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- Nobel Laureate Myron Scholes Reveals The Most Common Mistakes Research Analysts Make
- Blog Post: TheFinancialServicesClub: Why can't banks behave more like IT companies?
- Is mathematics able to give insight into current questions in finance, economics and politics?. (arXiv:1410.6084v1 [q-fin.EC]) - Quantitative Finance at arXiv's blog - MoneyScience
- Published / Preprint: Recombining binomial tree for constant elasticity of variance process. (arXiv:1410.5955v1 [q-fin.CP])
- Published / Preprint: The non-linear trade-off between return and risk: a regime-switching multi-factor framework. (arXiv:1410.6005v1 [q-fin.ST])
- Published / Preprint: Is mathematics able to give insight into current questions in finance, economics and politics?. (arXiv:1410.6084v1 [q-fin.EC])
- Published / Preprint: Pricing of European Basket Call Option under Exponential Ornstein-Uhlenbeck Process. (arXiv:1410.6150v1 [q-fin.PR])
- Blog Post: iMFdirect: Natural Gas: The New Gold
| Nobel Laureate Myron Scholes Reveals The Most Common Mistakes Research Analysts Make Posted: 23 Oct 2014 12:56 AM PDT Nobel Laureate Myron Scholes Reveals The Most Common Mistakes Research Analysts Make http://t.co/tnVVVJeE9y #timeseries #finance — TIme Series (@TimeSeriesX)… Visit MoneyScience for the Complete Article.      |
| Blog Post: TheFinancialServicesClub: Why can't banks behave more like IT companies? Posted: 23 Oct 2014 12:18 AM PDT I had a really interesting discussion with a bank about the component based model that I’ve been expounding for some years.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 22 Oct 2014 10:03 PM PDT Research: Is mathematics able to give insight into current questions in finance, economics and politics?. (arX... http://t.co/agSCzHyh4o — moneyscience… Visit MoneyScience for the Complete Article.    |
| Posted: 22 Oct 2014 05:40 PM PDT The theme in this paper is the recombining binomial tree to price American put option when the underlying stock follows constant elasticity of variance(CEV) process. Recombining nodes of binomial tree are decided from finite difference scheme to emulate CEV process and the tree has a linear complexity. Also it is derived from the differential equation the asymptotic envelope of the boundary of... Visit MoneyScience for the Complete Article.    |
| Posted: 22 Oct 2014 05:40 PM PDT This study develops a multi-factor framework where not only market risk is considered but also potential changes in the investment opportunity set. Although previous studies find no clear evidence about a positive and significant relation between return and risk, favourable evidence can be obtained if a non-linear relation is pursued. The positive and significant risk-return trade-off is... Visit MoneyScience for the Complete Article.    |
| Posted: 22 Oct 2014 05:40 PM PDT Democrats in the US say that taxes can be used to "grease the wheels" of the economy and create wealth enough to recover taxes and thereby increase employment; the Republicans say that taxation discourages investment and so increases unemployment. These arguments cannot both be correct, but both arguments seem meritorious. Faced with this paradox, one might hope that a rigorous mathematical... Visit MoneyScience for the Complete Article.    |
| Posted: 22 Oct 2014 05:40 PM PDT Pricing of European basket call option with n-assets and a bond is discussed in this paper, where all prices of n-assets and the bond are driven by Exponential Ornstein-Uhlenbeck processes. The close-form of European basket option pricing formula is derived. Utilizing with 1-order differential approximate numerical solution of stochastic differential equation (Milstein method), a simulation... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Natural Gas: The New Gold Posted: 22 Oct 2014 08:18 AM PDT By Rabah Arezkiread more... Visit MoneyScience for the Complete Article.    |
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