The Complete MoneyScience

Risk spillover among hedge funds - The role of redemptions and fund failures

Fri, 20 Nov 2009 00:42:12 -0800

By Benjamin Klaus and Bronka Rzepkowski European Central Bank Abstract This paper aims at analysing the mortality patterns of hedge funds over the period January 1994 to May 2008. In particular, we investigate the extent to which a spillover of risk among hedge funds through redemptions and failures of other funds has affected the probability of fund failure. We find that risk spillover is signifi

High-Frequency Trading Firms Seeking Tech Talent

Thu, 19 Nov 2009 06:57:42 -0800

High-frequency trading firms are recruiting programmers and other tech talent. But some prefer Google and Microsoft alumni to Wall Street veterans. Given the risks inherent in hiring new employees (as the Teza-Goldman case suggests) and the tight-knit nature of the HFT community, however, people tend to ask colleagues if they can recommend anyone -- who maybe was let go recently -- who has the rig

Frequently Asked Questions in Quantitative Finance, 2nd Edition

Tue, 17 Nov 2009 07:32:22 -0800

ISBN: 978-0-470-74875-6 Paperback 624 pages September 2009 £29.99 / €36.00 Excerpt 1 (PDF) Excerpt 2 (PDF) Excerpt 3 (PDF) Get the Book from Wiley Finance The Paul Wilmott Magic Show at Wilmott.com Getting agreement between finance theory and finance practice is important like never before. In the last decade the derivatives business has grown to a staggering size, such th

Hedge Fund Focus 13-11-09

Fri, 13 Nov 2009 05:20:39 -0800

Subscribe in a reader Subscribe by Email Hedge Fund Resources Hedge Fund Focus Home Service Providers Tutorials Communities Blogs Papers & Research Introductions & Guides Papers & Research People & Profiles Research Centres Hedge Fund Books: UK Hedge Fund Books: US General News | People and Funds | Launches| Hedge Fund Activism | Crime and Law [Externalrss-FinanceFocus-titles-rssl-8-30] Resources

Video - The Promise of Hedge Fund Replication

Fri, 13 Nov 2009 00:33:37 -0800

Reuters columnist Christopher Swann says that hedge fund replication could make hedge fund-style strategies available to Joe Public reducing retail investors' almost total dependence on stocks. [Externalrss-twitter2-titles-rssl-6-30][Externalrss-HedgeFundNews-titles-rssr-8-30] [RandomProduct-10]

Behavioural Finance and Equity Investment Strategies - 8-9 December 2009

Mon, 02 Nov 2009 06:12:56 -0800

London Financial Studies Profile at MoneyScience More information about this course. Modern finance portrays investment decision-making as rational choice. However, pure rationality does not describe how many decisions are truly made. This course examines (1) the behavioural strategies that amateur and expert investors rely upon to make decisions, (2) the structure and speculative dynamics of retu

Lords of Finance - Liaquat Ahamed wins the Financial Times and Goldman Sachs Business Book of the Year Award 2009

Fri, 30 Oct 2009 04:33:37 -0700

Liaquat Ahamed today won the Financial Times and Goldman Sachs Business Book of the Year Award 2009 for Lords of Finance: 1929, The Great Depression, and the Bankers Who Broke the World, published by William Heinemann. The Award was presented today at a gala dinner at the Victoria & Albert Museum in London by Lionel Barber, editor, Financial Times, and Lloyd C. Blankfein, Chairman and Chief Ex

Call for Papers - Special Issue on Computational Methods in Financial Engineering

Fri, 30 Oct 2009 03:07:14 -0700

The International Journal of Financial Markets and Derivatives (Inderscience Pub), is organising a special issue on the use of Computational Methods in Financial Engineering. It is an attempt to explore and bring together practical, state-of-the-art applications of computational techniques in financial problems, including risk analysis, asset pricing and portfolio management. Topics of interest in

Innovation and the Future Proof Bank - A Practical Guide to Doing Different Business-as-Usual

