MoneyScience News |
- MIT Students Battle State's Demand for Their Bitcoin Miner's Source Code | WIRED
- The 25 Most Powerful Women in Banking
- 'Why I bet £900k on the Scottish referendum'
- Sustainability in the Age of Big Data - Knowledge@Wharton
- John Lanchester: the worst jargon in economics and banking
- Big Data and Business Decision Making | MIT Technology Review
- Published / Preprint: Pricing and hedging of energy spread options and volatility modulated Volterra processes. (arXiv:1409.5801v1 [q-fin.PR])
- Published / Preprint: Bounds on Portfolio Quality. (arXiv:1409.5936v1 [q-fin.PM])
- Published / Preprint: International trade network: fractal properties and globalization puzzle. (arXiv:1409.5963v1 [physics.soc-ph])
- Published / Preprint: Distance to the line in the Heston model. (arXiv:1409.6027v1 [q-fin.MF])
- Published / Preprint: Funding Value Adjustment and Incomplete Markets. (arXiv:1409.6093v1 [q-fin.PR])
- Published / Preprint: Optimal models of extreme volume-prices are time-dependent. (arXiv:1409.6257v1 [q-fin.ST])
- Published / Preprint: Holder-extendible European option: corrections and extensions. (arXiv:1010.0090v2 [q-fin.PR] UPDATED)
- Blog Post: iMFdirect: Where Danger Lurks
- CPUs Outperform GPUs in Financial Markets Benchmark
- Inching Towards Bitcoin Derivatives - The Monetary Future's blog - MoneyScience
| MIT Students Battle State's Demand for Their Bitcoin Miner's Source Code | WIRED Posted: 23 Sep 2014 01:51 AM PDT MIT Students Battle State's Demand for Their Bitcoin Miner's Source Code http://t.co/zhBXlT99sz — moneyscience (@moneyscience) September 23, 2014 Visit MoneyScience for the Complete Article.      |
| The 25 Most Powerful Women in Banking Posted: 23 Sep 2014 01:51 AM PDT Who Are the Most Powerful Women in Banking? http://t.co/RWNiImF7JO http://ift.tt/1C8YI84 — American Banker (@AmerBanker) September 22, 2014 Visit MoneyScience for the Complete Article.    |
| 'Why I bet £900k on the Scottish referendum' Posted: 23 Sep 2014 01:36 AM PDT Why I bet £900k on the Scottish referendum - http://t.co/LiZOOmnvHV — Risk Management (@Risk_Mgmt) September 23, 2014 Visit MoneyScience for the Complete Article.    |
| Sustainability in the Age of Big Data - Knowledge@Wharton Posted: 23 Sep 2014 01:36 AM PDT Coming to terms with the scope of Big Data is a challenge, but the promise is enormous: http://t.co/Sm8hog8YVK — Knowledge @ Wharton (@whartonknows) September… Visit MoneyScience for the Complete Article.    |
| John Lanchester: the worst jargon in economics and banking Posted: 23 Sep 2014 01:35 AM PDT Good stuff RT @guardian: John Lanchester: the worst jargon in economics and banking http://t.co/r6EqyOnwVa — Heidi N. Moore (@moorehn) September 23, 2014 Visit MoneyScience for the Complete Article.    |
| Big Data and Business Decision Making | MIT Technology Review Posted: 23 Sep 2014 01:35 AM PDT What's the point of all that data, anyway? It's to make decisions. http://t.co/50CAyc4P3Q See also https://t.co/GxTsEwCFTx #orms #analytics — Jean-François… Visit MoneyScience for the Complete Article.    |
| Posted: 22 Sep 2014 05:37 PM PDT We derive the price of a spread option based on two assets which follow a bivariate volatility modulated Volterra process dynamics. Such a price dynamics is particularly relevant in energy markets, modelling for example the spot price of power and gas. Volatility modulated Volterra processes are in general not semimartingales, but contain several special cases of interest in energy markets like... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Bounds on Portfolio Quality. (arXiv:1409.5936v1 [q-fin.PM]) Posted: 22 Sep 2014 05:37 PM PDT The signal-noise ratio of a portfolio of p assets, its expected return divided by its risk, is couched as an estimation problem on the sphere. When the portfolio is built using noisy data, the expected value of the signal-noise ratio is bounded from above via a Cramer-Rao bound, for the case of Gaussian returns. The bound holds for `biased' estimators, thus there appears to be no bias-variance... Visit MoneyScience for the Complete Article.    |
| Posted: 22 Sep 2014 05:37 PM PDT Globalization is one of the central concepts of our age. The common perception of the process is that, due to declining communication and transport costs, distance becomes less and less important. However, the distance coefficient in the gravity model of trade, which grows in time, indicates that the role of distance increases rather than decreases. This, in essence, captures the notion of the... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Distance to the line in the Heston model. (arXiv:1409.6027v1 [q-fin.MF]) Posted: 22 Sep 2014 05:37 PM PDT The main object of study in the paper is the distance from a point to a line in the Riemannian manifold associated with the Heston model. We reduce the problem of computing such a distance to certain minimization problems for functions of one variable over finite intervals. One of the main ideas in this paper is to use a new system of coordinates in the Heston manifold and the level sets... Visit MoneyScience for the Complete Article.    |
| Posted: 22 Sep 2014 05:37 PM PDT Value adjustment of uncollateralized trades is determined within a risk-neutral pricing framework. When hedging such trades, investors cannot freely trade protection on their own name, thus facing an incomplete market. This fact is reflected in the non-uniqueness of the pricing measure, which is only constrained by the values of the hedging instruments tradable by the investor. Uncollateralized... Visit MoneyScience for the Complete Article.    |
| Posted: 22 Sep 2014 05:37 PM PDT We present evidence that the best model for empirical volume-price distributions is not always the same and it strongly depends in (i) the region of the volume-price spectrum that one wants to model and (ii) the period in time that is being modelled. To show these two features we analyze stocks of the New York stock market with four different models: Gamma, inverse-gamma, log-normal, and Weibull... Visit MoneyScience for the Complete Article.    |
| Posted: 22 Sep 2014 05:37 PM PDT Financial contracts with options that allow the holder to extend the contract maturity by paying an additional fixed amount found many applications in finance. Closed-form solutions for the price of these options have appeared in the literature for the case when the contract underlying asset follows a geometric Brownian motion with the constant interest rate, volatility, and non-negative... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Where Danger Lurks Posted: 22 Sep 2014 08:37 AM PDT By iMFDirectread more... Visit MoneyScience for the Complete Article.    |
| CPUs Outperform GPUs in Financial Markets Benchmark Posted: 22 Sep 2014 06:10 AM PDT Any comments @nvidia? CPUs Outperform GPUs in Financial Markets STAC-A2 Benchmark - http://t.co/FurN37STJX @intel — moneyscience (@moneyscience) September 22,… Visit MoneyScience for the Complete Article.    |
| Inching Towards Bitcoin Derivatives - The Monetary Future's blog - MoneyScience Posted: 22 Sep 2014 05:50 AM PDT Blog Partner: Inching Towards Bitcoin Derivatives http://t.co/SwFcIgmOgm — Financial Technology (@fin_tech) September 21, 2014 Visit MoneyScience for the Complete Article.    |
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