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Introduction to QuantLib Development with Luigi Ballabio - London, September 19-21st, 2016 - http://bit.ly/QuantLib-2016

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Quantitative Finance at arXiv wrote a new blog post titled On the monotone stability approach to BSDEs with jumps: Extensions, concrete criteria and examples. (arXiv:1607.06644v1 [math.PR])
We extend the monotone stability approach for backward stochastic differential equations (BSDEs) that are jointly driven by a Brownian motion and a random measure, which can be of infinite activity and time-inhomogeneous with non-deterministic compensator. The BSDE generator function can be non-convex and needs not to satisfy classical global Lipschitz conditions in the jump integrand. We contribute concrete criteria, that are easy to verify, and extended results for comparison and for existence and uniqueness of bounded solutions to BSDEs with jumps. The scope of results, applicability...
5 hours ago
Complexity Digest wrote a new blog post titled Defining synergy thermodynamically using quantitative measurements of entropy and free energy
Synergy is often defined as the creation of a whole that is greater than the sum of its parts. It is found at all levels of organization in physics, chemistry, biology, social sciences, and the arts. Synergy occurs in open irreversible thermodynamic systems making it difficult to quantify. Negative entropy or negentropy ( ) has been related to order and complexity, and so has work efficiency, information content, Gibbs Free Energy in equilibrium thermodynamics, and useful work efficiency in general ( ). To define synergy in thermodynamic terms, we use the quantitative estimates of changes in...
16 hours ago
The Reformed Broker wrote a new blog post titled This Week on TRB
These were the most read posts on the site this week, in case you missed it: ...
16 hours ago
Patrick Burns wrote a new blog post titled US market portrait 2016 week 30
US large cap market returns. Fine print The data are from Yahoo The S&P 500 stocks are used (as implied by Wikipedia on 2016 January 16) that still survive with the same symbol The initial post was “Replacing market indices” The R code is in marketportrait_funs.R — you are free to use these functions however you like
23 hours ago
Complexity Digest wrote a new blog post titled Peer review and competition in the Art Exhibition Game
Competition is an essential mechanism in increasing the effort and performance of human groups in real life. However, competition has side effects: it can be detrimental to creativity and reduce cooperation. We conducted an experiment called the Art Exhibition Game to investigate the effect of competitive incentives in environments where the quality of creative products and the amount of innovation allowed are decided through peer review. Our approach is general and can provide insights in domains such as clinical evaluations, scientific admissibility, and science funding. Our results show...
yesterday
Complexity Digest wrote a new blog post titled How Big Data Is Turning the World Into a Global Prison - and How to Change This
Talk took place at Lipari Summer School - Italy, June 2016 (see http://lipari.cs.unict.it/LipariSchool/ComplexSocialSystems/ )See it on Scoop.it, via Talks
yesterday
Complexity Digest wrote a new blog post titled Extended inclusive fitness theory: synergy and assortment drives the evolutionary dynamics in biology and economics  
W.D. Hamilton’s Inclusive Fitness Theory explains the conditions that favor the emergence and maintenance of social cooperation. Today we know that these include direct and indirect benefits an agent obtains by its actions, and through interactions with kin and with genetically unrelated individuals. That is, in addition to kin-selection, assortation or homophily, and social synergies drive the evolution of cooperation. An Extended Inclusive Fitness Theory (EIFT) synthesizes the natural selection forces acting on biological evolution and on human economic interactions by assuming that...
yesterday
Musings on Markets wrote a new blog post titled May you live in "exciting" times! An Updated Picture of Country Risk
About a year ago, I completed my first  update of a paper looking at all aspects of country risk, from political risk to default risk to equity risk, and wrote about my findings in three posts, one on how to incorporate risk in company value, the second on the pricing of country risk and the last one on decoding currencies. The twelve months since have been interesting, to say the least, and unsettling to many as markets were buffeted by crises. In August 2015, a month after my posts,...
2 days ago
The Reformed Broker wrote a new blog post titled Bezos Surpasses Buffett as World’s Second Richest Man
Warren Buffett bets on the continuation of the present into the future. He eschews investments based on innovation or dramatic change in favor of owning assets that reliably produce profits for their owners. Insurance, railroads, candy, ketchup. Jeff Bezos bets on the disruption of the present into the future. He eschews focusing on reliable profitability in......
3 days ago
Complexity Digest wrote a new blog post titled PhD scholarship: Fully automated controller synthesis for UAV missions (Munich, Germany)
Abstraction-based controller synthesis is a relatively recent approach whose key advantage over classical synthesis methods is that it permits to solve control problems for nonlinear continuous-state plants described by ordinary differential equations in a fully automated, correct-by-construction fashion, even for rather complex control objectives and in the presence of uncertainties and disturbances. The approach relies on finite-state approximations (``abstractions'') of continuous-state plants described by ordinary differential equations. These abstractions are used as substitutes of the...