Mon, 26 Oct 2009 10:05:34 -0700

Read more at Wiley Finance Read Excerpt: Chapter (PDF) Read Excerpt: Table of Contents (PDF) ISBN: 978-0-470-71419-5 - 334 pages - Hardcover - August 2009 Wiley Finance Profile at MoneyScience Innovation, the conversion of the new to business as usual, is a very special business process. It is the business process able to reprogram all others. Creating the practices that make this process w

Financial Tradeware signs Altus for ViaNova connectivity to the Pensions industry

Thu, 22 Oct 2009 06:28:45 -0700

Financial Tradeware are pleased to announce that Altus, have signed to integrate its new Hosted Instruction Gateway through Financial Tradeware for ViaNova messaging. Financial Tradeware (through its sister company Européenne de Gestion Privée), provides the infrastructure for ViaNova messaging standardisation and SWIFT connectivity. Altus provides the Altus Instruction Gateway appli

Financial Mathematics and Computation Cluster launches in Ireland

Fri, 16 Oct 2009 01:56:20 -0700

The Irish Government has announced an investment of more than €4 million in the establishment of a new Science Foundation Ireland (SFI) Strategic Research Cluster designed to create a centre of financial research excellence. The Financial Mathematics and Computation Cluster (FMC2) will bring together complementary expertise in financial mathematics, financial economics and computer science. R

Computational Complexity and Information Asymmetry in Financial Products

Fri, 16 Oct 2009 01:17:08 -0700

By Sanjeev Arora, Boaz Barak, Markus Brunnermeier, and Rong Ge Abstract Traditional economics argues that financial derivatives, like CDOs and CDSs, ameliorate the negative costs imposed by asymmetric information. This is because securitization via derivatives allows the informed party to end buyers for less information-sensitive part of the cash flow stream of an asset (e.g.,

Advanced C plus plus for Computational Finance with Daniel Duffy

Thu, 15 Oct 2009 07:54:12 -0700

st 5 delegates 9 - 11 December, 2009 London, UK The goal of this three-day intensive hands-on course is to learn those advanced features in C++ that are of direct relevance to writing and extending applications for quantitative and computational finance. The course uses the object-oriented and generic (templates) programming models (OOP, GP) in combination with design patterns and the STL and boos

Pricing exotic interest rate derivatives - The LIBOR Market Model in QuantLib with Mark Joshi - June 2010

Wed, 14 Oct 2009 09:25:09 -0700

June 2 - 5, 2010 London, UK This three-day course will be led by an international expert who played a large role in the coding of the LIBOR market model in the QuantLib C++ open-source project. He will examine the practical problems that arise when implementing the LIBOR market model to price exotic interest rate derivatives. Each issue will be discussed at theoretical, practical and coding levels

Upcoming Training from New York Institute of Finance Oct - Dec 2009

Mon, 21 Sep 2009 08:51:06 -0700

October Corporate Governance in an Era of Financial Crisis - 1 - 2 October 2009 Equity Derivatives - 5 - 6 October 2009 Credit Risk Analysis - 5 - 9 October 2009 Valuation and Use of Equity Options - 6 - 22 October 2009 Advanced Financial Modeling, Enhancements and Segment Build-up - 10 - 24 October 2009, New York, USA Convertible Bonds - 12 - 13 October 2009, New York, USA Es

Upcoming Training from London Financial Studies - Oct - Dec 2009

Mon, 21 Sep 2009 08:10:46 -0700

October 2009 Modern Credit Derivatives - 5 - 7 October 2009 Structured Products - Design - Pricing and Implementation - 7 - 9 October 2009 Asset Allocation and the Business Cycle - 12 - 13 October 2009 Quantitative Techniques for Credit Derivatives - 19 - 20 October 2009 Property Derivatives - 19 - 20 October 2009 Equity Derivatives - Valuation and Management - 21 - 23 October 2009 Collateral and

Lecturer - Senior Lecturer - Associate Professor - Stochastic and Statistical Modelling

Fri, 10 Apr 2009 03:48:37 -0700

The University of Technology Sydney Department of Mathematical Sciences is a leader in statistical and stochastic modelling and members of the department contribute to modelling in a diverse range of areas, including discrete choice modelling and quantitative risk management (including quantitative finance and stochastic numerical methods). We are looking to extend our involvement in modelling by

