Valuations under Funding Costs, Counterparty Risk and Collateralization.

June 11, 2010 by · Leave a Comment
Filed under: Papers 

http://www.christian-fries.de/finmath/discounting/Discounting.pdf

Sornette’s paper on Bubbles

June 3, 2010 by · Leave a Comment
Filed under: Papers 

Paper on testing data series for greater than exponential growth; since that cannot continue it is a “bubble test.”

The Financial Bubble Experiment:
Advanced Diagnostics and Forecasts of Bubble Terminations
Volume I

http://arxiv.org/ftp/arxiv/papers/0911/0911.0454.pdf