MoneyScience News |
- Vendor News: November 13, 2014 - SS&C GlobeOp Hedge Fund Performance Index: October performance -0.81%; Capital Movement Index: November net flows advance 0.74%
- Blog Post: TheFinancialServicesClub: Banks told to watch out for small competitors
- Vendor News: Infosys Science Foundation Announces Winners of the Infosys Prize 2014
- Published / Preprint: Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization and Ross Recovery. (arXiv:1411.3075v1 [q-fin.MF])
- Published / Preprint: Long Term Risk: A Martingale Approach. (arXiv:1411.3078v1 [q-fin.EC])
- Blog Post: iMFdirect: Understanding Spillovers
| Posted: 13 Nov 2014 01:07 AM PST      |
| Blog Post: TheFinancialServicesClub: Banks told to watch out for small competitors Posted: 13 Nov 2014 12:08 AM PST So I was going to write a long blog about SWIFT today, but it makes more sense to post that one tomorrow after seeing this report by Richard Meadows, a journalist for Fairfax Media who publish New Zealand's popular papers The Dominion Post and The Press, as well as the popular news website Stuff.read more... Visit MoneyScience for the Complete Article.    |
| Vendor News: Infosys Science Foundation Announces Winners of the Infosys Prize 2014 Posted: 12 Nov 2014 10:37 PM PST The Infosys Science Foundation (ISF) announces the winners of the Infosys Prize 2014 across six categories: Engineering and Computer Science, Humanities, Life Sciences, Mathematical Sciences, Physical Sciences and Social Sciences. Visit MoneyScience for the Complete Article.    |
| Posted: 12 Nov 2014 05:38 PM PST This paper studies Markovian asset pricing models where the underlying economic uncertainty follows a continuous-time Markov process X with a general state space (namely, a Borel right process (BRP)) and the pricing kernel (stochastic discount factor, state-price density) is a positive semimartingale multiplicative functional of X. We establish uniqueness of a positive eigenfunction of the... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Long Term Risk: A Martingale Approach. (arXiv:1411.3078v1 [q-fin.EC]) Posted: 12 Nov 2014 05:37 PM PST This paper extends the long-term factorization of the pricing kernel due to Alvarez and Jermann (2005) in discrete time ergodic environments and Hansen and Scheinkman (2009) in continuous ergodic Markovian environments to general semimartingale environments, without assuming the Markov property. An explicit and easy to verify sufficient condition is given that guarantees convergence in Emery's... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Understanding Spillovers Posted: 12 Nov 2014 07:11 AM PST By Olivier Blanchard, Luc Laeven and Esteban Vesperoniread more... Visit MoneyScience for the Complete Article.    |
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