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In this paper we consider backward stochastic differential equations with time-delayed generators of a moving average type. The classical framework with linear generators depending on $(Y(t),Z(t))$ is...

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Optimal Execution Problem with Market Impact. (arXiv:0907.3282v2 [q-fin.TR]...

July 12, 2011, 5:31 pm

We study an optimal execution problem in a market model which considers market impact. First we study a discrete-time model and describe a value function. Then, by shortening the intervals of the...

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KISS approach to credit portfolio modeling. (arXiv:1107.2164v1 [q-fin.RM])

July 12, 2011, 5:31 pm

A simple, yet reasonably accurate, analytical technique is proposed for multi-factor structural credit portfolio models. The accuracy of the technique is demonstrated by benchmarking against Monte...

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Einhorn's Vegas Luck Runs Out: By BEN COHEN In 2006, hedge-fund manager David...

July 12, 2011, 5:36 pm

Einhorn's Vegas Luck Runs Out: By BEN COHEN In 2006, hedge-fund manager David Einhorn anted up $10000 to enter t... http://bit.ly/nWxYwa

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RT @kinggary: ReadMe: Software for Automated Content Analysis (new version)...

July 12, 2011, 5:46 pm

RT @kinggary: ReadMe: Software for Automated Content Analysis (new version) http://ow.ly/5CCMH #rstats

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Measuring systemic risk of the European banking sector

July 12, 2011, 6:03 pm

Sascha Steffen, 13 July 2011Last yearâs European bank stress tests were faulty to say the least. For example, those tests failed to find problems with any of the Irish Banks that soon afterwards...

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@spooney35 @EricCantor speaks for (SOME) small (LARGE $$$ HEDGE-FUND)...

July 12, 2011, 6:04 pm

@spooney35 @EricCantor speaks for (SOME) small (LARGE $$$ HEDGE-FUND) businesses and (A FEW OF) America's (BIGGEST $$$) families? IMHO ;-))

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Obama: No guarantee for Social Security checks: Doesn't it make sense for a...

July 12, 2011, 6:04 pm

Obama: No guarantee for Social Security checks: Doesn't it make sense for a hedge fund manager who made a billio... http://bit.ly/pqAKwf

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Einhorn's Vegas Luck Runs Out: By BEN COHEN In 2006, hedge-fund manager David...

July 12, 2011, 6:04 pm

Einhorn's Vegas Luck Runs Out: By BEN COHEN In 2006, hedge-fund manager David Einhorn anted up $10000 to enter t... http://bit.ly/oMA0OL

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Einhorn's Vegas Luck Runs Out: By BEN COHEN In 2006, hedge-fund manager David...

July 12, 2011, 6:04 pm

Einhorn's Vegas Luck Runs Out: By BEN COHEN In 2006, hedge-fund manager David Einhorn anted up $10000 to enter t... http://bit.ly/o048js

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Is there any tax that Obama and the Democrats don't like? More taxes and...

July 12, 2011, 6:04 pm

Is there any tax that Obama and the Democrats don't like? More taxes and higher taxes 24/7. http://t.co/KxzQEEO #JustSayNo

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Einhorn's Vegas Luck Runs Out: By BEN COHEN In 2006, hedge-fund manager David...

July 12, 2011, 6:04 pm

Einhorn's Vegas Luck Runs Out: By BEN COHEN In 2006, hedge-fund manager David Einhorn anted up $10000 to enter t... http://bit.ly/oIKzUi

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FT.com: Hedge fund industry faces shake-up http://on.ft.com/q4H1OF

July 12, 2011, 6:04 pm

FT.com: Hedge fund industry faces shake-up http://on.ft.com/q4H1OF

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Louisiana Pension Funds to Examine Hedge-Fund Firm's Books http://bit.ly/o9eqxT

July 12, 2011, 6:04 pm

Louisiana Pension Funds to Examine Hedge-Fund Firm's Books http://bit.ly/o9eqxT

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