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All site blogs

Incorporating a Volatility Smile into the Markov-Functional Model. (arXiv:1404.6120v1 [q-fin.MF])

April 24, 2014 by Quantitative Finance at arXiv   Comments (0)

We study a Markov-Functional (MF) interest-rate model with Uncertain
Volatility Displaced Diffusion (UVDD) digital mapping, which is consistent with
the volatility-smile phenomenon observed in the option market. We first check
the impact of pricing Bermudan swaptions by the model. Next, we also
investigate the future smiles implied by the MF models and the smile dynamics
implied by the UVDD model. Finally, we conduct hedging simulations against
Bermudan swaptions to test extensively the hedge...

A Multi-Entity Input Output (MEIO) Approach to Sustainability - Water-Energy-GHG (WEG) Footprint Statements in Use Cases from Auto and Telco Industries. (arXiv:1404.6227v1 [q-fin.GN])

April 24, 2014 by Quantitative Finance at arXiv   Comments (0)

A new Input-Output model, called the Multi-Entity Input-Output (MEIO) model,
is introduced to estimate the responsibility of entities of an ecosystem on the
footprint of each other. It assumed that the ecosystem is comprised of end
users, service providers, and utilities. The proposed MEIO modeling approach
can be seen as a realization of the Everybody-in-the-Loop (EitL) framework,
which promotes a sustainable future using behaviors and actions that are aware
of their ubiquitous...

A model of financial contagion with variable asset returns may be replaced with a simple threshold model of cascades. (arXiv:1312.6804v2 [q-fin.RM] UPDATED)

April 24, 2014 by Quantitative Finance at arXiv   Comments (0)

I show the equivalence between a model of financial contagion and the
threshold model of global cascades proposed by Watts (2002). The model
financial network comprises banks that hold risky external assets as well as
interbank assets. It is shown that a simple threshold model can replicate the
size and the frequency of financial contagion without using information about
individual balance sheets. Keywords: financial network, cascades, financial
contagion, systemic risk.

Can an Alternative Strategy Investor Know the Valuation Given is Correct?

April 24, 2014 by Eze Castle Integration   Comments (0)

The following article is part of our Emerging Managers Insight Article Series and was contributed by Wells Fargo Global Fund Services. Read more articles from the Series HERE. Traditionally, for most investors, the main concern when investing in a hedge or private equity fund was whether the manager could generate a sufficient level of return for an acceptable level of investment risk. But operational matters have increased in importance and operational due diligence has now evolved to the...

Uncovering the structure and temporal dynamics of information propagation

April 24, 2014 by Complexity Digest   Comments (0)

Time plays an essential role in the diffusion of information, influence, and disease over networks. In many cases we can only observe when a node is activated by a contagion—when a node learns about a piece of information, makes a decision, adopts a new behavior, or becomes infected with a disease. However, the underlying network connectivity and transmission rates between nodes are unknown. Inferring the underlying diffusion dynamics is important because it leads to new insights and...

New Peak Hires Morgan Stanley Sales Exec.

April 24, 2014 by FINalternatives   Comments (0)

Hedge fund New Peak Capital Partners has tapped a Morgan Stanley sales executive to lead its business development efforts. read more

'No plan B for Scots yes vote'

April 24, 2014 by Robert Peston Blog   Comments (0)

Call me naïve, but I thought the government would be making contingency plans for the possibility that the Scots vote for independence. Perhaps we should now call this more than a possibility, given that opinion polls show momentum behind the independence campaign. The so-called "Better Together" campaign still has the edge, but seemingly not much of an advantage any longer....

Apple, Facebook, Caterpillar Earnings

April 24, 2014 by The Reformed Broker   Comments (0)

Not much else to discuss this morning other than the slew of earnings reports hitting left and right. Also, it’s bring your child to work […]

Einhorn Letter: Sunshine and the New Tech Bubble

April 24, 2014 by All About Alpha   Comments (0)

Einhorn explained to his investors his view that the markets are engaged in a new tech bubble, an echo of the infamous dotcom bubble of the 1990s. Accordingly, he says, Greenlight has created a basket of bubble stocks worth shorting.