MoneyScience News |
- Published / Preprint: Operational risk modeled analytically II: the consequences of classification invariance. (arXiv:1504.07805v1 [q-fin.RM])
- Published / Preprint: Pricing and hedging game options in currency models with proportional transaction costs. (arXiv:1504.07920v1 [q-fin.MF])
- Blog Post: TheAlephBlog: Redacted Version of the April 2015 FOMC Statement
- Blog Post: iMFdirect: Managing Capital Flows in Frontier Economies
- Blog Post: ThePracticalQuant: More tools for managing and reproducing complex data projects
- Research - MoneyScience
- Bitcoin behemoth Coinbase launches in the UK
| Posted: 29 Apr 2015 05:39 PM PDT Most of the banks' operational risk internal models are based on loss pooling in risk and business line categories. The parameters and outputs of operational risk models are sensitive to the pooling of the data and the choice of the risk classification. In a simple model, we establish the link between the number of risk cells and the model parameters by requiring invariance of the bank's... Visit MoneyScience for the Complete Article.      |
| Posted: 29 Apr 2015 05:39 PM PDT The pricing, hedging, optimal exercise and optimal cancellation of game or Israeli options are considered in a multi-currency model with proportional transaction costs. Efficient constructions for optimal hedging, cancellation and exercise strategies are presented, together with numerical examples, as well as probabilistic dual representations for the bid and ask price of a game option. Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: Redacted Version of the April 2015 FOMC Statement Posted: 29 Apr 2015 12:08 PM PDT Photo credit: jonesylife || Oh look, there are twelve doves flying!read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Managing Capital Flows in Frontier Economies Posted: 29 Apr 2015 08:39 AM PDT By Jonathan D. Ostry, Atish R. Ghosh, and Mahvash S. Qureshi read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: ThePracticalQuant: More tools for managing and reproducing complex data projects Posted: 29 Apr 2015 08:07 AM PDT A survey of the landscape shows the types of tools remain the same, but interfaces continue to improve.[A version of this post appears on the O'Reilly Radar.]As data projects become complex and as data teams grow in size, individuals and organizations need tools to efficiently manage data projects. A while back, I wrote a poston common options, and I closed that piece by asking:Are there... Visit MoneyScience for the Complete Article.    |
| Posted: 29 Apr 2015 05:05 AM PDT Latest Research at MoneyScience http://t.co/bzdCXJ6OjF — moneyscience (@moneyscience) April 29, 2015 Visit MoneyScience for the Complete Article.    |
| Bitcoin behemoth Coinbase launches in the UK Posted: 29 Apr 2015 05:05 AM PDT Bitcoin behemoth Coinbase launches in the UK Bitcoin behemoth Coinbase launches in the UK http://t.co/NN3eGkamwq — moneyscience (@moneyscience) April 29,… Visit MoneyScience for the Complete Article.    |
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