In this paper, we study stochastic volatility models in regimes where the
maturity is small but large compared to the mean-reversion time of the
stochastic volatility factor. The problem falls in the class of
averaging/homogenization problems for nonlinear HJB type equations where the
"fast variable" lives in a non-compact space. We develop a general argument
based on viscosity solutions which we apply to the two regimes studied in the
paper. We derive a large deviation principle and we deduce...

We study the optimal execution problem in the presence of market impact and
give a generalization of the main result of Kato(2009). Then we consider an
example where the security price follows a geometric Ornstein-Uhlenbeck process
which has the so-called mean-reverting property, and then show that an optimal
strategy is a mixture of initial/terminal block liquidation and intermediate
gradual liquidation. When the security price has no volatility, the form of our
optimal strategy is the same as...

Should a lender of last resort lower interest rates to near zero in the hope that liquidity will drown systemic sorrows? Bagehot argues for a contrary approach. The interest rates for loans made to desperate borrowers should be high. “This will operate as a heavy fine on unreasonable timidity, and will prevent the greatest number of applications by persons who do not require it. The rate should be raised early in the panic, so that the fine may be paid early…."

One way to stop spreading over the airline network are travel restrictions for major airports or network hubs based on the total number of passengers of an airport. Here, we test alternative strategies using edge removal, cancelling targeted flight connections rather than restricting traffic for network hubs (...) selecting highly ranked single connections between cities for cancellation was more effective, resulting in fewer individuals infected with influenza, compared to shutting down whole...

So here is my valuation of Facebook. Based on trailing earnings of $1 billion and an expected market cap of $100 billion we get a trailing PE of 100. As a comparison, Apple's PE is about 13 and Google's is 19. It's really not worth spending much more time on this. Facebook is likely to be crazily overpriced. The next question (as posed to me by my friend Robert) is : "do we short or buy puts?"

My notes from the Ira Sohn today!

moneyscience: RT @QFINANCEnews: UK's shareholder spring risks becoming a winter of discontent http://t.co/EYtjXHEQ

Dr Bob Kelly, former CEO of BNY Mellon, tells students at Cass Business School how to cope in a financial crisis

What can mathematics say about history? According to TED Fellow Jean-Baptiste Michel, quite a lot. From changes to language to the deadliness of wars, he shows how digitized history is just starting to reveal deep underlying patterns.See it on Scoop.it, via Talks

WB_Finance: J of Finance: Individual Investor Trading and Return Patterns around Earnings Announcements http://t.co/fzIuK6p6 #freearticle