Financial Careers Global Survey 2009

Wed, 18 Mar 2009 03:00:40 -0700

MoneyScience has teamed with eFinancialCareers and would like to invite you to participate in the world's largest online study of careers in finance. In today's economic climate, the job market can be tough and unpredictable. We have joined together with international partners to bring you this survey to hear the views of all those connected with, or interested in, jobs in finance. We will be talk

Eugene Stanley on Econophysics and the Current Economic Turmoil

Mon, 16 Mar 2009 07:22:02 -0700

Almost every physicist by now has heard of the fast-growing subdiscipline of "econophysics", a field characterized by collaborations between physicists and economists and focused on asking if new insights or even laws could emerge if the concepts and approaches of statistical physics were brought to bear on questions that originate in economics. And almost everyone, physicist or nonphysicist, has

The Fribourg Symposium

Wed, 15 Oct 2008 02:22:22 -0700

Notice Posted at Econophysics Forum: Dear Colleagues, Last November we had an exciting gathering of many people who are/were physicists or other natural scientists but are working in finance, insurance and related sectors — an occasion built upon the so-called econophysics community that brought together both academics and practitioners in an intimate encounter. We would like to host

World Bank Economic Review

Thu, 02 Oct 2008 02:38:30 -0700

Journal Homepage About this journal Browse the Archive View Editorial board World Bank Economic Review RSS The World Bank Economic Review is one of the most widely read scholarly economic journals in the world. It is the only journal of its kind that specializes in quantitative development policy analysis. Subject to strict refereeing, articles examine policy choices and therefore emphasize policy

Quant-Press - Quantitative Finance Library

Thu, 28 Aug 2008 02:07:12 -0700

Quant-Press Latest Papers The aim of Quant-Press.com is to build an online library of freely available papers and articles in quantitative finance, as well as offering an interface between the financial academic and practitioner communities. [Externalrss-quantpress-titles-rss100-20-30]

Hedge Funds - Raising Capital and Internet Offers

Mon, 15 Dec 2008 04:24:33 -0800

[Externalrss-HedgeFundNews-titles-rss100-2-30] Hedge Fund Tutorials Focus Home Page Hedge Fund Services Providers Hedge Fund Books: US Hedge Fund Books: UK Introductions & Guides Papers & Research People & Profiles Research Centres Private Funds What Creates Illegal Offers? Internet Marketing Internet Offers U.S. Private Funds Private Investment Advisers Hedge Fund Databases Procedures for Interne

Hedge Fund Performance Fees

Thu, 02 Oct 2008 00:56:47 -0700

[Externalrss-HedgeFundNews-titles-rss100-2-30] Hedge Fund Tutorials Focus Home Page Hedge Fund Services Providers Hedge Fund Books: US Hedge Fund Books: UK Introductions & Guides Papers & Research People & Profiles Research Centres Paying Hedge Fund Management Best Practices Charging Fees Management Fees Performance Fees (Incentive/Performance Allocations) Qualified Purch

Fad or Reality - Algorithmic Trading in FX

Wed, 03 Sep 2008 01:27:11 -0700

A new report from Aite Group, LLC examines the use of algorithmic trading in the foreign exchange (FX) markets. The report looks at the changing market reality of the FX market, assesses the potential for growth in the adoption of FX algorithmic trading, and identifies possible pitfalls. Aite Group interviewed 12 actively trading asset managers, hedge funds, and proprietary trading firms to glean

Global Foreign Exchange Trading - The Era Of Free Liquidity

Tue, 03 Jun 2008 07:59:12 -0700

Dramatic growth in trading volumes and a seemingly bottomless well of liquidity are transforming global foreign exchange markets. Worldwide forex trading volume surged 36% from 2006 to 2007 among accounts interviewed by Greenwich Associates for its 2008 Global Foreign Exchange Research Study, continuing a steady run of double-digit annual growth. Banks and investment managers are increasing t

