MoneyScience News |
- Blog Post: TheAlephBlog: Post 2600
- Amazon is not profitable, for now, because taking over the world costs a lot of money - Chris Blattman
- Blog Post: TheFinancialServicesClub: What are we going to talk about at #SIBOS? Part Two
- Published / Preprint: 09Sep/Developments in collateral management services
- Published / Preprint: 09Sep/Non-banks in retail payments
- The economics of reclining your airplane seat aren’t so simple
- Couples born in 1940s have money to fund lifestyles when retired
- Published / Preprint: A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities. (arXiv:1409.1956v1 [stat.AP])
- Published / Preprint: Optimal investment with bounded above utilities in discrete time markets. (arXiv:1409.2023v1 [q-fin.PM])
- Published / Preprint: Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysis. (arXiv:1409.2214v1 [q-fin.ST])
- Published / Preprint: Optimal double stopping of a Brownian bridge. (arXiv:1409.2226v1 [math.OC])
- Published / Preprint: Theoretical Sensitivity Analysis for Quantitative Operational Risk Management. (arXiv:1104.0359v3 [q-fin.RM] UPDATED)
- Blog Post: iMFdirect: Why Education Policies Matter for Equality
- Vendor News: September 8, 2014 - SS&C Technologies CEO is Keynote Speaker AGC Partnersâ Digital, Mobile & Fintech Growth Conference
| Blog Post: TheAlephBlog: Post 2600 Posted: 09 Sep 2014 03:39 AM PDT Every 100 posts or so, I take a step back and think about where I have been, and maybe, where things are heading. Â This time, things are a little different.read more... Visit MoneyScience for the Complete Article.      |
| Posted: 09 Sep 2014 03:22 AM PDT "Amazon is not profitable, for now, because taking over the world costs a lot of money" - @cblatts http://t.co/iQP9ADwxY9 — Tim Harford (@TimHarford) September… Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: What are we going to talk about at #SIBOS? Part Two Posted: 09 Sep 2014 03:18 AM PDT We have a Financial Services Club meeting this Thursday with a panel previewing what we will be talking about at SIBOS. Therefore, I thought I would conclude my background on this to say that it will be all the usual stuff: regulations, regulations and regulations, as discussed in my last post.read more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: 09Sep/Developments in collateral management services Posted: 09 Sep 2014 03:06 AM PDT Press release about the CPMI report "Developments in collateral management services" (BIS Press Release 9 September 2014) Visit MoneyScience for the Complete Article.    |
| Published / Preprint: 09Sep/Non-banks in retail payments Posted: 09 Sep 2014 03:06 AM PDT Press release about the CPMI report "Non-banks in retail payments" (BIS Press Release 9 September 2014) Visit MoneyScience for the Complete Article.    |
| The economics of reclining your airplane seat aren’t so simple Posted: 09 Sep 2014 03:01 AM PDT "The economics of reclining your airplane seat aren't so simple" http://t.co/RKAzP5v3gk — Arthur Charpentier (@freakonometrics) September 9, 2014 Visit MoneyScience for the Complete Article.    |
| Couples born in 1940s have money to fund lifestyles when retired Posted: 09 Sep 2014 01:37 AM PDT Couples born in 1940s have money to fund lifestyles when retired http://t.co/rqED6imvl2 via @MailOnline echoes @inter_gen findings. — if.org.uk (@inter_gen)… Visit MoneyScience for the Complete Article.    |
| Posted: 08 Sep 2014 05:38 PM PDT We build on the work in Fackler and King 1990, and propose a more general calibration model for implied risk neutral densities. Our model allows for the joint calibration of a set of densities at different maturities and dates through a Bayesian dynamic Beta Markov Random Field. Our approach allows for possible time dependence between densities with the same maturity, and for dependence across... Visit MoneyScience for the Complete Article.    |
| Posted: 08 Sep 2014 05:38 PM PDT We consider an arbitrage-free, discrete time and frictionless market. We prove that an investor maximising the expected utility of her terminal wealth can always find an optimal investment strategy provided that her dissatisfaction of infinite losses is infinite and her utility function is non-decreasing, continuous and bounded above. The same result is shown for cumulative prospect theory... Visit MoneyScience for the Complete Article.    |
| Posted: 08 Sep 2014 05:38 PM PDT In order to study the geometry of interest rates market dynamics, Malliavin, Mancino and Recchioni [A non-parametric calibration of the HJM geometry: an application of It\^o calculus to financial statistics, {\it Japanese Journal of Mathematics}, 2, pp.55--77, 2007] introduced a scheme, which is based on the Fourier Series method, to estimate eigenvalues of a spot cross volatility matrix.... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Optimal double stopping of a Brownian bridge. (arXiv:1409.2226v1 [math.OC]) Posted: 08 Sep 2014 05:38 PM PDT We study optimal double stopping problems driven by a Brownian bridge. The objective is to maximize the expected spread between the payoffs achieved at the two stopping times. We study several cases where the solutions can be solved explicitly by strategies of threshold type. Visit MoneyScience for the Complete Article.    |
| Posted: 08 Sep 2014 05:38 PM PDT We study the asymptotic behavior of the difference between the values at risk VaR(L) and VaR(L+S) for heavy tailed random variables L and S for application in sensitivity analysis of quantitative operational risk management within the framework of the advanced measurement approach of Basel II (and III). Here L describes the loss amount of the present risk profile and S describes the loss amount... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Why Education Policies Matter for Equality Posted: 08 Sep 2014 08:07 AM PDT By Era Dabla-Norrisread more... Visit MoneyScience for the Complete Article.    |
| Posted: 08 Sep 2014 06:06 AM PDT    |
| You are subscribed to email updates from The Complete MoneyScience Reloaded To stop receiving these emails, you may unsubscribe now. | Email delivery powered by Google |
| Google Inc., 20 West Kinzie, Chicago IL USA 60610 | |