MoneyScience News |
- Published / Preprint: Intertemporal Substituability, Risk Aversion and Asset Prices. (arXiv:1505.07210v1 [q-fin.CP])
- Published / Preprint: Incomplete stochastic equilibria with exponential utilities close to Pareto optimality. (arXiv:1505.07224v1 [math.PR])
- Published / Preprint: Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models. (arXiv:1505.07313v1 [q-fin.MF])
- Blog Post: WealthandCapitalMarketsBlog: All MiFID, All The Time or Goodbye Cretaceous Period
- Quantum computer emulated by a classical system
| Posted: 27 May 2015 05:37 PM PDT Is the elasticity of intertemporal substitution (EIS) more or less than one? This question can be answered by confronting theoretical results of asset pricing models with investor behaviour during episodes of stock market panic. If we consider these episodes as periods of high risk aversion, then lower asset prices are in fact associated with higher risk aversion. However, according to... Visit MoneyScience for the Complete Article.      |
| Posted: 27 May 2015 05:37 PM PDT We study existence and uniqueness of continuous-time stochastic Radner equilibria in an incomplete markets model. An assumption of "smallness" type - imposed through the new notion of "closeness to Pareto optimality" - is shown to be sufficient for existence and uniqueness. Central role in our analysis is played by a fully-coupled nonlinear system of quadratic BSDEs. Visit MoneyScience for the Complete Article.    |
| Posted: 27 May 2015 05:37 PM PDT This paper studies a class of optimal multiple stopping problems driven by L\'evy processes. Our model allows for a negative effective discount rate, which arises in a number of financial applications, including stock loans and real options, where the strike price can potentially grow at a higher rate than the original discount factor. Moreover, successive exercise opportunities are separated... Visit MoneyScience for the Complete Article.    |
| Blog Post: WealthandCapitalMarketsBlog: All MiFID, All The Time or Goodbye Cretaceous Period Posted: 27 May 2015 12:26 PM PDT I just spent a week speaking to many of Celent’s UK based clients. I was surprised by how high MiFID II was on everyone’s agenda. Whenever I posed the questionâ€"what are you most interested in discussing? The answer was firmly-MiFID II. The response was typical for the entire client spectrum: buyside to sellside; venue to infrastructure provider; vendor to regulator. It was most... Visit MoneyScience for the Complete Article.    |
| Quantum computer emulated by a classical system Posted: 27 May 2015 10:05 AM PDT Quantum computer emulated by a classical system http://t.co/7IWwrbVHmj — moneyscience (@moneyscience) May 27, 2015 Visit MoneyScience for the Complete Article.    |
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