MoneyScience News |
- Vendor News: Infosys to provide IT Services to BP
- http://web.stanford.edu/~leinav/pubs/IPE2014.pdf
- More Thoughts on Agent Based Models
- Economist's View: A Conversation with Lars Hansen
- http://ms.techprogress.org/ms-content/uploads/sites/10/2014/09/Piketty-explainer-WP.pdf
- Published / Preprint: SENSITIVITY ANALYSIS OF NONLINEAR BEHAVIOR WITH DISTORTED PROBABILITY
- Published / Preprint: COHERENCE AND ELICITABILITY
- Published / Preprint: FAST SWAPTION PRICING
- Published / Preprint: Tail Risk and Asset Prices
- Published / Preprint: Complex Securities and Underwriter Reputation: Do Reputable Underwriters Produce Better Securities?
- Published / Preprint: Collateral-Motivated Financial Innovation
- Published / Preprint: Learning from Stock Prices and Economic Growth
- Published / Preprint: PRICEâADMISSIBILITY CONDITIONS FOR ARBITRAGEâFREE LINEAR PRICE FUNCTION MODELS FOR THE TERM STRUCTURE OF INTEREST RATES
- Published / Preprint: Default contagion risks in Russian interbank market. (arXiv:1409.1071v1 [q-fin.RM])
- Published / Preprint: Pricing Spread Options under Stochastic Correlation and Jump-Diffusion Models. (arXiv:1409.1175v1 [q-fin.PR])
- Blog Post: WealthandCapitalMarketsBlog: Networks > social media
- Blog Post: iMFdirect: In Mozambique'and In AfricaâRising Requires Resilience
| Vendor News: Infosys to provide IT Services to BP Posted: 04 Sep 2014 02:07 AM PDT Infosys today announced that it has been selected by BP to provide IT services, in particular, application support and development. Visit MoneyScience for the Complete Article.      |
| http://web.stanford.edu/~leinav/pubs/IPE2014.pdf Posted: 04 Sep 2014 12:58 AM PDT "The Data Revolution and Economic Analysis" http://t.co/3NHCJpDrSC — Arthur Charpentier (@freakonometrics) September 4, 2014 Visit MoneyScience for the Complete Article.    |
| More Thoughts on Agent Based Models Posted: 04 Sep 2014 12:58 AM PDT "More Thoughts on Agent Based Models" http://t.co/uCPRAhaub1 — Arthur Charpentier (@freakonometrics) September 3, 2014 Visit MoneyScience for the Complete Article.    |
| Economist's View: A Conversation with Lars Hansen Posted: 04 Sep 2014 12:58 AM PDT A Conversation (on Econometrics) with Lars Hansen http://t.co/OkSJ1x1N5m — Mark Thoma (@MarkThoma) September 3, 2014 Visit MoneyScience for the Complete Article.    |
| http://ms.techprogress.org/ms-content/uploads/sites/10/2014/09/Piketty-explainer-WP.pdf Posted: 04 Sep 2014 12:58 AM PDT "Piketty's Theory of Inequality and its Critics: A White Paper" http://t.co/00iKruhI2y by @Econ_Marshall ht @tylercowen — Arthur Charpentier (@freakonometrics)… Visit MoneyScience for the Complete Article.    |
| Published / Preprint: SENSITIVITY ANALYSIS OF NONLINEAR BEHAVIOR WITH DISTORTED PROBABILITY Posted: 04 Sep 2014 12:51 AM PDT In this paper, we propose a sensitivityâ€based analysis to study the nonlinear behavior under nonexpected utility with probability distortions (or “distorted utility†for short). We first discover the “monolinearity†of distorted utility, which means that after properly changing the underlying probability measure, distorted utility becomes locally linear in probabilities, and the... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: COHERENCE AND ELICITABILITY Posted: 04 Sep 2014 12:51 AM PDT The risk of a financial position is usually summarized by a risk measure. As this risk measure has to be estimated from historical data, it is important to be able to verify and compare competing estimation procedures. In statistical decision theory, risk measures for which such verification and comparison is possible, are called elicitable. It is known that quantileâ€based risk measures such as... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: FAST SWAPTION PRICING Posted: 04 Sep 2014 12:51 AM PDT We propose a fast and accurate numerical method for pricing European swaptions in multifactor Gaussian term structure models. Our method can be used to accelerate the calibration of such models to the volatility surface. The pricing of an interest rate option in such a model involves evaluating a multidimensional integral of the payoff of the claim on a domain where the payoff is positive. In our... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Tail Risk and Asset Prices Posted: 04 Sep 2014 12:26 AM PDT We propose a new measure of time-varying tail risk that is directly estimable from the cross-section of returns. We exploit firm-level price crashes every month to identify common fluctuations in tail risk among individual stocks. Our tail measure is significantly correlated with tail risk measures extracted from S&P 500 index options and negatively predicts real economic activity. We show... Visit MoneyScience for the Complete Article.    |
| Posted: 04 Sep 2014 12:26 AM PDT Conventional wisdom suggests that high-reputation banks will generally produce good securities to maintain their long-run reputation. We show with a simple model that, when securities are complex a high-reputation bank may produce assets that underperform during market downturns. We examine this possibility using a unique sample of $10.1 trillion of CLO, MBS, ABS, and CDOs. Contrary to the... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Collateral-Motivated Financial Innovation Posted: 04 Sep 2014 12:26 AM PDT Collateral frictions have a profound effect on our economic landscape, ranging from the design of financial securities, laws, and institutions, to various rules and regulations. We analyze a model with disagreement, where securities and collateral requirements are endogenous. It shows that the security that isolates the variable with disagreement is "optimal" in the sense that alternative... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Learning from Stock Prices and Economic Growth Posted: 04 Sep 2014 12:26 AM PDT A competitive stock market is embedded into a neoclassical growth economy to analyze the interplay between the acquisition of information about firms, its partial revelation through stock prices, capital allocation, and income. The stock market allows investors to share their costly private signals in a cost-effective incentive-compatible way. It contributes to economic growth by raising total... Visit MoneyScience for the Complete Article.    |
| Posted: 03 Sep 2014 06:28 PM PDT To assure price admissibilityâ€"that all bond prices, yields, and forward rates remain positiveâ€"we show how to control the state variables within the class of arbitrageâ€free linear price function models for the evolution of interest rate yield curves over time. Price admissibility is necessary to preclude cashâ€andâ€carry arbitrage, a market imperfection that can happen even with a... Visit MoneyScience for the Complete Article.    |
| Posted: 03 Sep 2014 05:38 PM PDT A model of contagion propagation in the Russian interbank market based on the real data is developed. Visit MoneyScience for the Complete Article.    |
| Posted: 03 Sep 2014 05:38 PM PDT This paper examines the problem of pricing spread options under some models with jumps driven by Compound Poisson Processes and stochastic volatilities in the form of Cox-Ingersoll-Ross(CIR) processes. We derive the characteristic function for two market models featuring joint normally distributed jumps, stochastic volatility, and different stochastic dependence structures. With the use of Fast... Visit MoneyScience for the Complete Article.    |
| Blog Post: WealthandCapitalMarketsBlog: Networks > social media Posted: 03 Sep 2014 03:49 PM PDT I have never really liked the term social media. All media has the potential to be social.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: In Mozambique'and In AfricaâRising Requires Resilience Posted: 03 Sep 2014 08:40 AM PDT By Doris Rossread more... Visit MoneyScience for the Complete Article.    |
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