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GPUs, Monte Carlo Simulation and Kooderive with Professor Mark Joshi - February 25-27th, London, UK - Further Information

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FINalternatives wrote a new blog post titled Carlyle, Warburg Pincus Buy Canadian Ratings Agency
U.S. private equity firms Carlyle Group and Warburg Pincus are set to acquire Canadian ratings agency DBRS. read more
15 minutes ago
FINalternatives wrote a new blog post titled Hedge Funds Shed 0.8% In Week To Dec.17
Hedge funds were down 0.8% for the week ending December 17th, according to the Bank of America Merrill Lynch diversified composite index. read more
25 minutes ago
FINalternatives wrote a new blog post titled U.S. PE Firm Waves White Flag In London Property Dispute
An American private equity firm has surrendered in a battle with London tenants. read more
46 minutes ago
The Reformed Broker wrote a new blog post titled This Changes Everything for Biotech
My friend Adam Feuerstein is out with a highly provocative piece on TheStreet.com today about a new deal that could potentially change the entire drug pricing dynamic for the biotech sector… The exclusive hepatitis C pharmacy deal struck between Express Scripts (ESRX) and AbbVie (ABBV) is a serious, perhaps permanent, blow to the multi-year biotech......
an hour ago
FINalternatives wrote a new blog post titled Ex-TPG Japan Head Launches Own Firm
Jun Tsusaka, TPG Capital’s former Japan head, is flying solo. read more
2 hours ago
The Reformed Broker wrote a new blog post titled Hot Links: Slam Dunk
What I'm reading this morning ...
2 hours ago
FINalternatives wrote a new blog post titled MBTA Pension Admits To Hedge Fund Problems
The Boston transit workers' pension fund delayed reporting problems with a $10 million investment in a now-defunct hedge fund. read more
2 hours ago
Robert Peston Blog wrote a new blog post titled Where will the oil price settle?
You may have noticed (on the Today Prog's "Editors Mastermind" this morning) that my memory of my own scribblings is by no means impeccable. Which rather begs the question why you should bother to read on. But - and please don't hesitate to correct me if I am wrong about this as well - I don't pretend to be delivering Mosaic tablets. I aspire to the composition of digital chip wrapping (pun intended). So here we go, with a few hazy and random reflections about oil, based on assorted conversations with...
2 hours ago
The Bank for International Settlements wrote a new blog post titled 22Dec/Revisions to the Standardised Approach for credit risk: Basel Committee issues consultative document
Press release about the Basel Committee releasing revisions to the standardised approach for credit risk (22 December 2014).
5 hours ago
The Bank for International Settlements wrote a new blog post titled 22Dec/Basel Committee consults on capital floors
Press release about the Basel Committee releasing a consultative paper on the design of a capital floor framework based on standardised, non-internal modelled approaches (22 December 2014).
5 hours ago
FINalternatives wrote a new blog post titled BlackRock Alumnus To Launch Asia Quant Fund
BlackRock Inc., Macquarie Group Ltd. and Millennium Capital Management former employees are planning a Hong Kong-based hedge fund which will use computer models to spot trading opportunities in 13 Asian stock markets. read more
5 hours ago
FINalternatives wrote a new blog post titled Meredith Whitney’s Hedge Fund Hits The Rocks
Meredith Whitney, who started a hedge fund after becoming one of Wall Street’s most famous analysts, has found it harder to bet on stocks than scrutinize them. read more
5 hours ago
The Financial Services Club wrote a new blog post titled Things worth reading: 22nd December 2014
Things we're reading today include ... Chthonic: The Dangerous ZeuS Trojan Attacking You Via Your Bank Bank Of England Could Hike Interest Rates In 2015, Should You Worry? Russia's Largest Bank Warns Of A 'Full-Scale Banking Crisis' Russian Credit Crunch Taking Hold as Interbank Rates Soar Bank Bailouts Approach a Final Reckoning China Eases Restrictions on Foreign Bank Branch Openings Whistleblower payouts approach $170 million in Bank of America case Senior City staff expect 21% bigger bonus Barclays limits potential Asia clients Gadget insurance complaints rise China eases...
6 hours ago
Tales from a Trading Desk wrote a new blog post titled Apache Kafka – Multi Asset Class Usage
InfoQ has an old, but relevant article on Kafka usage in financial services – specifically S&P Capital IQ.  Interesting comparisons to RabbitMQ and ActiveMQ.  “Real-Time Stream Processing as Game Changer in a Big Data World with Hadoop and Data Warehouse” is also worth a read.
6 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Nonlinear GARCH model and 1/f noise. (arXiv:1412.6244v1 [q-fin.ST])
Auto-regressive conditionally heteroskedastic (ARCH) family models are still used, by practitioners in business and economic policy making, as a conditional volatility forecasting models. Furthermore ARCH models still are attracting an interest of the researchers. In this contribution we consider the well known GARCH(1,1) process and its nonlinear modifications, reminiscent of NGARCH model. We investigate the possibility to reproduce power law statistics, probability density function and power spectral density, using ARCH family models. For this purpose we derive stochastic differential...
14 hours ago
Quantitative Finance at arXiv wrote a new blog post titled Dynamic Conic Finance via Backward Stochastic Difference Equations. (arXiv:1412.6459v1 [q-fin.PR])
We present an arbitrage free theoretical framework for modeling bid and ask prices of dividend paying securities in a discrete time setup using theory of dynamic acceptability indices. In the first part of the paper we develop the theory of dynamic subscale invariant performance measures, on a general probability space, and discrete time setup. We prove a representation theorem of such measures in terms of a family of dynamic convex risk measures, and provide a representation of dynamic risk measures in terms of g-expectations, and solutions of BS$\Delta$Es with convex drivers. We study the...
14 hours ago
All About Alpha wrote a new blog post titled Longevity Risk: Wary of Your 2015, and of Somebody Else’s Life Span?
The new survey from Natixis tells us that a lot of asset-managing institutions think their industry as a whole has been quite slow about moving in the direction of liability-driven investment strategies. Also, more than half believe traditional assets are too correlated to provide them with the diversification they need.
15 hours ago