MoneyScience News |
- Blog Post: TheFinancialServicesClub: In the age of the internet, is it the poor who will be poorer?
- Published / Preprint: Editorial
- Published / Preprint: A simple scheme for allocating capital in a foreign exchange proprietary trading firm
- Published / Preprint: Mean-reversion and optimization
- Published / Preprint: Evaluating the hedging effectiveness in crude palm oil futures market during financial crises
- Published / Preprint: The timing ability of hybrid-funds of funds
- Published / Preprint: Diversification, protection of liability holders and regulatory arbitrage. (arXiv:1502.03252v1 [q-fin.RM])
- Published / Preprint: Asymptotic indifference pricing in exponential L\'evy models. (arXiv:1502.03359v1 [q-fin.PR])
- Blog Post: rob_daly: Brokers, Synchronize Your Watches
- Vendor News: POSIT Alert Hits New International Trading Records
- Blog Post: iMFdirect: How Can Egypt Achieve Economic Stability and Better Living Standards Together?
- Vendor News: ICA Gruppen Partners with Infosys to Revitalize its IT Operations
- Published / Preprint: The pricing of lookback options and binomial approximation. (arXiv:1502.02819v1 [q-fin.MF])
- Published / Preprint: Dark-Pool Perspective of Optimal Market Making. (arXiv:1502.02863v1 [q-fin.MF])
- Published / Preprint: Consistent Recalibration of Yield Curve Models. (arXiv:1502.02926v1 [q-fin.MF])
- Published / Preprint: An Analysis of the Heston Stochastic Volatility Model: Implementation and Calibration using Matlab. (arXiv:1502.02963v1 [q-fin.PR])
- Published / Preprint: Learning and Portfolio Decisions for HARA Investors. (arXiv:1502.02968v1 [q-fin.PM])
- Published / Preprint: Semi-Discrete method and stochastic volatility. (arXiv:1502.03018v1 [math.NA])
- Published / Preprint: Information and Trading Targets in a Dynamic Market Equilibrium. (arXiv:1502.02083v1 [q-fin.TR])
- Published / Preprint: Asymptotic Investment Behaviors under a Jump-Diffusion Risk Process. (arXiv:1502.02286v1 [q-fin.PM])
- Published / Preprint: Mergers and acquisitions transactions strategies in diffusion - type financial systems in highly volatile global capital markets with nonlinearities. (arXiv:1502.02537v1 [q-fin.GN])
- Company history | HSBC Private Bank
- HSBC 'helped clients dodge tax'
- Blog Post: Luigi.Ballabio: Odds and ends: global settings
- Blog Post: emotionalfinance: Interview on Share Radio
- Blog Post: PatrickBurns: US market portrait 2015 week 6
- World's biggest sovereign wealth fund dumps dozens of coal companies
| Blog Post: TheFinancialServicesClub: In the age of the internet, is it the poor who will be poorer? Posted: 12 Feb 2015 01:06 AM PST Here’s a good question for you: if cars self-drive, what happens to motor insurance?read more... Visit MoneyScience for the Complete Article.      |
| Published / Preprint: Editorial Posted: 12 Feb 2015 12:05 AM PST Visit MoneyScience for the Complete Article.    |
| Posted: 12 Feb 2015 12:05 AM PST Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Mean-reversion and optimization Posted: 12 Feb 2015 12:05 AM PST Visit MoneyScience for the Complete Article.    |
| Posted: 12 Feb 2015 12:05 AM PST Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The timing ability of hybrid-funds of funds Posted: 12 Feb 2015 12:05 AM PST Visit MoneyScience for the Complete Article.    |
| Posted: 11 Feb 2015 05:38 PM PST Any solvency regime for financial institutions should be aligned with the two fundamental objectives of regulation: protecting liability holders and securing the stability of the financial system. From these objectives we derive two normative requirements for capital adequacy tests, called surplus and num\'{e}raire invariance, respectively. We characterize capital adequacy tests that satisfy... Visit MoneyScience for the Complete Article.    |
| Posted: 11 Feb 2015 05:38 PM PST Financial markets based on L\'evy processes are typically incomplete and option prices depend on risk preferences of individual agents. In this context, the notion of utility indifference price has gained popularity in the academic circles. Although theoretically very appealing, this pricing method remains difficult to apply in practice, due to the high computational cost of solving the... Visit MoneyScience for the Complete Article.    |
| Blog Post: rob_daly: Brokers, Synchronize Your Watches Posted: 11 Feb 2015 04:45 PM PST Brokers, Synchronize Your Watchesread more... Visit MoneyScience for the Complete Article.    |
| Vendor News: POSIT Alert Hits New International Trading Records Posted: 11 Feb 2015 09:26 AM PST January 2015 Record Value Traded in Europe, Asia Pacific, Canada, Latin America NEW YORK, Feb. 11, 2015 (GLOBE NEWSWIRE) -- ITG (NYSE:ITG) a leading execution and research broker, today announced that POSIT Alert® hit new records in January 2015 for value traded in Europe, Asia Pacific, Canada and Latin America. Global POSIT Alert crossed block equity trades with total notional value of... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: How Can Egypt Achieve Economic Stability and Better Living Standards Together? Posted: 11 Feb 2015 09:16 AM PST By Christopher Jarvis read more... Visit MoneyScience for the Complete Article.    |
| Vendor News: ICA Gruppen Partners with Infosys to Revitalize its IT Operations Posted: 11 Feb 2015 01:36 AM PST Infosys today announced that it has been selected by ICA Gruppen, Sweden’s leading retailer, to manage its IT operations. Visit MoneyScience for the Complete Article.    |
