MoneyScience News |
- Blog Post: TheFinancialServicesClub: Things worth reading: 24th February 2015
- Published / Preprint: Ho and Lee Model on a String. (arXiv:1502.06074v1 [q-fin.MF])
- Published / Preprint: Arbitrage-Free Pricing of XVA - Part II: PDE Representation and Numerical Analysis. (arXiv:1502.06106v1 [q-fin.PR])
- Published / Preprint: Contour map of estimation error for Expected Shortfall. (arXiv:1502.06217v1 [q-fin.RM])
- Published / Preprint: Tensor Approximation of Generalized Correlated Diffusions and Functional Copula Operators. (arXiv:1502.06349v1 [math.ST])
- Published / Preprint: Iteratively reweighted adaptive lasso for conditional heteroscedastic time series with applications to AR-ARCH type processes. (arXiv:1502.06557v1 [stat.ME])
- Blog Post: iMFdirect: Fair Play'Equal Laws for Equal Working Opportunity for Women
- Blog Post: WealthandCapitalMarketsBlog: Finovate London 2015 ' Whatâs in it for Wealth Management?
- Published / Preprint: The existence of optimal bang-bang controls for GMxB contracts. (arXiv:1502.05743v1 [q-fin.PR])
- Published / Preprint: Robust Utility Maximization with L\'evy Processes. (arXiv:1502.05920v1 [q-fin.MF])
| Blog Post: TheFinancialServicesClub: Things worth reading: 24th February 2015 Posted: 23 Feb 2015 10:16 PM PST Things we're reading today include ...read more... Visit MoneyScience for the Complete Article.      |
| Published / Preprint: Ho and Lee Model on a String. (arXiv:1502.06074v1 [q-fin.MF]) Posted: 23 Feb 2015 05:48 PM PST We discuss a simple extension of the Ho and Lee model with generic time-dependent drift in which: 1) we compute bond prices analytically; 2) the yield curve is sensible and the asymptotic yield is positive; and 3) our analytical solution provides a clean and simple way of separating volatility from the drift in the short-rate process. Our extension amounts to introducing one or two reflecting... Visit MoneyScience for the Complete Article.    |
| Posted: 23 Feb 2015 05:48 PM PST We study the semilinear partial differential equation (PDE) associated with the non-linear BSDE characterizing buyer's and seller's XVA in a framework that allows for asymmetries in funding, repo and collateral rates, as well as for early contract termination due to counterparty credit risk. We show the existence of a unique classical solution to the PDE by first proving the existence and... Visit MoneyScience for the Complete Article.    |
| Posted: 23 Feb 2015 05:48 PM PST The contour map of estimation error of Expected Shortfall (ES) is constructed. It allows one to quantitatively determine the sample size (the length of the time series) required by the optimization under ES of large institutional portfolios for a given size of the portfolio, at a given confidence level and a given estimation error. Visit MoneyScience for the Complete Article.    |
| Posted: 23 Feb 2015 05:48 PM PST We investigate aspects of semimartingale decompositions, approximation and the martingale representation for multidimensional correlated Markov processes. A new interpretation of the dependence among processes is given using the martingale approach. We show that it is possible to represent, in both continuous and discrete space, that a multidimensional correlated generalized diffusion is a linear... Visit MoneyScience for the Complete Article.    |
| Posted: 23 Feb 2015 05:48 PM PST Due to the increasing impact of big data, shrinkage algorithms are of great importance in almost every area of statistics, as well as in time series analysis. In current literature the focus is on lasso type algorithms for autoregressive time series models with homoscedastic residuals. In this paper we present an iteratively reweighted adaptive lasso algorithm for the estimation of time series... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Fair Play'Equal Laws for Equal Working Opportunity for Women Posted: 23 Feb 2015 07:36 AM PST By Christine Lagarde read more... Visit MoneyScience for the Complete Article.    |
| Posted: 23 Feb 2015 07:36 AM PST Last week Celent attended Finovate London 2015, great place to hear about new technologies and what companies will be launching in the upcoming months. While usually the main focus is banking, this year we saw a number of initiatives from a wealth management perspective.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 22 Feb 2015 05:36 PM PST A large collection of financial contracts offering guaranteed minimum benefits are often posed as control problems, in which at any point in the solution domain, a control is able to take any one of an uncountable number of values from the admissible set. Often, such contracts specify that the holder exert control at a finite number of deterministic times. The existence of an optimal bang-bang... Visit MoneyScience for the Complete Article.    |
| Posted: 22 Feb 2015 05:36 PM PST We study a robust portfolio optimization problem under model uncertainty for an investor with logarithmic or power utility. The uncertainty is specified by a set of possible L\'evy triplets; that is, possible instantaneous drift, volatility and jump characteristics of the price process. We show that an optimal investment strategy exists and compute it in semi-closed form. Moreover, we provide... Visit MoneyScience for the Complete Article.    |
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