November Papers in Derivatives: SSRN

Tue, 11 Dec 2007 03:45:30 -0800

eDocument is available from the SSRN eLibrary for free eDocument is available, fee may apply if you or your institution do not subscribe to the publisher's journal/series Credit Derivatives and Risk Management FEDS Working Paper No. 2007-47 Michael S. Gibson Federal Reserve Board Date Posted: November 29, 2007 Joint Modeling of Call and Put Implied Volatility Katja Ahoniemi and Markk

Event:- Financial Crises: Causes, Characteristics, and Effects

Sun, 22 Nov 2009 16:00:00 -0800

Location: Perth, Australia. Date:2009-11-23 00:00:00. A three day international conference featuring research papers related to the central theme of financial crises: causes, consequences and effects. Potential topics include but are not limited to: - Crisis topology – asset pricing bubbles, mispricing, contagion, counterparty risk, transparency. - Prediction of crises, indicators, risk meas

Event:- Modern Credit Derivatives

Sun, 29 Nov 2009 16:00:00 -0800

Location: London, UK. Date:2009-11-30 00:00:00. The credit derivative market has changed substantially in the last two years and an understanding of these instruments is integral to making sense of today's financial markets. This three-day course provides a comprehensive view of how modern credit derivatives are used for risk management, to create profitable opportunities through trading and arbit

Event:- Retooling Risk Management - How Practitioners Have Changed Things Since the Crisis Started

Tue, 01 Dec 2009 09:30:00 -0800

Location: New York, USA. Date:2009-12-01 17:30:00. 5:30pm: Registration 6:00pm -7:30pm: Panel Discussion 7:30pm: Reception PricewaterhouseCoopers 300 Madison Avenue New York, NY Keynote Panel Sebastian Ceria Axioma Ron Papanek RiskMetrics Group Antonio Baldaque da Silva Barclays Capital Moderator Sandeep Patel WR Group Holdings This is a free event, but space is limited. Please register by 5pm on

Event:- The Quantitative Revolution and the Crisis - How Have Quantitative Financial Models Been Used and Misused

Thu, 03 Dec 2009 16:00:00 -0800

Location: New York, USA. Date:2009-12-04 00:00:00. Columbia Business School. Co-hosted by: The Sanford C. Bernstein & Co. Center for Leadership and Ethics. Conference fee: $200 if register before November 20; otherwise $250. Please register online. The popular press and a recent spate of remarkable books have pointed critically to the contribution of financial innovation and quantitative model

Event:- Factor Models In Economics and Finance

Thu, 03 Dec 2009 16:00:00 -0800

Location: Cass Business School, London, UK. Date:2009-12-04 00:00:00. This is the first announcement and call for papers for the international conference on "Factor Models in Economics and Finance", to be held at Cass Business School on Friday and Saturday, 4 and 5 December 2009. Recent years have seen an increasing use in economics and finance of models employing large datasets, involving the est

Event:- Mathematical Finance and Partial Differential Equations Conference

Thu, 03 Dec 2009 16:00:00 -0800

Location: New Brunswick, New Jersey, USA. Date:2009-12-04 00:00:00. The themes of the conference are mathematical finance, computational finance, and partial differential equations. Invited Speakers Tomasz Bielecki, Illinois Institute of Technology Rene Carmona, Princeton University John Chadam, University of Pittsburgh Rama Cont, Columbia University Bruno Dupire, Bloomberg, LP Elton Hsu, Northwes

Event:- 44th Euro Working Group on Financial Modelling meeting

Sun, 06 Dec 2009 16:00:00 -0800

Location: Costa Rica. Date:2009-12-07 00:00:00. The EURO Working Group on Financial Modelling was founded in September 1986 in Lisbon. The primary field of interest for the Working Group can be described as "financial models that help to solve problems faced by financial decision makers in the firm, intermediaries and the investment community". From this the following objectives of the Working Gro

Event:- Advanced C plus plus for Computational Finance with Daniel Duffy

Tue, 08 Dec 2009 16:00:00 -0800

Location: London, UK. Date:2009-12-09 00:00:00. 15% 'Early Bird' Discount before October 15th 20% Discount for first 5 delegates 9 - 11 December, 2009 London, UK The goal of this three-day intensive hands-on course is to learn those advanced features in C++ that are of direct relevance to writing and extending applications for quantitative and computational finance. The course uses the object-orie

