MoneyScience News |
- How The Witcher 3’s economy was saved by polynomial least squares
- The Math Behind Microsoft’s Big Nokia Writedown
- Published / Preprint: Continuous Euclidean Embeddings of Incomplete Preferences. (arXiv:1508.00607v1 [q-fin.EC])
- Published / Preprint: Robust replication of barrier-style claims on price and volatility. (arXiv:1508.00632v1 [q-fin.MF])
- Published / Preprint: Valuation of capital protection options. (arXiv:1508.00668v1 [q-fin.PR])
- Published / Preprint: Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives. (arXiv:1508.00090v1 [q-fin.CP])
- Published / Preprint: Modelling the Uruguayan debt through gaussians models. (arXiv:1508.00108v1 [q-fin.PR])
- Published / Preprint: Statistical Emulators for Pricing and Hedging Longevity Risk Products. (arXiv:1508.00310v1 [q-fin.ST])
- Published / Preprint: A State-Space Estimation of the Lee-Carter Mortality Model and Implications for Annuity Pricing. (arXiv:1508.00322v1 [q-fin.CP])
- Published / Preprint: Mod\'{e}lisation spatiale de la formation des agglom\'{e}rations dans la zone alg\'{e}roise. (arXiv:1508.00511v1 [q-fin.EC])
- Mapping the Worm Wars: What the Public Should Take Away from the Scientific Debate about Mass Deworming
- Blog Post: iMFdirect: The African Century
- Everything Is Broken — The Message
- On the economics of the end of the world as we know it
| How The Witcher 3’s economy was saved by polynomial least squares Posted: 05 Aug 2015 01:35 AM PDT Building a virtual economy with polynomial least squares http://t.co/G8HRqi72dk — moneyscience (@moneyscience) August 5, 2015 Visit MoneyScience for the Complete Article.      |
| The Math Behind Microsoft’s Big Nokia Writedown Posted: 05 Aug 2015 01:35 AM PDT The Math Behind Microsoft's Big Nokia Writedown http://t.co/9zWf0ewLKn — moneyscience (@moneyscience) August 4, 2015 Visit MoneyScience for the Complete Article.    |
| Posted: 04 Aug 2015 05:36 PM PDT Debreu's classic theorem asserts that when an agent's weak preference ordering is reflexive, transitive, and closed in a suitable topology, it can be represented by a continuous utility function. Of interest in some economic settings is to weaken these conditions by replacing transitivity with negative transitivity. Such preferences have been successfully modeled using multi-utility... Visit MoneyScience for the Complete Article.    |
| Posted: 04 Aug 2015 05:36 PM PDT We show how to price and replicate a variety of barrier-style claims written on the $\log$ price $X$ and quadratic variation $\<X\>$ of a risky asset. Our framework assumes no arbitrage, frictionless markets and zero interest rates. We model the risky asset as a strictly positive continuous semimartingale with an independent volatility process. The volatility process may exhibit... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Valuation of capital protection options. (arXiv:1508.00668v1 [q-fin.PR]) Posted: 04 Aug 2015 05:36 PM PDT This paper presents numerical algorithm and results for pricing a capital protection option offered by many asset managers for investment portfolios to take advantage of market growth and protect savings. Under optimal withdrawal policyholder behaviour the pricing of such a product is an optimal stochastic control problem that cannot be solved using Monte Carlo method. In low dimension case, it... Visit MoneyScience for the Complete Article.    |
| Posted: 03 Aug 2015 05:36 PM PDT This paper assesses the hedge effectiveness of an index-based longevity swap and a longevity cap. Although swaps are a natural instrument for hedging longevity risk, derivatives with non-linear pay-offs, such as longevity caps, also provide downside protection. A tractable stochastic mortality model with age dependent drift and volatility is developed and analytical formulae for prices of these... Visit MoneyScience for the Complete Article.    |
| Posted: 03 Aug 2015 05:36 PM PDT We model bond's price curves corresponding to the sovereign uruguayan debt nominated in USD, as an alternative to the official bond prices publication released by the Central Bank of Uruguay (CBU). Four different gaussian models are fitted, based on historical data issued by the CBU, corresponding to some of the more frequently traded bonds. The main difficulty we approach is the absence of... Visit MoneyScience for the Complete Article.    |
| Posted: 03 Aug 2015 05:36 PM PDT We propose the use of statistical emulators for the purpose of valuing mortality-linked contracts in stochastic mortality models. Such models typically require (nested) evaluation of expected values of nonlinear functionals of multi-dimensional stochastic processes. Except in the simplest cases, no closed-form expressions are available, necessitating numerical approximation. Rather than building... Visit MoneyScience for the Complete Article.    |
| Posted: 03 Aug 2015 05:36 PM PDT In this article we investigate a state-space representation of the Lee-Carter model which is a benchmark stochastic mortality model for forecasting age-specific death rates. Existing relevant literature focuses mainly on mortality forecasting or pricing of longevity derivatives, while the full implications and methods of using the state-space representation of the Lee-Carter model in pricing... Visit MoneyScience for the Complete Article.    |
| Posted: 03 Aug 2015 05:36 PM PDT The goal of this study is to analyze the dynamics underlying Algiers urban area formation with reference to The New Economic Geography (NEG) theories and more precisely to the paper of Paul Krugman (1991), "Increasing returns and economic geography" which explains the mechanisms of economic activities concentration through two types of forces: centripetal forces enhancing the economic activities... Visit MoneyScience for the Complete Article.    |
| Posted: 03 Aug 2015 08:34 AM PDT Research replication. The case of Mass Deworming: http://t.co/04mnXcJUPi — moneyscience (@moneyscience) August 3, 2015 Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: The African Century Posted: 03 Aug 2015 08:02 AM PDT By Antoinette M. Sayeh and Abebe Aemro Selassieread more... Visit MoneyScience for the Complete Article.    |
| Everything Is Broken — The Message Posted: 03 Aug 2015 04:36 AM PDT Computers, and computing, are broken.http://t.co/XRCIneYOPk — moneyscience (@moneyscience) August 3, 2015 Visit MoneyScience for the Complete Article.    |
| On the economics of the end of the world as we know it Posted: 03 Aug 2015 04:36 AM PDT Lunacy from failing to get the precautionary principle of @nntaleb: Economists pricing the cost of human extinction. http://t.co/kUIxoJUVc1 — Robert J Frey ن… Visit MoneyScience for the Complete Article.    |
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