| Posted: 10 Feb 2015 05:36 PM PST Refining a discrete model of Cheuk and Vorst we obtain a closed formula for the price of a European lookback option at any time between emission and maturity. We derive an asymptotic expansion of the price as the number of periods tends to infinity, thereby solving a problem posed by Lin and Palmer. We prove, in particular, that the price in the discrete model tends to the price in the continuous... Visit MoneyScience for the Complete Article.    |
| Posted: 10 Feb 2015 05:36 PM PST We consider a finite-horizon market-making problem faced by a dark pool that executes incoming buy and sell orders. The arrival flow of such orders is assumed to be random and, for each transaction, the dark pool earns a per-share commission no greater than the half bid-ask spread. Throughout the entire period, the main concern is inventory risk, which increases as the number of held positions... Visit MoneyScience for the Complete Article.    |
| Posted: 10 Feb 2015 05:36 PM PST The analytical tractability of affine (short rate) models, such as the Vasi\v{c}ek and the Cox-Ingersoll-Ross models, has made them a popular choice for modelling the dynamics of interest rates. However, in order to account properly for the dynamics of real data, these models need to exhibit time-dependent, or even stochastic, parameters. This in turn breaks their tractability, and modelling... Visit MoneyScience for the Complete Article.    |
| Posted: 10 Feb 2015 05:36 PM PST This paper analyses the implementation and calibration of the Heston Stochastic Volatility Model. We first explain how characteristic functions can be used to estimate option prices. Then we consider the implementation of the Heston model, showing that relatively simple solutions can lead to fast and accurate vanilla option prices. We also perform several calibration tests, using both local and... Visit MoneyScience for the Complete Article.    |
| Posted: 10 Feb 2015 05:36 PM PST We maximize the expected utility from terminal wealth for an HARA investor when the market price of risk is an unobservable random variable. We compute the optimal portfolio explicitly and explore the effects of learning by comparing it with the corresponding myopic policy. In particular, we show that, for a market price of risk constant in sign, the ratio between the portfolio under partial... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Semi-Discrete method and stochastic volatility. (arXiv:1502.03018v1 [math.NA]) Posted: 10 Feb 2015 05:36 PM PST In this paper we want to exploit further the semi-discrete method appeared in \cite{halidias_stamatiou:2014}. We are interested in the numerical solution of mean reverting CEV processes that appear in financial mathematics and are described as non negative solutions of certain stochastic differential equations with sub-linear diffusion coefficients of the form $(x_t)^q,$... Visit MoneyScience for the Complete Article.    |
| Posted: 09 Feb 2015 05:46 PM PST This paper investigates the equilibrium interactions between trading targets and private information in a multi-period Kyle (1985) market. There are two investors who each follow dynamic trading strategies: A strategic portfolio rebalancer who engages in order splitting to reach a cumulative trading target and an unconstrained strategic insider who trades on long-lived information. We consider... Visit MoneyScience for the Complete Article.    |
| Posted: 09 Feb 2015 05:46 PM PST We study an optimal investment control problem for an insurance company. The surplus process follows the Cramer-Lundberg process with perturbation of a Brownian motion. The company can invest its surplus into a risk free asset and a Black-Scholes risky asset. The optimization objective is to minimize the probability of ruin. We show by new operators that the minimal ruin probability function is a... Visit MoneyScience for the Complete Article.    |
| Posted: 09 Feb 2015 05:46 PM PST The M and A transactions represent a wide range of unique business optimization opportunities in the corporate transformation deals, which are usually characterized by the high level of total risk. The M and A transactions can be successfully implemented by taking to an account the size of investments, purchase price, direction of transaction, type of transaction, and using the modern comparable... Visit MoneyScience for the Complete Article.    |
| Company history | HSBC Private Bank Posted: 09 Feb 2015 02:22 AM PST #hsbc acquires Rep NY Corp & Safra Rep Hldings '99;Name change to HSBC Private Bank '04; files cover period:'05-'07 http://t.co/nYaLfCrZCW — moneyscience… Visit MoneyScience for the Complete Article.    |
| HSBC 'helped clients dodge tax' Posted: 09 Feb 2015 02:22 AM PST The #HSBC story is going to run (http://t.co/jp3ZYOmBUJ) and run (http://t.co/s7mrBbmibo) and run (http://t.co/eOQL6sdgTv) — moneyscience (@moneyscience)… Visit MoneyScience for the Complete Article.    |
| Blog Post: Luigi.Ballabio: Odds and ends: global settings Posted: 08 Feb 2015 10:05 PM PST    |
| Blog Post: emotionalfinance: Interview on Share Radio Posted: 07 Feb 2015 04:37 AM PST Visit MoneyScience for the Complete Article.    |
| Blog Post: PatrickBurns: US market portrait 2015 week 6 Posted: 07 Feb 2015 04:16 AM PST US large cap market returns. read more... Visit MoneyScience for the Complete Article.    |
| World's biggest sovereign wealth fund dumps dozens of coal companies Posted: 06 Feb 2015 12:38 AM PST World's biggest sovereign wealth fund dumps dozens of coal companies http://t.co/gGsBqG1enu — moneyscience (@moneyscience) February 6, 2015 Visit MoneyScience for the Complete Article.    |
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