MoneyScience News |
- Published / Preprint: 02Jun/Credit risk management across sectors - report released by the Joint Forum
- Published / Preprint: Weak Convergence of Path-Dependent SDEs and Functionals in Pricing Basket CDS with Counterparty Risk and Contagion Risk. (arXiv:1506.00082v1 [q-fin.MF])
- Published / Preprint: Semimartingale detection and goodness-of-fit tests. (arXiv:1506.00088v1 [math.ST])
- Published / Preprint: The Theory of a Heliospheric Economy. (arXiv:1506.00146v1 [q-fin.EC])
- Published / Preprint: Optimal Investment to Minimize the Probability of Drawdown. (arXiv:1506.00166v1 [q-fin.MF])
- Published / Preprint: Market Completion with Derivative Securities. (arXiv:1506.00188v1 [q-fin.MF])
- Published / Preprint: Role of the interfirm buyer-seller network in aggregate fluctuation and the effect of link renewal. (arXiv:1506.00236v1 [q-fin.GN])
- Published / Preprint: Enhanced Gravity Model of trade: reconciling macroeconomic and network models. (arXiv:1506.00348v1 [physics.soc-ph])
- Published / Preprint: Good deal bounds with convex constraints. (arXiv:1506.00396v1 [q-fin.MF])
- Published / Preprint: New exact Taylor's series and very simple solutions to PDEs. (arXiv:1506.00535v1 [q-fin.MF])
- Phys.Org Mobile: Amoeba-inspired computing system outperforms conventional optimization methods
- Vendor News: TG to Present at Sandler OâNeill and KBW Brokerage Conferences
| Posted: 02 Jun 2015 02:07 AM PDT Press release about the Joint Forum releasing report on credit risk management across sectors (2 June 2015). Visit MoneyScience for the Complete Article.      |
| Posted: 01 Jun 2015 05:37 PM PDT In this paper we discuss sufficient conditions for weak convergence of the Euler approximation to general multi-dimensional stochastic differential equations (SDEs) driven by correlated Brownian motions and with discontinuous and path-dependent coefficients. We prove tightness of the approximating processes and the weak solution of the limiting process. Furthermore, motivated by a basket credit... Visit MoneyScience for the Complete Article.    |
| Posted: 01 Jun 2015 05:37 PM PDT In quantitative finance, we often fit a parametric semimartingale model to asset prices. To ensure our model is correct, we must then perform goodness-of-fit tests. In this paper, we give a new goodness-of-fit test for volatility-like processes, which is easily applied to a variety of semimartingale models. In each case, we reduce the problem to the detection of a semimartingale observed under... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The Theory of a Heliospheric Economy. (arXiv:1506.00146v1 [q-fin.EC]) Posted: 01 Jun 2015 05:37 PM PDT Despite more than 50 years of human space exploration, no paper in the field of economics has been published regarding the theory of a space-based economy. The aim of this paper is to develop quantitative techniques to estimate conditions of the human heliospheric expansion. An empirical analysis of current space commercialization and reasoning from first economic principles yields an... Visit MoneyScience for the Complete Article.    |
| Posted: 01 Jun 2015 05:37 PM PDT We determine the optimal investment strategy in a Black-Scholes financial market to minimize the so-called {\it probability of drawdown}, namely, the probability that the value of an investment portfolio reaches some fixed proportion of its maximum value to date. We assume that the portfolio is subject to a payout that is a deterministic function of its value, as might be the case for an... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Market Completion with Derivative Securities. (arXiv:1506.00188v1 [q-fin.MF]) Posted: 01 Jun 2015 05:37 PM PDT Let $S^F$ be a $\mathbb{P}$-martingale representing the price of a primitive asset in an incomplete market framework. We present easily verifiable conditions on model coefficients which guarantee the completeness of the market in which in addition to the primitive asset one may also trade a derivative contract $S^B$. Both $S^F$ and $S^B$ are defined in terms of the solution $X$ to a... Visit MoneyScience for the Complete Article.    |
| Posted: 01 Jun 2015 05:37 PM PDT The interfirm buyer-seller network is important from both macroeconomic and microeconomic perspectives. From a macroeconomic perspective, this network represents a form of interconnectedness that allows firm-level idiosyncratic shocks to be propagated to other firms. This propagation mechanism interferes with the averaging out process of shocks, having a possible impact on aggregate fluctuation.... Visit MoneyScience for the Complete Article.    |
| Posted: 01 Jun 2015 05:37 PM PDT The bilateral trade relations between world countries form a complex network, the International Trade Network (ITN), which is involved in an increasing number of worldwide economic processes, including globalization, integration, industrial production, and the propagation of shocks and instabilities. Characterizing the ITN via a simple yet accurate model is an open problem. The classical Gravity... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Good deal bounds with convex constraints. (arXiv:1506.00396v1 [q-fin.MF]) Posted: 01 Jun 2015 05:37 PM PDT We investigate the structure of good deal bounds, which are subintervals of a no-arbitrage pricing bound, for financial market models with convex constraints as an extension of Arai and Fukasawa (2014). The upper and lower bounds of a good deal bound are naturally described by a convex risk measure. We call such a risk measure a good deal valuation; and study its properties. We also... Visit MoneyScience for the Complete Article.    |
| Posted: 01 Jun 2015 05:37 PM PDT We provide new exact Taylor's series with fixed coefficients. We demonstrate the extreme usefulness of this contribution by using it to obtain very simple solutions to (nonlinear) PDEs. Visit MoneyScience for the Complete Article.    |
| Phys.Org Mobile: Amoeba-inspired computing system outperforms conventional optimization methods Posted: 01 Jun 2015 01:11 PM PDT Amoeba-inspired computing system outperforms conventional optimization methods http://t.co/7yfiwiq8Le — moneyscience (@moneyscience) June 1, 2015 Visit MoneyScience for the Complete Article.    |
| Vendor News: TG to Present at Sandler OâNeill and KBW Brokerage Conferences Posted: 01 Jun 2015 06:45 AM PDT NEW YORK, June 1, 2015 â€" ITG (NYSE: ITG), a leading independent execution broker and research provider, today announced it will present at the following conferences:Bob Gasser, Chief Executive Officer and President, will speak at the Sandler O’Neill 2015 Global Exchange and Brokerage Conference in New York on Wednesday, June 3, at 2:00 PM ET. The presentation will be webcast live.... Visit MoneyScience for the Complete Article.    |
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