MoneyScience News |
- Published / Preprint: The Martin Integral Representation of Markovian Pricing Kernels. (arXiv:1504.00276v1 [q-fin.MF])
- Published / Preprint: Optimal Investment with Unbounded Random Endowments and Transaction Costs: Duality Theory and Connections to the Shadow Price Process. (arXiv:1504.00310v1 [q-fin.MF])
- Published / Preprint: Simulation of Implied Volatility Surfaces via Tangent Levy Models. (arXiv:1504.00334v1 [q-fin.PR])
- Massive denial-of-service attack on Github tied to Chinese government
- Blog Post: iMFdirect: Can Abenomics Succeed? Overcoming the Legacy of the Lost Decades
- Phys.Org Mobile: Scientists ask, peer review on fast track at what price?
- How a trader just made $2.4 million in half an hour
- Who to trust - business leaders or economists?
- World's Greatest Economist
- What is a "coherent" risk measure?
- http://www.dmrra.com/publications/Risk%20Magazine/Its%20Seismology%20Not%20Roulette.pdf
- Blog Post: TheFinancialServicesClub: The Finanser Interviews: Roberto Ferrari, General Manager of CheBanca! and Board Member of Mediobanca
- Published / Preprint: Dynamic Games with Almost Perfect Information. (arXiv:1503.08900v1 [q-fin.EC])
- Published / Preprint: Dynkin Game of Convertible Bonds and Their Optimal Strategy. (arXiv:1503.08961v1 [q-fin.MF])
- Published / Preprint: Dependence structure of market states. (arXiv:1503.09004v1 [q-fin.ST])
- Published / Preprint: IMEX schemes for a Parabolic-ODE system of European Options with Liquidity Shocks. (arXiv:1503.09008v1 [q-fin.CP])
- Towers of Babel
- Quant Who Shook the Financial World Tries More Humble Approach
- Vendor News: ACM and Infosys Foundation honor pioneer in cryptography
- Published / Preprint: East africa in the Malthusian trap? A statistical analysis of financial, economic, and demographic indicators. (arXiv:1503.08441v1 [q-fin.GN])
- Published / Preprint: Anomalous volatility scaling in high frequency financial data. (arXiv:1503.08465v1 [q-fin.CP])
- Published / Preprint: Local risk-minimization for Barndorff-Nielsen and Shephard models. (arXiv:1503.08589v1 [q-fin.MF])
- Published / Preprint: Dynamic indifference pricing via the G-expectation. (arXiv:1503.08628v1 [q-fin.MF])
- Published / Preprint: Prices of Options as Opinion Dynamics of the Market Players with Limited Social Influence. (arXiv:1503.08785v1 [q-fin.ST])
| Posted: 01 Apr 2015 05:36 PM PDT The purpose of this article is to describe all possible beliefs of market participants on objective measures under Markovian environments when a risk-neutral measure is given. To achieve this, we employ the Martin integral representation of Markovian pricing kernels. Then, we offer economic and financial implications of this representation. This representation is useful to analyze the long-term... Visit MoneyScience for the Complete Article.      |
| Posted: 01 Apr 2015 05:36 PM PDT This paper studies the utility maximization problem on the terminal wealth with both random endowments and proportional transaction costs. To deal with unbounded random payoffs from some illiquid claims, we propose to work with the acceptable portfolios defined via the consistent price system (CPS) such that the liquidation value processes stay above some stochastic thresholds. In the market... Visit MoneyScience for the Complete Article.    |
| Posted: 01 Apr 2015 05:36 PM PDT In this paper, we implement and test two types of market-based models for European-type options, based on the tangent Levy models proposed recently by R. Carmona and S. Nadtochiy. As a result, we obtain a method for generating Monte Carlo samples of future paths of implied volatility surfaces. These paths and the surfaces themselves are free of arbitrage, and are constructed in a way that is... Visit MoneyScience for the Complete Article.    |
| Massive denial-of-service attack on Github tied to Chinese government Posted: 01 Apr 2015 10:03 AM PDT Massive Denial-of-service attack on GitHub tied to the work of hackers with control over China's Internet backbone http://t.co/wqNYQ5kJhJ — moneyscience… Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Can Abenomics Succeed? Overcoming the Legacy of the Lost Decades Posted: 01 Apr 2015 09:18 AM PDT By Changyong Rheeread more... Visit MoneyScience for the Complete Article.    |
| Phys.Org Mobile: Scientists ask, peer review on fast track at what price? Posted: 01 Apr 2015 04:32 AM PDT Scientists ask, peer review on fast track at what price? http://t.co/0VinnOcb9j — moneyscience (@moneyscience) April 1, 2015 Visit MoneyScience for the Complete Article.    |
| How a trader just made $2.4 million in half an hour Posted: 01 Apr 2015 01:52 AM PDT And just when you were wondering if you could make $2M trading off a single Tweet https://t.co/oPVbOUA4rG — Ted Bailey (@TedBailey) March 31, 2015 Visit MoneyScience for the Complete Article.    |
| Who to trust - business leaders or economists? Posted: 01 Apr 2015 01:36 AM PDT Who to trust - business leaders or economists? @Peston http://t.co/8MxDuAbMJQ — moneyscience (@moneyscience) April 1, 2015 Visit MoneyScience for the Complete Article.    |
| Posted: 01 Apr 2015 01:36 AM PDT The daily Dilbert: Comic for April 01, 2015 http://t.co/gZhw7MpMat #comic — Dilbert (@DailyDilbert) April 1, 2015 Visit MoneyScience for the Complete Article.    |
| What is a "coherent" risk measure? Posted: 01 Apr 2015 01:36 AM PDT What is a "coherent" risk measure? http://t.co/2jTAAmOQ6H #risk via @StackQuant — D. Geromichalos ScD (@dg_risk) April 1, 2015 Visit MoneyScience for the Complete Article.    |
| http://www.dmrra.com/publications/Risk%20Magazine/Its%20Seismology%20Not%20Roulette.pdf Posted: 01 Apr 2015 01:36 AM PDT Structural shifts, not roulette. David Rowe on models http://t.co/HxmZtAXJI3 — Emanuel Derman (@EmanuelDerman) March 31, 2015 Visit MoneyScience for the Complete Article.    |
