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MoneyScience Financial Training: Introduction to QuantLib Development with Luigi Ballabio - September 22-24, London, UK - Further Information
GPUs, Monte Carlo Simulation and Kooderive with Professor Mark Joshi - October 29-31, London, UK - Further Information

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Summer Reading List

July 30, 2014 by Econometrics Beat   Comments (0)

While I'm at the lake, fishing, this is your big chance to get on with some reading. There won't be a quiz, but I know that you'll thank me for this later on:Aberdie, A., S. Athey, G. W. Imbens, and J. Wooldridge, 2014. Finite population standard errors. Mimeo.Boero, G., J. Smith, and K. F. Wallis, 2014. The measurement and characteristics of professional forecasters' uncertainty. Journal of Applied Econometrics, in press.Liu, C-A., 2014. Distribution theory of the least squares averaging...

Part I: Considering Collateral – An Expert View with Anna Barbashova

July 30, 2014 by Numerix LLC   Comments (0)

Anna Barbashova breaks down today’s collateral challenge, addressing the debate around collateral shortage, sourcing collateral and cost mitigation.

Null Models for Community Detection in Spatially-Embedded, Temporal Networks

July 30, 2014 by Complexity Digest   Comments (0)

In the study of networks, it is often insightful to use algorithms to determine mesoscale features such as "community structure", in which densely connected sets of nodes constitute "communities" that have sparse connections to other communities. The most popular way of detecting communities algorithmically is to optimize the quality function known as modularity. When optimizing modularity, one compares the actual connections in a (static or time-dependent) network to the connections obtained...

Things worth reading: 30th July 2014

July 30, 2014 by The Financial Services Club   Comments (0)

Things we're reading today include ... Bank denies burlesque dancers business account because they are 'moral problem' Europe’s investment banks bounce back To FICC or not to FICC? UBS and Deutsche try to answer the question Deutsche Bank profit rises as investment bank focus pays off Deutsche Bank takes lead in fixed income UBS sees its net profits rise 15% UBS and Deutsche Bank embroiled in 'dark pool' probe More banks drawn into ‘dark pool’ investigation Regulatory...

The Recovery (finally) Trickling Down

July 29, 2014 by The Reformed Broker   Comments (0)

My pal Peter Boockvar spotted an interesting and positive nugget in today’s Consumer Confidence report for the month of July, emphasis mine… The Conference Board’s […]

Ex-Harbinger Exec. Admits Wrongdoing On Falcone Loan

July 29, 2014 by FINalternatives   Comments (0)

Harbinger Capital Partners’ former chief operating officer has settled Securities and Exchange Commission fraud allegations, closing the book on a case that cost firm founder Philip Falcone the right to run a hedge fund. Peter Jenson agreed to pay $200,000 and admitted wrongdoing for helping Falcone take a $113 million loan from Harbinger hedge funds to pay his tax bill. The loan was not disclosed to investors. read more

Carl Icahn’s Family Dollar Payday Not Bad For Six Weeks Of Work

July 29, 2014 by FINalternatives   Comments (0)

Less than two months after he began agitating for a sale, discount retailer Family Dollar obliged Carl Icahn, earning the billionaire another $174.3 million. read more

Economic imperialism -- its pernicious effects in law

July 29, 2014 by The Physics of Finance   Comments (0)

I've written before about the insidious stupidity of relying on simple minded economic cost-benefit calculations when thinking about complex issues such as climate change, trade policy and the like. The calculation gives the illusion of hard-headed quantitative analysis, unbiased by emotion, yet such calculations almost always make sweeping assumptions about what things get counted as costs or benefits and what things do not. There is often nothing scientific in the exercise at all. I'm not...

Convex duality for stochastic singular control problems. (arXiv:1407.7717v1 [math.OC])

July 29, 2014 by Quantitative Finance at arXiv   Comments (0)

We develop a general theory of convex duality for certain singular control
problems, taking the abstract results by Kramkov and Schachermayer (1999) for
optimal expected utility from nonnegative random variables to the level of
optimal expected utility from increasing, adapted controls. The main
contributions are the formulation of a suitable duality framework, the
identification of the problem's dual functional as well as the full duality for
the primal and dual value functions and their...