Tuesday, April 7, 2015

MoneyScience News

MoneyScience News


Published / Preprint: Application of Operator Splitting Methods in Finance. (arXiv:1504.01022v1 [q-fin.CP])

Posted: 06 Apr 2015 05:36 PM PDT

Financial derivatives pricing aims to find the fair value of a financial contract on an underlying asset. Here we consider option pricing in the partial differential equations framework. The contemporary models lead to one-dimensional or multidimensional parabolic problems of the convection-diffusion type and generalizations thereof. An overview of various operator splitting methods is presented...

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Published / Preprint: Diversity-Weighted Portfolios with Negative Parameter. (arXiv:1504.01026v1 [q-fin.MF])

Posted: 06 Apr 2015 05:36 PM PDT

We analyze a negative-parameter variant of the diversity-weighted portfolio studied by Fernholz, Karatzas, and Kardaras (Finance Stoch 9(1):1-27, 2005), which invests in each company a fraction of wealth inversely proportional to the company's market weight (the ratio of its capitalization to that of the entire market). We show that this strategy outperforms the market with probability one, under...

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Published / Preprint: Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting. (arXiv:1504.01150v1 [math.PR])

Posted: 06 Apr 2015 05:36 PM PDT

We study the existence of a minimal supersolution for backward stochastic differential equations when the terminal data can take the value +$\infty$ with positive probability. We deal with equations on a general filtered probability space and with generators satisfying a general monotonicity assumption. With this minimal supersolution we then solve an optimal stochastic control...

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Published / Preprint: The Uniqueness of Equilibrium for Time-Inconsistent Stochastic Linear--Quadratic Control. (arXiv:1504.01152v1 [q-fin.PM])

Posted: 06 Apr 2015 05:36 PM PDT

We prove the uniqueness of an equilibrium solution to a general time-inconsistent LQ control problem under mild conditions which ensure the existence of a solution. This is the first positive result on the uniqueness of the solution to a time inconsistent dynamic decision problem in continuous-time setting. Key words. time-inconsistency, stochastic linear-quadratic control, uniqueness of...

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Blog Post: iMFdirect: The Promise of Islamic Finance: Further Inclusion with Stability

Posted: 06 Apr 2015 07:36 AM PDT

By Mohamed Norat, Marco Pinon and Zeine Zeidaneread more...

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Blog Post: TheFinancialServicesClub: The Finanser's Week: 23rd March 2015 ' 5th April 2015

Posted: 05 Apr 2015 09:36 PM PDT

Our biggest stories of the past week are ...read more...

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Saturday, April 4, 2015

Women's Views on News

Women's Views on News


Stormont still ignoring women

Posted: 03 Apr 2015 05:21 AM PDT

Stormont House Agreement, NI, ignoring women's rightsWhat does the Stormont House Agreement mean for women in Northern Ireland?

By Goretti Horgan.

The Stormont House Agreement ended a political crisis, but it brings women no closer to economic equality or equal participation in building a sustainable peace.

The Stormont House Agreement (SHA) was intended to augment Northern Ireland's earlier peace agreements, contending with unresolved issues relating to the legacy of the Troubles, as well as other sources of political contestation, including the devolution of Corporation Tax and welfare reform.

The all-party talks that led to the agreement were billed as a resumption of the 2013 failed Haass-O'Sullivan talks, which had sought to deal with issues around the past as well as flags, emblems and parades. The intervening year had seen the Northern Ireland Assembly come close to collapse, so there was some relief when agreement was reached in December of last year.

As this series has sought to explore, central to the 1998 Good Friday Agreement was the commitment to address gender inequalities in Northern Irish society, including women's right to "full and equal political participation" – a commitment which has yet to be fulfilled.

Yet there is nothing in the Stormont House Agreement to suggest progress towards this promise.

Quite the opposite; the deal contains much that will impede such progress. It has two main elements: austerity measures and dealing with the past. The impact of both elements on women was not acknowledged, but each should be greeted with alarm by advocates of women's rights.

UN Security Council Resolution 1325 [UNSCR 1325] formally acknowledges women's right to participate in all aspects of conflict prevention and resolution, post conflict reconstruction and peacebuilding.

