MoneyScience News |
- Published / Preprint: 15Sep/Basel III monitoring results published by the Basel Committee
- Published / Preprint: Feynman-Kac Formulas for Solutions to Degenerate Elliptic and Parabolic Boundary-Value and Obstacle Problems with Dirichlet Boundary Conditions. (arXiv:1509.03864v1 [math.PR])
- Published / Preprint: Optimal stopping times in jump processes. (arXiv:1509.04135v1 [math.OC])
- Blog Post: iMFdirect: Metals and Oil: A Tale of Two Commodities
- Vendor News: September 14, 2015 - SS&C Technologies to Present at Deutsche Bank 2015 Technology Conference
- Devastating Barron's cover story on Alibaba predicts the stock will tank 50%, and that's not even the worst of it
- Near-Perfect Computer Security May Be Surprisingly Close
- Published / Preprint: A Hedged Monte Carlo Approach to Real Option Pricing. (arXiv:1509.03577v1 [q-fin.CP])
- Published / Preprint: The Product Life Cycle of Durable Goods. (arXiv:1109.0828v2 [stat.OT] UPDATED)
| Published / Preprint: 15Sep/Basel III monitoring results published by the Basel Committee Posted: 15 Sep 2015 01:17 AM PDT Press release about the Basel Committee on Banking Supervision publishing Basel III monitoring results Visit MoneyScience for the Complete Article.      |
| Posted: 14 Sep 2015 05:38 PM PDT We prove Feynman-Kac formulas for solutions to elliptic and parabolic boundary value and obstacle problems associated with a general Markov diffusion process. Our diffusion model covers several popular stochastic volatility models, such as the Heston model, the CEV model and the SABR model, which are widely used as asset pricing models in mathematical finance. The generator of this Markov process... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Optimal stopping times in jump processes. (arXiv:1509.04135v1 [math.OC]) Posted: 14 Sep 2015 05:38 PM PDT We derive the optimal investment decision in a project where both demand and investment costs are stochastic processes, eventually subject to shocks. We extend the approach used in \cite{Dixit:Pindyck:94}, chapter 6.5, to deal with two sources of uncertainty, but assuming that the underlying processes are no longer geometric Brownian diffusions but rather jump diffusion processes. For the... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Metals and Oil: A Tale of Two Commodities Posted: 14 Sep 2015 09:06 AM PDT By Rabah Arezki and Akito Matsumotoread more... Visit MoneyScience for the Complete Article.    |
| Posted: 14 Sep 2015 06:27 AM PDT    |
| Posted: 14 Sep 2015 06:20 AM PDT Devastating Barron's cover story on Alibaba predicts the stock will tank 50%, and that's not even the worst of it http://t.co/HmFln03gKD — moneyscience… Visit MoneyScience for the Complete Article.    |
| Near-Perfect Computer Security May Be Surprisingly Close Posted: 14 Sep 2015 06:20 AM PDT Near-Perfect Computer Security May Be Surprisingly Close http://t.co/tSD8MWtvoD — moneyscience (@moneyscience) September 14, 2015 Visit MoneyScience for the Complete Article.    |
| Posted: 13 Sep 2015 05:46 PM PDT In this work we are concerned with valuing optionalities associated to invest or to delay investment in a project when the available information provided to the manager comes from simulated data of cash flows under historical (or subjective) measure in a possibly incomplete market. Our approach is suitable also to incorporating subjective views from management or market experts and to stochastic... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The Product Life Cycle of Durable Goods. (arXiv:1109.0828v2 [stat.OT] UPDATED) Posted: 13 Sep 2015 05:46 PM PDT A dynamic model of the product lifecycle of (nearly) homogeneous durables in polypoly markets is established. It describes the concurrent evolution of the unit sales and price of durable goods. The theory is based on the idea that the sales dynamics is determined by a meeting process of demanded with supplied product units. Taking advantage from the Bass model for first purchase and a logistic... Visit MoneyScience for the Complete Article.    |
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