Event:- The 5th International Conference on Asian Financial Markets

Fri, 11 Dec 2009 16:00:00 -0800

Location: Nagasaki, Japan. Date:2009-12-12 00:00:00. The 5th International Conference on Asian Financial Markets invites you to submit a paper for presentation hosted by the Forum on Issues Surrounding the Business in East Asia, Nagasaki University, Japan. The Conference welcomes empirical research papers on financial issues on Asian countries and markets.

Event:- The 2009 Financial Research Association Meeting

Fri, 11 Dec 2009 16:00:00 -0800

Location: Las Vegas, Nevada. Date:2009-12-12 00:00:00. The program committee of the Financial Research Association seeks new finance papers of general interest to the profession. We specifically seek new papers that do not have a "revise-resubmit" journal decision and have not been presented or scheduled to be presented at the Western Finance Association meeting or the American Finance Association

Risk Management Tweet: Training - Credit Default Swaps and the Credit Crisis with Jon Gregory, March 8, 2010: http://bit.ly/ILOBP

Fri, 20 Nov 2009 08:15:31 -0800

Risk_Mgmt: Training - Credit Default Swaps and the Credit Crisis with Jon Gregory, March 8, 2010: http://bit.ly/ILOBP

MoneyScience tweet: Training - Credit Default Swaps and the Credit Crisis with Jon Gregory, March 8, 2010: http://bit.ly/ILOBP

Fri, 20 Nov 2009 08:15:27 -0800

moneyscience: Training - Credit Default Swaps and the Credit Crisis with Jon Gregory, March 8, 2010: http://bit.ly/ILOBP

Education Tweet: Cass News: Obituary – Dr Shiv Sahi Mathur http://bit.ly/16pPoC

Fri, 20 Nov 2009 08:07:00 -0800

BusinessSchools: Cass News: Obituary – Dr Shiv Sahi Mathur http://bit.ly/16pPoC

Education Tweet: FT section on the Future of Business Schools - http://bit.ly/2vfoC9

Fri, 20 Nov 2009 07:15:43 -0800

BusinessSchools: FT section on the Future of Business Schools - http://bit.ly/2vfoC9

Education Tweet: Business School fees skyrocket in China - http://bit.ly/2K48Ql

Fri, 20 Nov 2009 07:12:55 -0800

BusinessSchools: Business School fees skyrocket in China - http://bit.ly/2K48Ql

Risk Management Tweet: Bilateral Counterparty Risk Valuation for Interest-rate Products: Impact of volatilities and correlations http://bit.ly/2rsqqQ

Fri, 20 Nov 2009 06:41:26 -0800

Risk_Mgmt: Bilateral Counterparty Risk Valuation for Interest-rate Products: Impact of volatilities and correlations http://bit.ly/2rsqqQ

MoneyScience tweet: The Complete MoneyScience. Subscribe by Email - http://bit.ly/wO4lv

Fri, 20 Nov 2009 06:39:53 -0800

moneyscience: The Complete MoneyScience. Subscribe by Email - http://bit.ly/wO4lv

MoneyScience tweet: Research - Eroding market stability by proliferation of financial instruments: http://bit.ly/3cQQbS

Fri, 20 Nov 2009 06:21:53 -0800

moneyscience: Research - Eroding market stability by proliferation of financial instruments: http://bit.ly/3cQQbS

Risk Management Tweet: Tonnes of Quantitative Finance Papers submitted at the arXiv preprint server: June - October 2009 - http://bit.ly/4pHoWz

Fri, 20 Nov 2009 04:28:23 -0800

Risk_Mgmt: Tonnes of Quantitative Finance Papers submitted at the arXiv preprint server: June - October 2009 - http://bit.ly/4pHoWz

MoneyScience tweet: Tonnes of Quantitative Finance Papers submitted at the arXiv preprint server: June - October 2009 - http://bit.ly/4pHoWz