In December 2013, at the Stormont Parliament Buildings, an 'Inquiry into the Actions and Level of Implementation of UNSCR 1325 Women, Peace and Security for Women in Northern Ireland since the Peace Process' was held.

The inquiry took into account a broad range of issues, including the impact of the conflict on women's continuing economic inequality in Northern Ireland; the fate of women's groups; the level of implementation of the Good Friday Agreement's commitment to the 'full and equal political participation of women', and the rights of women victims of the conflict.

In relation to each of these issues, the SHA offers no progress.

Indeed, the one and only time women are mentioned in the fourteen pages of the Agreement is in relation to "outstanding commitments" where there is a passing nod towards the Bill of Rights and other equality issues, including the "advancement of women in public life".

Empty purses

The austerity measures contained in the first two pages of the SHA will impact on women to a disproportionate extent and will act to prevent their "full and equal political participation". The extension of welfare reform, even with the temporary supplementary payments to ease the impact of cuts, will make many women's lives more difficult.

One of the worrying elements of Universal Credit is the single household payment which is to go routinely to one member of the household. Even in the most equal household, this payment to one person will represent a loss of independent income for women.

Universal Credit (UC) changes could mark the start of a return to a 'male breadwinner' model in couple households.

Universal Credit aims to "make work pay" through a system of earnings disregards and a tapering of withdrawal of benefits as earnings rise. However, this help towards making work pay is available to only one person in a couple household and the income of a second low paid worker will be taxed at a very high marginal rate.

While this improves the incentive for one person in a couple household to move into employment, it may be a disincentive to second earners (mainly women) entering or continuing to work.

A report for the Scottish Executive warned that such second earners could lose up to 4.5 per cent of net income.

The loss is likely to be even more in Northern Ireland where childcare is the most expensive in the UK, outside London. This comes on top of the disproportionate hit that women have already taken through the years of austerity, causing women in Northern Ireland to establish the "empty purse" campaign.

But it is the cuts to benefits that are being introduced as part of welfare reform that will have the most devastating effects on women.

Women manage family poverty, which means they do most of the worrying when ends simply won't meet. And women with large families are most at risk of being in severe and persistent poverty. Yet, it appears, the SHA accepts the imposition of a benefit cap on households.

While in London the cap has affected those claiming Housing Benefit, in Northern Ireland where housing costs are lower, 470 families with more than four children will be hit by the cap.

So, in a region where abortion is not available and there is no childcare strategy, a woman faced with a fifth or subsequent pregnancy will know that she will not receive a brass farthing towards the upkeep of that child, should she and her partner lose their jobs.

The Welfare Reform Bill, which had passed all but the final stages in the Assembly during February, was withdrawn suddenly after one of the government parties, Sinn Fein, withdrew support for it on 9th March. The party was concerned that they had agreed to an inadequate level of funding for the proposed system of 'top-ups' to help those hit hardest by welfare reform.

It is unclear when the Bill will return to the Assembly but it is unlikely to be before the Westminster General Election.

Austerity and the legacy of conflict

A report for the Commission for Victims and Survivors found that four out of ten people in the region have suffered Post Traumatic Stress Disorder (PTSD) because of the conflict. PTSD exacerbates all forms of mental ill-health.

For women who are trying to manage poverty on a day-to-day basis, such daily stress exacerbates both their PTSD and other illnesses. Yet many of those victims of the conflict, now struggling with mental illness, are likely to lose up to £5,000 a year as a result of welfare reform. This is because the Personal Independence Payment, which is to replace Disability Living Allowance, is designed to cut by one fifth the numbers who receive this benefit.

Modelling by the Stormont Department that oversees welfare reform suggests that a quarter of those currently receiving DLA will not receive PIP while a further third will see their benefit reduced, with those receiving DLA for reasons of mental ill-health most likely to be cut.

The 2013 concluding observations of the CEDAW committee recognised this in its concerns that "the austerity measures introduced by the State party have resulted in serious cuts in funding for organisations providing social services to women…[and] have had a negative impact on women with disabilities and older women."

The Committee "is further concerned that budgetary cuts in the public sector, disproportionately affect women, due to their concentration in this sector".

