MoneyScience News |
- Published / Preprint: Application of Operator Splitting Methods in Finance. (arXiv:1504.01022v1 [q-fin.CP])
- Published / Preprint: Diversity-Weighted Portfolios with Negative Parameter. (arXiv:1504.01026v1 [q-fin.MF])
- Published / Preprint: Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting. (arXiv:1504.01150v1 [math.PR])
- Published / Preprint: The Uniqueness of Equilibrium for Time-Inconsistent Stochastic Linear--Quadratic Control. (arXiv:1504.01152v1 [q-fin.PM])
- Blog Post: iMFdirect: The Promise of Islamic Finance: Further Inclusion with Stability
- Blog Post: TheFinancialServicesClub: The Finanser's Week: 23rd March 2015 ' 5th April 2015
| Posted: 06 Apr 2015 05:36 PM PDT Financial derivatives pricing aims to find the fair value of a financial contract on an underlying asset. Here we consider option pricing in the partial differential equations framework. The contemporary models lead to one-dimensional or multidimensional parabolic problems of the convection-diffusion type and generalizations thereof. An overview of various operator splitting methods is presented... Visit MoneyScience for the Complete Article.      |
| Posted: 06 Apr 2015 05:36 PM PDT We analyze a negative-parameter variant of the diversity-weighted portfolio studied by Fernholz, Karatzas, and Kardaras (Finance Stoch 9(1):1-27, 2005), which invests in each company a fraction of wealth inversely proportional to the company's market weight (the ratio of its capitalization to that of the entire market). We show that this strategy outperforms the market with probability one, under... Visit MoneyScience for the Complete Article.    |
| Posted: 06 Apr 2015 05:36 PM PDT We study the existence of a minimal supersolution for backward stochastic differential equations when the terminal data can take the value +$\infty$ with positive probability. We deal with equations on a general filtered probability space and with generators satisfying a general monotonicity assumption. With this minimal supersolution we then solve an optimal stochastic control... Visit MoneyScience for the Complete Article.    |
| Posted: 06 Apr 2015 05:36 PM PDT We prove the uniqueness of an equilibrium solution to a general time-inconsistent LQ control problem under mild conditions which ensure the existence of a solution. This is the first positive result on the uniqueness of the solution to a time inconsistent dynamic decision problem in continuous-time setting. Key words. time-inconsistency, stochastic linear-quadratic control, uniqueness of... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: The Promise of Islamic Finance: Further Inclusion with Stability Posted: 06 Apr 2015 07:36 AM PDT By Mohamed Norat, Marco Pinon and Zeine Zeidaneread more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: The Finanser's Week: 23rd March 2015 ' 5th April 2015 Posted: 05 Apr 2015 09:36 PM PDT Our biggest stories of the past week are ...read more... Visit MoneyScience for the Complete Article.    |
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