| Posted: 01 Apr 2015 01:26 AM PDT Following our regular series of interviews, we turn this week to talk with Roberto Ferrari, the General Manager of CheBanca! and Board Member of Mediobanca.read more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Dynamic Games with Almost Perfect Information. (arXiv:1503.08900v1 [q-fin.EC]) Posted: 31 Mar 2015 05:40 PM PDT This paper aims to solve two fundamental problems on finite or infinite horizon dynamic games with perfect or almost perfect information. Under some mild conditions, we prove (1) the existence of subgame-perfect equilibria in general dynamic games with almost perfect information, and (2) the existence of pure-strategy subgame-perfect equilibria in perfect-information dynamic games with... Visit MoneyScience for the Complete Article.    |
| Posted: 31 Mar 2015 05:40 PM PDT This paper studies the valuation and optimal strategy of convertible bonds as a Dynkin game by using the reflected backward stochastic differential equation method and the variational inequality method. We first reduce such a Dynkin game to an optimal stopping time problem with state constraint, and then in a Markovian setting, we investigate the optimal strategy by analyzing the properties of... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Dependence structure of market states. (arXiv:1503.09004v1 [q-fin.ST]) Posted: 31 Mar 2015 05:40 PM PDT We study the dependence structure of market states by calculating empirical pairwise copulas of daily stock returns. We consider both original returns, which exhibit time-varying trends and volatilities, as well as locally normalized ones, where the non-stationarity has been removed. The empirical pairwise copula for each state is compared with a bivariate K-copula. This copula arises from a... Visit MoneyScience for the Complete Article.    |
| Posted: 31 Mar 2015 05:40 PM PDT The coupled system, where one is a degenerate parabolic equation and the other has not a diffusion term arises in the modeling of European options with liquidity shocks. Two implicit-explicit (IMEX) schemes that preserve the positivity of the differential problem solution are constructed and analyzed. Numerical experiments confirm the theoretical results and illustrate the high accuracy and... Visit MoneyScience for the Complete Article.    |
| Posted: 31 Mar 2015 04:12 AM PDT "..developers may be building record-breaking towers even though they know they are economically inefficient..." http://t.co/5jBE8WU6cm — moneyscience… Visit MoneyScience for the Complete Article.    |
| Quant Who Shook the Financial World Tries More Humble Approach Posted: 31 Mar 2015 04:12 AM PDT Quant Who Shook the Financial World Tries More Humble Approach http://t.co/lkZZXjU6M8 via @younix #LTCM #quant #HedgeFund — D. Geromichalos ScD (@dg_risk)… Visit MoneyScience for the Complete Article.    |
| Vendor News: ACM and Infosys Foundation honor pioneer in cryptography Posted: 30 Mar 2015 09:55 PM PDT ACM, the Association for Computing Machinery, (www.acm.org) and the Infosys Foundation announced today that Dan Boneh is the recipient of the 2014 ACM-Infosys Foundation Award in the Computing Sciences for his contributions to the ground-breaking development of pairing-based cryptography and its application in identity-based encryption. Visit MoneyScience for the Complete Article.    |
| Posted: 30 Mar 2015 05:46 PM PDT A statistical analysis of financial, economic, and demographic indicators performed by the authors demonstrates (1) that the main countries of East Africa (Uganda, Kenya, and Tanzania) have not escaped the Malthusian Trap yet; (2) that this countries are not likely to follow the "North African path" and to achieve this escape before they achieve serious successes in their fertility transition;... Visit MoneyScience for the Complete Article.    |
| Posted: 30 Mar 2015 05:46 PM PDT Volatility of intra-day stock market indices computed at various time horizons exhibits a scaling behaviour that differs from what would be expected from fractional Brownian motion (fBm). We investigate this anomalous scaling by using Empirical Mode Decomposition (EMD), a method which separates time series into a set of cyclical components at different time-scales. By applying EMD to fBm, we... Visit MoneyScience for the Complete Article.    |
| Posted: 30 Mar 2015 05:46 PM PDT We aim to obtain explicit representations of locally risk-minimizing of call and put options for the Barndorff-Nielsen and Shephard models, which are Ornstein-Uhlenbeck type stochastic volatility models. Arai and Suzuki (2015) obtained a formula of locally risk-minimizing for L\'evy markets under many additional conditions by using Malliavin calculus for L\'evy processes. In this paper,... Visit MoneyScience for the Complete Article.    |
| Posted: 30 Mar 2015 05:46 PM PDT We study the dynamic indifference pricing with ambiguity preferences. For this, we introduce the dynamic expected utility with ambiguity via the nonlinear expectation--G-expectation, introduced by Peng (2007). We also study the risk aversion and certainty equivalent for the agents with ambiguity. We obtain the dynamic consistency of indifference pricing with ambiguity preferences. Finally, we... Visit MoneyScience for the Complete Article.    |
| Posted: 30 Mar 2015 05:46 PM PDT The dynamics of market prices is described as the evolution of opinions in the trading community regarding future market behavior. The price then is a function of the voting process of the market players in favor to raise or reduce the value of a stock. The model presented in this paper is suited for pricing of options and was verified against real market data. The model allows deriving the... Visit MoneyScience for the Complete Article.    |
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