The provision in the SHA for 20,000 public sector jobs to be cut will be a big blow to young women studying today in the hope of getting a decent job in the future. While the redundancies are 'voluntary', the 20,000 jobs will be gone for ever.

Women make up 65 per cent of the public sector workforce, which provides the best quality work for women; the gender pay gap for full time employees is half that in the private sector. Family-friendly policies are more available in the public sector. Even if jobs become available in the private sector for women, it is unlikely they will match the pay and conditions of the jobs lost. This would result in a widening of the overall gender pay gap and worsening levels of female poverty.

In relation to dealing with the past, pressure from victims did lead the Stormont administration to establish an Historical Abuse Inquiry to "examine if the institutions or the state failed in their duties towards children under 18 in their residential care and if failings were systemic".

However, the Inquiry does not include examination of the abuse suffered by women of 18 and over in the Magdalene Laundries or Mother and Baby Homes. An estimated 30,000 women were confined in these institutions, run ostensibly to house what the institutions termed "fallen women".

Amnesty International has urged the Northern Ireland executive to launch a "thorough and effective investigation into allegations of abuse suffered within these institutions", including inhumane and degrading treatment, arbitrary deprivation of liberty and forced labour.

Despite lobbying by the women's sector, the SHA failed to deal with the abuse of women in the Inquiry. The parties were evidently unwilling to include any suggestion that the past might be gendered.

The fact that the word "women" appears only once in the Stormont House Agreement does not mean that it will not have a huge impact on the women of Northern Ireland. Unfortunately, it will be overwhelmingly a negative impact.

The theme of this year's International Women's Day events in Belfast was "no peace without women". The peace process had promised women full and equal participation in building a new Northern Ireland society. The Stormont House Agreement suggests this promise has been forgotten.

Goretti Horgan is a lecturer in social policy at the University of Ulster. A version of this article appeared in openDemocracy on 30 March 2015 with the title What does the Stormont House Agreement mean for women in Northern Ireland?

Friday, April 3, 2015

MoneyScience News

MoneyScience News


Published / Preprint: A Market Model for VIX Futures. (arXiv:1504.00428v1 [q-fin.MF])

Posted: 02 Apr 2015 05:36 PM PDT

A new modelling approach that directly prescribes dynamics to the term structure of VIX futures is proposed in this paper. The approach is motivated by the tractability enjoyed by models that directly prescribe dynamics to the VIX, practices observed in interest-rate modelling, and the desire to develop a platform to better understand VIX option implied volatilities. The main contribution of the...

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Published / Preprint: A Markov model of a limit order book: thresholds, recurrence, and trading strategies. (arXiv:1504.00579v1 [q-fin.TR])

Posted: 02 Apr 2015 05:36 PM PDT

We formulate an analytically tractable model of a limit order book on short time scales, where the dynamics are driven by stochastic fluctuations between supply and demand, and order cancellation is not a prominent feature. We establish the existence of a limiting distribution for the highest bid, and for the lowest ask, where the limiting distributions are confined between two thresholds. We...

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Published / Preprint: Remark on the Paper "Entropic Value-at-Risk: A New Coherent Risk Measure" by Amir Ahmadi-Javid, J. Opt. Theory and Appl., 155 (2001),1105--1123. (arXiv:1504.00640v1 [math.PR])

Posted: 02 Apr 2015 05:36 PM PDT

The paper mentioned in the title introduces the entropic value at risk. I give some extra comments and using the general theory make a relation with some commonotone risk measures.

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Blog Post: ThePracticalQuant: A real-time processing revival

Posted: 02 Apr 2015 10:56 AM PDT

[A version of this post appears on the O'Reilly Radar blog.]Things are moving fast in the stream processing world.There’s renewed interest in stream processing and analytics. I write this based on some data points (attendance in webcasts and conference sessions; a recent meetup), and many conversations with technologists, startup founders, and investors. Certainly, applications are driving this...

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Blog Post: iMFdirect: Contours of Macroeconomic Policy in the Future

Posted: 02 Apr 2015 07:16 AM PDT

By Olivier Blanchardread more...