Fri, 20 Nov 2009 04:28:18 -0800

moneyscience: Tonnes of Quantitative Finance Papers submitted at the arXiv preprint server: June - October 2009 - http://bit.ly/4pHoWz

MoneyScience tweet: Event - Retooling Risk Management - How Practitioners Have Changed Things Since the Crisis Started - http://bit.ly/1Hvttn

Fri, 20 Nov 2009 01:48:50 -0800

moneyscience: Event - Retooling Risk Management - How Practitioners Have Changed Things Since the Crisis Started - http://bit.ly/1Hvttn

MoneyScience tweet: The UK National debt soars to 59.2% of GDP, the highest since records began in the 1970s - http://bit.ly/2mn1mT

Fri, 20 Nov 2009 01:32:24 -0800

moneyscience: The UK National debt soars to 59.2% of GDP, the highest since records began in the 1970s - http://bit.ly/2mn1mT

Hedge Fund Tweet: Research - Risk spillover among hedge funds - The role of redemptions and fund failures: http://bit.ly/tqhbz

Fri, 20 Nov 2009 00:44:26 -0800

Lifestyle, Luxury and Wealth Tweet: The rich are different to you or me, and it turns out that the ultrarich are different from the mere well-to-do - http://bit.ly/2be4IW

Thu, 19 Nov 2009 07:55:16 -0800

msluxury: The rich are different to you or me, and it turns out that the ultrarich are different from the mere well-to-do - http://bit.ly/2be4IW

Hedge Fund Tweet: Prince William, the future King of England, is to become president of charitable group 100 Women in Hedge Funds - http://bit.ly/3SkhRx

Thu, 19 Nov 2009 07:52:17 -0800

hedgefundfocus: Prince William, the future King of England, is to become president of charitable group 100 Women in Hedge Funds - http://bit.ly/3SkhRx

Link Library:- Wiley - MATLAB Resources for Statistics and Engineering

Thu, 19 Nov 2009 06:11:26 -0800

Hedge Fund Tweet: Risk Management Technology Now Key Part of Prime Brokerages Offering - http://bit.ly/f8bvR

Wed, 18 Nov 2009 09:24:36 -0800

hedgefundfocus: Risk Management Technology Now Key Part of Prime Brokerages Offering - http://bit.ly/f8bvR

Lifestyle, Luxury and Wealth Tweet: The Dalmore Oculus, a unique whisky blended from some of the finest whiskies of the last 140 years sells for £23,000 http://bit.ly/DEIfi

Wed, 18 Nov 2009 07:29:22 -0800

msluxury: The Dalmore Oculus, a unique whisky blended from some of the finest whiskies of the last 140 years sells for £23,000 http://bit.ly/DEIfi

Lifestyle, Luxury and Wealth Tweet: How Oakley Takes Aim at the Luxury Market - http://bit.ly/3BOQSE

Tue, 17 Nov 2009 09:26:46 -0800

msluxury: How Oakley Takes Aim at the Luxury Market - http://bit.ly/3BOQSE

Link Library:- A Sideways Look at Economic Models

Mon, 16 Nov 2009 03:46:42 -0800

Link Library:- How To Trade In Stocks (1940)

Thu, 12 Nov 2009 07:21:00 -0800

Link Library:- The Christian Finance Faculty Association

Thu, 12 Nov 2009 07:14:46 -0800

Link Library:- Swiss army knife MATLAB programs for quantitative finance

Mon, 09 Nov 2009 00:13:35 -0800

Link Library:- Presentation - Python and R for quantitative finance

Wed, 04 Nov 2009 02:52:08 -0800

Sci-Tech-Business Shorts - March 2009

Fri, 13 Mar 2009 10:29:55 -0700

Get the Sci-Tech-Business RSS Feed or Subscribe by Mail. A new search engine coming up: Wolfram Alpha. The Twitter Shorty Awards. - Twitter Etiquette. Robots!, Robots! Robots! Despite a sombre atmosphere at the World Economic Forum in Davos, young entrepreneurs are coming to the fore as Nobel prize winner Kofi Annan launches a group to give the young leaders of tomorrow a voice on global issues Wi