Friday, October 3, 2014

MoneyScience News

MoneyScience News

Blog Post: TheFinancialServicesClub: "There will be no poverty by 2035", Bill Gates [#SIBOS]

Posted: 03 Oct 2014 01:30 AM PDT

So SIBOS came to an end with an amazing packed hall full of bankers eager to hear the sage words of Bill Gates.read more...

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Published / Preprint: Indifference pricing for Contingent Claims: Large Deviations Effects. (arXiv:1410.0384v1 [math.PR])

Posted: 02 Oct 2014 05:38 PM PDT

We study utility indifference prices and optimal purchasing quantities for a non-traded contingent claim in an incomplete semi-martingale market with vanishing hedging errors, making connections with the theory of large deviations. We concentrate on sequences of semi-complete markets where for each $n$ the claim $h_n$ admits the decomposition $h_n = D_n+Y_n$ where $D_n$ is replicable and $Y_n$ is...

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Published / Preprint: Fair and profitable bilateral prices under funding costs and collateralization. (arXiv:1410.0448v1 [q-fin.MF])

Posted: 02 Oct 2014 05:38 PM PDT

Bielecki and Rutkowski (2014) introduced and studied a generic nonlinear market model, which includes several risky assets, multiple funding accounts and margin accounts. In this paper, we examine the pricing and hedging of contract both from the perspective of the hedger and the counterparty with arbitrary initial endowments. We derive inequalities for unilateral prices and we give the range for...

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Published / Preprint: A generalized Dynkin game of switching type for defaultable claims in presence of contingent CSA. (arXiv:1410.0594v1 [q-fin.MF])

Posted: 02 Oct 2014 05:38 PM PDT

In the present work we study the solution existence for a generalized Dynkin game of switching type which is shown to be the natural representation for general \emph{defaultable OTC contract} in which a \emph{contingent CSA} has been set between the parties. This is a theoretical \emph{counterparty risk mitigation mechanism} that allows the counterparty of a general OTC contract...

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Published / Preprint: Optimal strategies in collective Parrondo games. (arXiv:cond-mat/0212358v2 [cond-mat.stat-mech] UPDATED)

Posted: 02 Oct 2014 05:38 PM PDT

We present a modification of the so-called Parrondo's paradox where one is allowed to choose in each turn the game that a large number of individuals play. It turns out that, by choosing the game which gives the highest average earnings at each step, one ends up with systematic loses, whereas a periodic or random sequence of choices yields a steadily increase of the capital. An explanation of...

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