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- 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])
- 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])
- World's biggest sovereign wealth fund dumps dozens of coal companies
| 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.    |
| 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.    |
| 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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