MoneyScience News |
- Published / Preprint: Statistical Properties and Pre-hit Dynamics of Price Limit Hits in the Chinese Stock Markets. (arXiv:1503.03548v1 [q-fin.ST])
- Published / Preprint: Profitable forecast of prices of stock options on real market data via the solution of an ill-posed problem for the Black-Scholes equation. (arXiv:1503.03567v1 [q-fin.MF])
- Published / Preprint: Numerical approximations for Heston-Hull-White type models. (arXiv:1503.03705v1 [q-fin.CP])
- Published / Preprint: Bounds for randomly shared risk of heavy-tailed loss factors. (arXiv:1503.03726v1 [q-fin.RM])
- Blog Post: WealthandCapitalMarketsBlog: Surprised Wealthfront's Adam Nash Took Off the Gloves? You Shouldnât Be.
- Published / Preprint: AMUNDI SMITH BREEDEN PRIZES FOR 2014
- Published / Preprint: CALL FOR PAPERS
- Blog Post: ThePracticalQuant: Turning Ph.D.s into industrial data scientists and data engineers
- Vendor News: Infosys Receives Daimler Supplier Award 2014
- Blog Post: TheFinancialServicesClub: UK Financial Inclusion Report Recommends 22 Things For 2020 (Some For Banks)
- Published / Preprint: Negative Dependence Concept in Copulas and the Marginal Free Herd Behavior Index. (arXiv:1503.03180v1 [q-fin.RM])
- Published / Preprint: Symmetry structure and solution of evolution-type equations with time dependent parameters in financial Mathematics. (arXiv:1503.03194v1 [q-fin.PR])
- Blog Post: iMFdirect: Resolving Residential Mortgage Distress: Time to Modify
- Published / Preprint: 11Mar/CPMI and IOSCO begin review of CCP stress testing
- Oil Rigs Get Slammed for the 13th Week
- Oil prices and the value of ‘oil currencies’ | VOX, CEPR’s Policy Portal
| Posted: 12 Mar 2015 05:37 PM PDT Price limit trading rules are adopted in some stock markets (especially emerging markets) trying to cool off traders' short-term trading mania on individual stocks and increase market efficiency. Under such a microstructure, stocks may hit their up-limits and down-limits from time to time. However, the behaviors of price limit hits are not well studied partially due to the fact that main stock... Visit MoneyScience for the Complete Article.      |
| Posted: 12 Mar 2015 05:37 PM PDT A new mathematical model for the Black-Scholes equation is proposed to forecast option prices. This model includes new interval for the price of the underlying stock as well as new initial and boundary conditions. Conventional notions of maturity time and strike prices are not used. The Black-Scholes equation is solved as a parabolic equation with the reversed time, which is an ill-posed problem.... Visit MoneyScience for the Complete Article.    |
| Posted: 12 Mar 2015 05:37 PM PDT We study a hybrid tree-finite difference method which permits to obtain efficient and accurate European and American option prices in the Heston Hull-White and Heston Hull-White2d models. Moreover, as a by-product, we provide a new simulation scheme to be used for Monte Carlo evaluations. Numerical results show the reliability and the efficiency of the proposed methods Visit MoneyScience for the Complete Article.    |
| Posted: 12 Mar 2015 05:37 PM PDT For a risk vector $V$, whose components are shared among agents by some random mechanism, we obtain asymptotic lower and upper bounds for the agents' exposure risk and the systemic risk in the market. Risk is measured by Value-at-Risk or Conditional Tail Expectation. We assume Pareto tails for the components of $V$ and arbitrary dependence structure in a multivariate regular variation setting.... Visit MoneyScience for the Complete Article.    |
| Posted: 12 Mar 2015 12:36 PM PDT In my last post I discussed the contretemps between Wealthfront and Charles Schwab. Here I look at what Adam Nash’s salvo across the Charles Schwab bow suggests about where he’s taking his fast-growing firm, and about his leadership style. The readiness of Nash (after barely a year as CEO) to go after Schwab reflects a changing of the guard on three fronts.read more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: AMUNDI SMITH BREEDEN PRIZES FOR 2014 Posted: 12 Mar 2015 11:56 AM PDT    |
| Published / Preprint: CALL FOR PAPERS Posted: 12 Mar 2015 11:56 AM PDT    |
| Blog Post: ThePracticalQuant: Turning Ph.D.s into industrial data scientists and data engineers Posted: 12 Mar 2015 07:27 AM PDT Subscribe to the O’Reilly Data Show Podcastread more... Visit MoneyScience for the Complete Article.    |
| Vendor News: Infosys Receives Daimler Supplier Award 2014 Posted: 12 Mar 2015 02:46 AM PDT Infosys (NYSE: INFY), a global leader in consulting, technology, outsourcing and next-generation services, today announced that it has been honored with the coveted Daimler Supplier Award 2014 at the Mercedes-Benz Center in Stuttgart, Germany at a ceremony attended by 450 representatives of the major suppliers and about 200 representatives of Daimler management. Visit MoneyScience for the Complete Article.    |
| Posted: 12 Mar 2015 01:26 AM PDT Yesterday the UK’s Financial Inclusion Commission published their report on Financial Inclusion for the UK.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 11 Mar 2015 05:46 PM PDT We provide a set of copulas that can be interpreted as having the negative extreme dependence. This set of copulas is interesting because it coincides with countermonotonic copula for a bivariate case, and more importantly, is shown to be minimal in concordance ordering in the sense that no copula exists which is strictly smaller than the given copula outside the proposed copula set. Admitting... Visit MoneyScience for the Complete Article.    |
| Posted: 11 Mar 2015 05:46 PM PDT Mathematical models with time dependent parameters are of great interest in financial Mathematics because they capture real life scenarios in the financial market. In this study, via the Lie group technique, we analyse evolution-type equations with time dependent parameters and give the general symmetry structure of these equations. In addition, we illustrate this method by looking at an example... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Resolving Residential Mortgage Distress: Time to Modify Posted: 11 Mar 2015 07:18 AM PDT By Jochen Andritzkyread more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: 11Mar/CPMI and IOSCO begin review of CCP stress testing Posted: 11 Mar 2015 07:08 AM PDT Press release about CPMI and IOSCO beginning review of CCP stress testing (11 March 2015) Visit MoneyScience for the Complete Article.    |
| Oil Rigs Get Slammed for the 13th Week Posted: 11 Mar 2015 04:08 AM PDT RT @pdacosta: More than 1/3 of U.S. oil rigs have been taken offline in just three months http://t.co/EEKE9elgYM http://ift.tt/1C4xmBW — D. Geromichalos ScD… Visit MoneyScience for the Complete Article.    |
| Oil prices and the value of ‘oil currencies’ | VOX, CEPR’s Policy Portal Posted: 11 Mar 2015 04:08 AM PDT Oil prices and the value of 'oil currencies' http://t.co/9lPkpvqXjA via @MarkThoma — D. Geromichalos ScD (@dg_risk) March 11, 2015 Visit MoneyScience for the Complete Article.    |
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