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

All site blogs

Recombining binomial tree for constant elasticity of variance process. (arXiv:1410.5955v1 [q-fin.CP])

October 22, 2014 by Quantitative Finance at arXiv   Comments (0)

The theme in this paper is the recombining binomial tree to price American
put option when the underlying stock follows constant elasticity of
variance(CEV) process. Recombining nodes of binomial tree are decided from
finite difference scheme to emulate CEV process and the tree has a linear
complexity. Also it is derived from the differential equation the asymptotic
envelope of the boundary of tree. Conducting numerical experiments, we confirm
the convergence and accuracy of the pricing by our...

Log-Optimal Portfolio Selection Using the Blackwell Approachability Theorem. (arXiv:1410.5996v1 [cs.AI])

October 22, 2014 by Quantitative Finance at arXiv   Comments (0)

We present a method for constructing the log-optimal portfolio using the
well-calibrated forecasts of market values. Dawid's notion of calibration and
the Blackwell approachability theorem are used for computing well-calibrated
forecasts. We select a portfolio using this "artificial" probability
distribution of market values. Our portfolio performs asymptotically at least
as well as any stationary portfolio that redistribute the investment at each
round using a continuous function of side...

The non-linear trade-off between return and risk: a regime-switching multi-factor framework. (arXiv:1410.6005v1 [q-fin.ST])

October 22, 2014 by Quantitative Finance at arXiv   Comments (0)

This study develops a multi-factor framework where not only market risk is
considered but also potential changes in the investment opportunity set.
Although previous studies find no clear evidence about a positive and
significant relation between return and risk, favourable evidence can be
obtained if a non-linear relation is pursued. The positive and significant
risk-return trade-off is essentially observed during low volatility periods.
However, this relationship is not obtained during...

Is mathematics able to give insight into current questions in finance, economics and politics?. (arXiv:1410.6084v1 [q-fin.EC])

October 22, 2014 by Quantitative Finance at arXiv   Comments (0)

Democrats in the US say that taxes can be used to "grease the wheels" of the
economy and create wealth enough to recover taxes and thereby increase
employment; the Republicans say that taxation discourages investment and so
increases unemployment. These arguments cannot both be correct, but both
arguments seem meritorious. Faced with this paradox, one might hope that a
rigorous mathematical approach might help determine which is the truth.

Stability and analytic expansions of local solutions of systems of quadratic BSDEs with applications to a price impact model. (arXiv:1410.6144v1 [q-fin.MF])

October 22, 2014 by Quantitative Finance at arXiv   Comments (0)

We obtain stability estimates and derive analytic expansions for local
solutions of multi-dimensional quadratic BSDEs. We apply these results to a
financial model where the prices of risky assets are quoted by a representative
dealer in such a way that it is optimal to meet an exogenous demand. We show
that the prices are stable under the demand process and derive their analytic
expansions for small risk aversion coefficients of the dealer.

Pricing of European Basket Call Option under Exponential Ornstein-Uhlenbeck Process. (arXiv:1410.6150v1 [q-fin.PR])

October 22, 2014 by Quantitative Finance at arXiv   Comments (0)

Pricing of European basket call option with n-assets and a bond is discussed
in this paper, where all prices of n-assets and the bond are driven by
Exponential Ornstein-Uhlenbeck processes. The close-form of European basket
option pricing formula is derived. Utilizing with 1-order differential
approximate numerical solution of stochastic differential equation (Milstein
method), a simulation example of European basket option pricing with 3 assets
is also given.

November Vote: Do the Swiss Believe in Gold?

October 22, 2014 by All About Alpha   Comments (0)

The Swiss National Bank and the government oppose a pending referendum that would drastically change the country's policy on gold. But of course the anti-establishment nature of the petition is the whole point.

Parametric Promotes Seto To Head Of Investments

October 22, 2014 by FINalternatives   Comments (0)

Eaton Vance subsidiary Parametric has named fund manager Thomas Seto as its new head of investments. read more

Hedge Funds To Okay Detroit Bankruptcy Restructuring Plan

October 22, 2014 by FINalternatives   Comments (0)

Hedge fund holders of Detroit distressed debt are expected to give their blessing to the city's bankruptcy restructuring plan. read more

Baring Private Equity Asia Closes Sixth Fund With $3.2B

October 22, 2014 by FINalternatives   Comments (0)

Baring Private Equity Asia has closed its sixth Asia-focused fund with $3.21 billion, surpassing its just-under $3 billion target. read more