3 days ago
Complexity Digest wrote a new blog post titled Smart Games: Serious educational games of complex systems 
Smart Games are serious educational computer games that allow to understand complex non-intuitive phenomena in social interactions, in economics and in biological evolution.  Support Kickstarter campaign:https://www.kickstarter.com/projects/738427800/smart-games See it on Scoop.it, via CxAnnouncements
3 days ago
Complexity Digest wrote a new blog post titled Exploring Discrete Dynamics, 2nd Edition
EXPLORING DISCRETE DYNAMICS (second edition) is a comprehensive guide to studying cellular automata and discrete dynamical networks with the classic software Discrete Dynamics Laboratory (DDLab), widely used in research and education. These collective networks are at the core of complexity and emergent self-organisation. With interactive graphics, DDLab is able to explore a huge diversity of behaviour, mostly terra incognita -- space-time patterns, and basins of attraction -- mathematical objects representing the convergent flow in state-space....
3 days ago
Complexity Digest wrote a new blog post titled Molecular networks, the rise of networks of networks - ICSB 2016. Barcelona
This special session focuses on the network inspired approaches to analysis and integration ofthe massive data sets now prevalent in the life sciences. It introduces new approaches andsolutions to the Big Data problem, and presents new techniques in the field of graph theory forhandling and processing challenging large data sets. By discussing cutting-edge problems andtechniques, the session offers researchers from a wide range of fields a unique opportunity to gainan insight on the status and perspectives of exploiting big heterogonous data in the life-sciencesthrough concept of...
3 days ago
Musings on Markets wrote a new blog post titled May you live in "exciting" times! An Updated Picture of Country Risk
About a year ago, I completed my first  update of a paper looking at all aspects of country risk, from political risk to default risk to equity risk, and wrote about my findings in three posts, one on how to incorporate risk in company value, the second on the pricing of country risk and the last one on decoding currencies. The twelve months since have been interesting, to say the least, and unsettling to many as markets were buffeted by crises. In August 2015, a month after my posts,...
3 days ago
The Reformed Broker wrote a new blog post titled “When the crisis is invented, the solution is simpler.”
What the media and the political commentariat has missed this entire time...
3 days ago
Quantitative Finance at arXiv wrote a new blog post titled Dimension Reduction in Statistical Estimation of Partially Observed Multiscale Processes. (arXiv:1607.06158v1 [math.PR])
We consider partially observed multiscale diffusion models that are specified up to an unknown vector parameter. We establish for a very general class of test functions that the filter of the original model converges to a filter of reduced dimension. Then, this result is used to justify statistical estimation for the unknown parameters of interest based on the model of reduced dimension but using the original available data. This allows to learn the unknown parameters of interest while working in lower dimensions, as opposed to working with the original high dimensional system. Simulation...
3 days ago
Quantitative Finance at arXiv wrote a new blog post titled Indirect Inference With(Out) Constraints. (arXiv:1607.06163v1 [math.ST])
The traditional implementation of Indirect Inference (I-I) is to perform inference on structural parameters $\theta$ by matching observed and simulated auxiliary statistics. These auxiliary statistics are consistent estimators of instrumental parameters whose value depends on the value of structural parameters through a binding function. Since instrumental parameters encapsulate the statistical information used for inference about the structural parameters, it sounds paradoxical to constrain these parameters, that is, to restrain the information used for inference. However, there are...
3 days ago
Quantitative Finance at arXiv wrote a new blog post titled Effects of Sea Level Rise on Economy of the United States. (arXiv:1607.06247v1 [q-fin.EC])
We report the first ex post study of the economic impact of sea level rise. We apply two econometric approaches to estimate the past effects of sea level rise on the economy of the USA, viz. Barro type growth regressions adjusted for spatial patterns and a matching estimator. Unit of analysis is 3063 counties of the USA. We fit growth regressions for 13 time periods and we estimated numerous varieties and robustness tests for both growth regressions and matching estimator. Although there is some evidence that sea level rise has a positive effect on economic growth, in most specifications the...
3 days ago
Quantitative Finance at arXiv wrote a new blog post titled Systemic Risk and Stochastic Games with Delay. (arXiv:1607.06373v1 [q-fin.MF])
We propose a model of inter-bank lending and borrowing which takes into account clearing debt obligations. The evolution of log-monetary reserves of $N$ banks is described by coupled diffusions driven by controls with delay in their drifts. Banks are minimizing their finite-horizon objective functions which take into account a quadratic cost for lending or borrowing and a linear incentive to borrow if the reserve is low or lend if the reserve is high relative to the average capitalization of the system. As such, our problem is an $N$-player linear-quadratic stochastic differential game with...
3 days ago