MoneyScience News |
- Published / Preprint: Systemic trade-risk of critical resources. (arXiv:1504.03508v1 [q-fin.EC])
- Published / Preprint: Random Time Forward Starting Options. (arXiv:1504.03552v1 [q-fin.PR])
- Published / Preprint: Pathwise super-replication via Vovk's outer measure. (arXiv:1504.03644v1 [q-fin.MF])
- Vendor News: April 14, 2015 - SS&C GlobeOp Hedge Fund Performance Index: March performance 1.30%; Capital Movement Index: April net flows decline 1.14%
- Blog Post: iMFdirect: Four Forces Facing the Global Economy
- Paul Darbyshire and David Hampton on Hedge Fund Modelling and Analysis
| Published / Preprint: Systemic trade-risk of critical resources. (arXiv:1504.03508v1 [q-fin.EC]) Posted: 14 Apr 2015 05:39 PM PDT In the wake of the 2008 financial crisis the role of strongly interconnected markets in fostering systemic instability has been increasingly acknowledged. Trade networks of commodities are susceptible to deleterious cascades of supply shocks that increase systemic trade-risks and pose a threat to geopolitical stability. On a global and a regional level we show that supply risk, scarcity, and... Visit MoneyScience for the Complete Article.      |
| Published / Preprint: Random Time Forward Starting Options. (arXiv:1504.03552v1 [q-fin.PR]) Posted: 14 Apr 2015 05:39 PM PDT We introduce a natural generalization of the forward-starting options, first discussed by M. Rubinstein. The main feature of the contract presented here is that the strike-determination time is not fixed ex-ante, but allowed to be random, usually related to the occurrence of some event, either of financial nature or not. We will call these options {\bf Random Time Forward Starting (RTFS)}. We... Visit MoneyScience for the Complete Article.    |
| Posted: 14 Apr 2015 05:39 PM PDT Since Hobson's seminal paper [D. Hobson: Robust hedging of the lookback option. In: Finance Stoch. (1998)] the connection between model-independent pricing and the Skorokhod embedding problem has been a driving force in robust finance. We establish a general pricing-hedging duality for financial derivatives which are susceptible to the Skorokhod approach. read more... Visit MoneyScience for the Complete Article.    |
| Posted: 14 Apr 2015 12:37 PM PDT    |
| Blog Post: iMFdirect: Four Forces Facing the Global Economy Posted: 14 Apr 2015 06:36 AM PDT By Olivier Blanchard read more... Visit MoneyScience for the Complete Article.    |
| Paul Darbyshire and David Hampton on Hedge Fund Modelling and Analysis Posted: 14 Apr 2015 05:35 AM PDT Paul Darbyshire and David Hampton discuss their trilogy of books written for Wiley Finance.read more... Visit MoneyScience for the Complete Article.    |
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