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Phys.Org Mobile: Quantum teleportation on a chip

Posted: 02 Apr 2015 04:19 AM PDT

Quantum teleportation on a chip http://t.co/iCRXnNOGab — moneyscience (@moneyscience) April 1, 2015

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Blog Post: TheFinancialServicesClub: The billion dollar fraud and how deep learning might avoid it

Posted: 02 Apr 2015 02:56 AM PDT

Banks are being hacked all the time.  According to various statistics, banks get over a million cyberattacks a year, and protecting the bank from breach is getting harder and harder.  This was well illustrated by the Kapersky report of a cybercrime group in February gaining access to over $1 billion in two years by targeting over 100 banks in 30 countries. read more...

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Women's Views on News

Women's Views on News


Questions for the Labour Party regarding porn

Posted: 02 Apr 2015 10:42 AM PDT

simon danczuk, man of the world, pornography, children, UK, labour party , open letter, Child's Eye LineLabour MP for Rochdale, Simon Danczuk, recently commented that he watches porn as he is a "man of the world".

Here are some questions Child's Eye Line UK would like to put to the Labour Party.

The NSPCC has recently released figures that one in five children think viewing pornography is normal and 10 per cent of 12 year-olds are addicted to pornography.

Do you think that recent comments by Simon Danczuk MP that he views porn and it is "part of modern life" go some way towards normalising pornography and making it more likely for children to be exposed to it?

Given that The Children's Commissioner's report 2013 ("Basically, porn is everywhere") concludes that "exposure to sexualised imagery is damaging to children's psychological and sexual development, their relationships and their self-esteem and makes risky sexual behaviour more likely" and that children are "more accepting of violence against women if they are exposed to sexualised imagery," should the Labour Party not be more concerned about the normalisation of porn in our society?

88 per cent of the most popular pornography involves violence against women and girls (Bridges A.J. et al 2010). With 85,000 rapes and 450,000 sexual assaults reported in the UK every year (Home Office data), and 1 in 3 women experiencing sexual or domestic violence (the biggest demographic for domestic violence is teenage girls) is pornography something a public servant should shrug off as "part of modern life"?

Research presented to the Lords and Commons Group for the Protection of Children and Families by Professor Kevin Browne (professor of forensic psychology at the University of Nottingham) found that young people are more accepting of violence against women and girls if they are exposed to sexually objectified images of women. "The first step in accepting and perpetrating violence against women is to view women as dehumanized sex objects." (Browne, 2014).

Should the Labour Party just accept pornography as "part of modern life"?

The NSPCC reported a 65 per cent increase in 2014 from boys calling ChildLine who are traumatised by the violent porn they have viewed online.

Claire Lilley, policy advisor at the NSPCC, speaking about the rise in child on child sexual violence, said: "In some cases older children are attacking younger ones and in other cases it's sexual violence within a teenage relationship.

"We know that easy access to sexual material is warping young people's views of what is 'normal' or acceptable behaviour."

The NSPCC reports that 75 per cent of teenage girls experience emotional violence in their relationships, 25 per cent experience actual physical violence and 1 in 4 young people in the UK think that violence in a relationship is "sometimes appropriate" (it never is).

In the light of this data, should the Labour party not take the issue of pornography more seriously?

Online pornography is well known for its strong links to misogyny, sexual objectification and often serves as an actual record of harm and exploitation.

There is no way of knowing if the women and girls featured in porn are consenting, trafficked or are being drugged or abused.

Is the Labour Party concerned about the real human beings in the pornography itself, as well as the consumers, or is it prepared to only quote the muliti-billion pound porn industry's carefully chosen spokespeople?

Should the Labour Party's concerns about the porn industry and its links to global sexual exploitation, trafficking and prostitution be referenced whenever the Labour Party discusses the subject of pornography?

Should the Labour Party just accept pornography as "part of modern life"?

Women, suicide and the UK government

Posted: 02 Apr 2015 08:58 AM PDT

suicide rates, UK, women‘New scoring system now deliberately makes it harder for women to qualify for support group than for men.’

The Femicide Census posted recently does not include details of the victims of abuse who kill themselves.

So, just as Karen Ingala Smith took on naming women killed by their partners or exes by Counting Dead Women, Karen Blatchford has set out to collate information about and the names of women who have comitted suicide.

Ten women a week die by suicide attributed to domestic violence, Blatchford says on her Twitter account @10womenaweek, and rape victims are 13 times more likely to attempt suicide.

