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En clases.... (@ EGADE Business School) http://4sq.com/ldxZFR

En clases.... (@ EGADE Business School) http://4sq.com/ldxZFR

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Finally, the great moment is here. The students turned their tassels from...

Finally, the great moment is here. The students turned their tassels from left to right. They officially graduated... http://fb.me/PrJaV1bX

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Havard business school's tip of the day. Builds on RTR strength planHBR.org:...

Havard business school's tip of the day. Builds on RTR strength planHBR.org: Praise as Much as You Criticize http://t.co/QekcvnR

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@Norakaa à¸à¸·à¸­ CFO...

@Norakaa คือ CFO จบ MIT Business school อ่ะครับถ้าจำไม่ผิด

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Orissa Boy Sidhant Jena wins prestigious Harvard Business School Annual...

Orissa Boy Sidhant Jena wins prestigious Harvard Business School Annual Business Plan Contest, Oriya Orbit: http://t.co/UfqiLN8

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Business School Delivers SAP Courses with IBM Cloud http://tinyurl.com/5ucf4zd

Business School Delivers SAP Courses with IBM Cloud http://tinyurl.com/5ucf4zd

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Current read: "101 Things I Learned in Business School"

Current read: "101 Things I Learned in Business School"

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REVISION: Asymptotics of Implied Volatility in Local Volatility Models

Using an expansion of the transition density function of a 1-dimensional time inhomogeneous diffusion, we obtain the first and second order terms in the short time asymptotics of European call option...

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REVISION: Exponential Resilience and Decay of Market Impact

Assuming a particular price process, it was shown by Gatheral that a model that combines nonlinear price impact with exponential decay of market impact admits price manipulation, an undesirable feature...

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REVISION: Optimal Trade Execution under Geometric Brownian Motion in the...

With an alternative choice of risk criterion, we solve the HJB equation explicitly to find a closed-form solution for the optimal trade execution strategy in the Almgren-Chriss framework assuming the...

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REVISION: Transient Linear Price Impact and Fredholm Integral Equations

We consider the linear-impact case in the continuous-time market impact model with transient price impact proposed by Gatheral (2008). In this model, the absence of price manipulation in the sense of...

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REVISION: The Heat-Kernel Most-Likely-Path Approximation

In this article, we derive a new most-likely-path (MLP) approximation for implied volatility in terms of local volatility, based on time-integration of the lowest order term in the heat-kernel...

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REVISION: No-Dynamic-Arbitrage and Market Impact

Starting from a no-dynamic-arbitrage principle that imposes that trading costs should be non-negative on average and a simple model for the evolution of market prices, we demonstrate a relationship...

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REVISION: The Heat-Kernel Most-Likely-Path Approximation

In this article, we derive a new most-likely-path (MLP) approximation for implied volatility in terms of local volatility, based on time-integration of the lowest order term in the heat-kernel...

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REVISION: Transient Linear Price Impact and Fredholm Integral Equations

We consider the linear-impact case in the continuous-time market impact model with transient price impact proposed by Gatheral (2008). In this model, the absence of price manipulation in the sense of...

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REVISION: Exponential Resilience and Decay of Market Impact

Assuming a particular price process, it was shown by Gatheral that a model that combines nonlinear price impact with exponential decay of market impact admits price manipulation, an undesirable feature...

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REVISION: Convergence of Heston to SVI

In this short note, we prove by an appropriate change of variables that the SVI implied volatility parameterization presented in Gatheral's book and the large-time asymptotic of the Heston implied...

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REVISION: Optimal Trade Execution under Geometric Brownian Motion in the...

With an alternative choice of risk criterion, we solve the HJB equation explicitly to find a closed-form solution for the optimal trade execution strategy in the Almgren-Chriss framework assuming the...

View Article

REVISION: Transient Linear Price Impact and Fredholm Integral Equations

We consider the linear-impact case in the continuous-time market impact model with transient price impact proposed by Gatheral (2008). In this model, the absence of price manipulation in the sense of...

View Article

REVISION: Optimal Trade Execution under Geometric Brownian Motion in the...

With an alternative choice of risk criterion, we solve the HJB equation explicitly to find a closed-form solution for the optimal trade execution strategy in the Almgren-Chriss framework assuming the...

View Article
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