MoneyScience News |
- Blog Post: ThePracticalQuant: Building Apache Kafka from scratch
- Should Jim Cramer Sell TheStreet or Quit CNBC?
- Blog Post: TheAlephBlog: Should Jim Cramer Sell TheStreet or Quit CNBC?
- Blog Post: TheFinancialServicesClub: In code we trust
- Vendor News: Infosys Board inducts Professor John Etchemendy as Independent Member of the Board
- Published / Preprint: Regulatory Capital Modelling for Credit Risk. (arXiv:1412.1183v1 [q-fin.RM])
- Published / Preprint: Skewness and kurtosis analysis for non-Gaussian distributions. (arXiv:1412.1293v1 [cond-mat.stat-mech])
- Published / Preprint: Gas Storage valuation with regime switching. (arXiv:1412.1298v1 [q-fin.PR])
- Published / Preprint: Reflected Backward SDE approach to the price-hedge of defaultable claims with contingent switching CSA. (arXiv:1412.1325v1 [q-fin.PR])
- Published / Preprint: A stochastic switching control model arising in general OTC contracts with contingent CSA in presence of CVA, collateral and funding. (arXiv:1412.1469v1 [q-fin.RM])
| Blog Post: ThePracticalQuant: Building Apache Kafka from scratch Posted: 04 Dec 2014 09:07 AM PST Subscribe to the O’Reilly Data Show Podcastread more... Visit MoneyScience for the Complete Article.      |
| Should Jim Cramer Sell TheStreet or Quit CNBC? Posted: 04 Dec 2014 03:09 AM PST New from Aleph Blog Should Jim Cramer Sell TheStreet or Quit CNBC?: Photo Credit: Penn State personal online b... http://t.co/LNRzYwKnoM — David Merkel… Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: Should Jim Cramer Sell TheStreet or Quit CNBC? Posted: 04 Dec 2014 02:56 AM PST Photo Credit: Penn Stateread more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: In code we trust Posted: 04 Dec 2014 02:32 AM PST I mentioned in a recent blog entry how processors are replacing third parties. The aim of these upstarts is to get rid of the bank-in-the-middle by placing the processor-in-the-middle (but hopefully not the man-in-the-middle malware attack!).read more... Visit MoneyScience for the Complete Article.    |
| Vendor News: Infosys Board inducts Professor John Etchemendy as Independent Member of the Board Posted: 03 Dec 2014 09:57 PM PST Infosys announces the appointment of John W. Etchemendy, Provost of Stanford University and Patrick Suppes Family Professor in the School of Humanities and Sciences, as an Independent Member of its Board of Directors. Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Regulatory Capital Modelling for Credit Risk. (arXiv:1412.1183v1 [q-fin.RM]) Posted: 03 Dec 2014 05:37 PM PST The Basel II internal ratings-based (IRB) approach to capital adequacy for credit risk plays an important role in protecting the Australian banking sector against insolvency. We outline the mathematical foundations of regulatory capital for credit risk, and extend the model specification of the IRB approach to a more general setting than the usual Gaussian case. It rests on the proposition that... Visit MoneyScience for the Complete Article.    |
| Posted: 03 Dec 2014 05:37 PM PST In a recent paper [\textit{M. Cristelli, A. Zaccaria and L. Pietronero, Phys. Rev. E 85, 066108 (2012)}], Cristelli \textit{et al.} analysed relation between skewness and kurtosis for complex dynamical systems and identified two power-law regimes of non-Gaussianity, one of which scales with an exponent of 2 and the other is with $4/3$. Finally the authors concluded that the... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Gas Storage valuation with regime switching. (arXiv:1412.1298v1 [q-fin.PR]) Posted: 03 Dec 2014 05:37 PM PST In this paper we treat a gas storage valuation problem as a Markov Decision Process. As opposed to existing literature we model the gas price process as a regime-switching model. Such a model has shown to fit market data quite well in Chen and Forsyth (2010). Before we apply a numerical algorithm to solve the problem, we first identify the structure of the optimal injection and withdraw policy.... Visit MoneyScience for the Complete Article.    |
| Posted: 03 Dec 2014 05:37 PM PST In this work we study the price-hedge issue for general defaultable contracts characterized by the presence of a contingent CSA of switching type. This is a contingent risk mitigation mechanism that allow the counterparties of a defaultable contract to switch from zero to full/perfect collateralization and switch back whenever until maturity T paying some instantaneous switching costs, taking in... Visit MoneyScience for the Complete Article.    |
| Posted: 03 Dec 2014 05:37 PM PST The present work studies and analyzes general defaultable OTC contract in presence of a contingent CSA, which is a theoretical counterparty risk mitigation mechanism of switching type that allows the counterparty of a general OTC contract to switch from zero to full/perfect collateralization and switch back whenever she wants until contract maturity paying some switching costs and taking into... Visit MoneyScience for the Complete Article.    |
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