And, she posts, women showing symptoms of Post-Natal Depression are 3 times more likely to have experienced domestic violence in their lifetime.

A UK study found 60 per cent of women with an eating disorder had a lifetime experience of domestic violence, she reports, and 25 per cent had experienced domestic violence in the last year.

In England and Wales, suicide is the leading cause of death for women aged 20 to 34 and the third leading cause for women aged 35 to 49.

And 34 per cent of registered female suicides can be attributed to intimate partner violence. Taking 2013 figures, that is 468 deaths from a total of 1,375.

Alongside that, 1 in 3 female psychiatric patients (whether inpatient or outpatient) has experienced domestic violence during her lifetime.

The government's second annual suicide prevention report summarised the latest trends, research and developments on suicide prevention in England.

The report, which was released last month, calls on services to be more ambitious about suicide prevention, and challenge the assumption that suicide is inevitable.

It highlights 3 areas in England that have already adopted a zero suicide ambition and outlines how services can improve by adopting this new attitude and effective interventions.

Madeleine Moon chaired the government’s all-party parliamentary group (APPG) for suicide and self-harm prevention.

Speaking just before the report was released, she said an APPG survey of local authorities in England found that about 30 per cent do not have a suicide prevention action plan, about 40 per cent do not have a multi-agency suicide prevention group and roughly 30 per cent do not collect local suicide data.

The APPG is calling on Public Health England to use its 15 local centres nationwide to support public health teams in areas where its survey shows the national strategy is not being fully implemented.

Parallel to this, in a written parliamentary answer, Lord Freud has confirmed a recent revelation by the website  Benefits and Work that it has now been deliberately made harder for women claimants to qualify for the support group of employment and support allowance (ESA).

Lord Freud is a Conservative member of the House of Lords and Parliamentary Under Secretary of State  and Minister for Welfare Reform.

Following a parliamentary question from the – crossbench – Countess of Mar 'To ask Her Majesty's Government whether the scoring for Work Capability Assessment applicants with mental health problems has been loaded to make it more difficult for women to qualify for the support group than it is for men; and, if so, why', Lord Freud's reply was: "The criteria for eligibility for the support group in Employment and Support Allowance remains the same for men and women.

"The updated guidance for healthcare professionals on the assessment of risk in claimants with a Mental Health condition was developed with input from senior psychiatrists.

"It differentiates between men and women in relation to suicide risk because the suicide rate in men is significantly higher than in women.

"The guidance makes clear that the assessment of risk needs to focus both on the claimant's health and whether the claimant could cope with work-related activity."

In their newsletter, Benefits and Work warned readers that: '… a new scoring system has been created to decide if claimants with mental health issues can get into the support group because of a risk of harm to themselves or someone else.

'The system has been deliberately designed to make it more difficult for women to qualify than men.'

The 'substantial risk' regulations are now one of the most important ways of getting into a support group.

According to Dr Paul Litchfield, the independent reviewer of the Work Capability Assessment (WCA),  38 per cent of all new support group entries are on 'substantial risk' grounds. Two thirds of these are decided on papers alone, without the need for a medical assessment.

The regulations apply where a claimant has not qualified for the support group, but where it is then decided that there would be a substantial risk to the claimant or to someone else unless they are found to be incapable of work-related activity.

But until now there has been no difference in how men and women were assessed.

However, Benefits and Work revealed that the new scoring system now deliberately makes it harder for women to qualify for the support group than for men.

For example, a man with a diagnosis of depression and a history of deliberate self-harm who is unemployed – generally the case for ESA claimants – will be eligible for the support group, according to the guidance.

But a woman in the same situation will not be eligible for the support group. Instead, she will have to also show that an additional factor – such as being homeless or divorced – applies to her.

Figures released by the Office for National Statistics (ONS) recently showed that suicide rates are now at their highest in over a decade and most of the increase is amongst men. Organisations such as Mind are linking the rise to benefits cuts.

And many people would question whether a difference in suicide rates is sufficient to justify different treatment for men and women in relation to claiming benefits.

If you have problems and want someone to talk to, you can contact The Samaritans. You can call them on 08457 90 90 90.