moneyscience: Research: Credit Default Swaps Drawup Networks: Too Tied To Be Stable?. (arXiv:1205.0976v1 [q-fin.RM]) http://t.co/SxDrDgb7

moneyscience: Research: European Option Pricing with Liquidity Shocks. (arXiv:1205.1007v1 [q-fin.PR]) http://t.co/nW8a5nut

moneyscience: Research: From Risk Measures to Research Measures. (arXiv:1205.1012v1 [q-fin.RM]) http://t.co/SofwgtOR

moneyscience: @IMFNews - How to Get the Balance Right: Fiscal Policy At a Time of Crisis http://t.co/1IsQoJ66

From an reviewer discussing her love of manly men:My husband once told me a saying from the Marine Corps: “Be polite, be professional and have a plan to kill everyone you meet.”Currently, I have no such plan, but that's fun to consider.

the economic policies of the original Nazis were as far-left as anything imaginable in this day and age.

We investigate the possible drawbacks of employing the standard Pearson
estimator to measure correlation coefficients between financial stocks in the
presence of non-stationary behavior, and we provide empirical evidence against
the well-established common knowledge that using longer price time series
provides better, more accurate, correlation estimates. Then, we investigate the
possible consequences of instabilities in empirical correlation coefficient
measurements on optimal portfolio...

We analyse time series of CDS spreads for a set of major US and European
institutions on a pe- riod overlapping the recent financial crisis. We extend
the existing methodology of {\epsilon}-drawdowns to the one of joint
{\epsilon}-drawups, in order to estimate the conditional probabilities of
abrupt co-movements among spreads. We correct for randomness and for finite
size effects and we find significant prob- ability of joint drawups for certain
pairs of CDS. We also find significant...

We study the valuation and hedging problem of European options in a market
subject to liquidity shocks. Working within a Markovian regime-switching
setting, we model illiquidity as the inability to trade. To isolate the impact
of such liquidity constraints, we focus on the case where the market is
completely static in the illiquid regime. We then consider derivative pricing
using either equivalent martingale measures or exponential indifference
mechanisms. Our main results concern the analysis...

In order to evaluate the quality of the scientific research, we introduce a
new family of scientific performance measures, called Scientific Research
Measures (SRM). Our proposal originates from the more recent developments in
the theory of risk measures and is an attempt to resolve the many problems of
the existing bibliometric indices. The SRM that we introduce are based on the
whole scientist's citation record and are: coherent, as they share the same
structural properties; flexible to fit...