto...

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Published / Preprint: The Credibility Theory applied to backtesting Counterparty Credit Risk. (arXiv:1409.4894v1 [q-fin.ST])

Posted: 18 Sep 2014 03:29 AM PDT

Credibility theory provides tools to obtain better estimates by combining individual data with sample information. We apply the Credibility theory to a Uniform distribution that is used in testing the reliability of forecasting an interest rate for long term horizons. Such empirical exercise is asked by Regulators (CRR, 2013) in validating an Internal Model Method for Counterparty Credit Risk....

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