MoneyScience News |
- Published / Preprint: Pricing and Hedging GLWB in the Heston and in the Black-Scholes with Stochastic Interest Rate Models. (arXiv:1509.02686v1 [q-fin.PR])
- Published / Preprint: Inequality measures in kinetic exchange models of wealth distributions. (arXiv:1509.02711v1 [physics.soc-ph])
- Published / Preprint: Utility Maximisation for Exponential Levy Models with option and information processes. (arXiv:1509.02727v1 [q-fin.MF])
- Published / Preprint: 09Sep/New report examines payment aspects of financial inclusion
- Blog Post: TheAlephBlog: Book Review: Market Liquidity Risk
| Posted: 09 Sep 2015 05:36 PM PDT Valuing Guaranteed Lifelong Withdrawal Benefit (GLWB) has attracted significant attention from both the academic field and real world financial markets. As remarked by Forsyth and Vetzal the Black and Scholes framework seems to be inappropriate for such long maturity products. They propose to use a regime switching model. Alternatively, we propose here to use a stochastic volatility model (Heston... Visit MoneyScience for the Complete Article.      |
| Posted: 09 Sep 2015 05:36 PM PDT In this paper, we study the inequality indices for some models of wealth exchange. We calculated Gini index and newly introduced k-index and compare the results with reported empirical data available for different countries. We have found lower and upper bounds for the indices and discuss the efficiencies of the models. Some exact analytical calculations are given for a few cases. We also exactly... Visit MoneyScience for the Complete Article.    |
| Posted: 09 Sep 2015 05:36 PM PDT We consider utility maximisation problem for exponential Levy models and HARA utilities in presence of illiquid asset. This illiquid asset is modelled by an option of European type on another risky asset which is correlated with the first one. Under some hypothesis on Levy processes, we give the expressions for information processes figured in maximum utility formula. As applications, we consider... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: 09Sep/New report examines payment aspects of financial inclusion Posted: 09 Sep 2015 07:16 AM PDT Press release about CPMI and the World Bank issuing a consultative report on "on Payment aspects of financial inclusion", 9 September 2015 Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: Book Review: Market Liquidity Risk Posted: 09 Sep 2015 12:57 AM PDT read more... Visit MoneyScience for the Complete Article.    |
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