Bounds for the price of discrete arithmetic Asian options.

In this paper the pricing of European-style discrete arithmetic Asian options with fixed and floating strike is studied by deriving analytical lower and upper bounds. In our approach we use a general technique for deriving upper (and lower) bounds for stop-loss premiums of sums of dependent random variables, as explained in Kaas, Dhaene and Goovaerts (2000), and additionally, the ideas of Rogers and Shi (1995) and of Nielsen and Sandmann (2003). We are able to create a unifying framework for discrete Asian options through these bounds, that generalizes several approaches in the literature as well as improves the existing results. We obtain analytical and easily computable bounds. The aim of the paper is to formulate an advice of the appropriate choice of the bounds given the parameters, investigate the effect of different conditioning variables and compare their efficiency numerically. Several sets of numerical results are included. We also show that the hedging using these bounds is possible. Moreover, our methods are applicable to a wide range of (pricing) problems involving a sum of dependent random variables.Asian option; Choice; Efficiency; Framework; Hedging; Methods; Options; Premium; Pricing; Problems; Random variables; Research; Stop-loss premium; Variables;

A MAC Mode for Lightweight Block Ciphers

status: accepte

Wages and the Bargaining Regime under Multi-level Bargaining: Belgium, Denmark and Spain

We use a harmonized matched employer—employee dataset to study the impact of the collective bargaining regime on wages in the manufacturing sector in three countries with a multi-level system of bargaining: Belgium, Denmark and Spain. Single-employer bargaining has a positive effect both on wage levels and on wage dispersion in Belgium and in Denmark. In Spain, it also increases wage levels but reduces wage dispersion. Our interpretation is that in Belgium and Denmark, single-employer bargaining is used to adapt pay to the specific needs of the firm while, in Spain it is mainly used by trade unions in order to compress the wage distribution

KLEIN: A New Family of Lightweight Block Ciphers

Resource-efficient cryptographic primitives become fundamental for realizing both security and efficiency in embedded systems like RFID tags and sensor nodes. Among those primitives, lightweight block cipher plays a major role as a building block for security protocols. In this paper, we describe a new family of lightweight block ciphers named KLEIN, which is designed for resource-constrained devices such as wireless sensors and RFID tags. Compared to the related proposals, KLEIN has advantage in the software performance on legacy sensor platforms, while in the same time its hardware implementation can also be compact

International standards for stream ciphers: a progress report

The main objective of this paper is to review the current status of stream cipher standardisation. The hope is that, by doing so, the algorithms and techniques that are likely to be standardised at some point during the next year or so will be subjected to rigorous scrutiny by the crytopgraphic community

New results on the genetic cryptanalysis of TEA and reduced-round versions of XTEA

Congress on Evolutionary Computation. Portland, USA, 19-23 June 2004Recently, a simple way of creating very efficient distinguishers for cryptographic primitives such as block ciphers or hash functions, was presented by the authors. Here, this cryptanalysis attack is shown to be successful when applied over reduced round versions of the block cipher XTEA. Additionally, a variant of this genetic attack is introduced and its results over TEA shown to be the most powerful published to date

Impact of Disease-Specific Fears on Pulmonary Rehabilitation Trajectories in Patients with COPD

Disease-specific fears predict health status in chronic obstructive pulmonary disease (COPD), but their role in pulmonary rehabilitation (PR) remains poorly understood and especially longer-term evaluations are lacking. We therefore investigated changes in disease-specific fears over the course of PR and six months after PR, and investigated associations with PR outcomes (COPD assessment test (CAT) and St. Georges respiratory questionnaire (SGRQ)) in a subset of patients with COPD (n = 146) undergoing a 3-week inpatient PR program as part of the STAR study (Clinicaltrials.gov, ID: NCT02966561). Disease-specific fears as measured with the COPD anxiety questionnaire improved after PR. For fear of dyspnea, fear of physical activity and fear of disease progression, improvements remained significant at six-month follow-up. Patients with higher disease-specific fears at baseline showed elevated symptom burden (CAT and SGRQ Symptom scores), which persisted after PR and at follow-up. Elevated disease-specific fears also resulted in reduced improvements in Quality of Life (SGRQ activity and impact scales) after PR and at follow-up. Finally, improvement in disease-specific fears was associated with improvement in symptom burden and quality of life. Adjustment for potential confounding variables (sex, smoking status, age, lung function, and depressive symptoms) resulted in comparable effects. These findings show the role of disease-specific fears in patients with COPD during PR and highlight the need to target disease-specific fears to further improve the effects of PR

Trading activity and liquidity supply in a pure limit order book market: An empirical analysis using a multivariate count data model.

In this paper we perform an empirical analysis of the trading process in a pure limit order book market, the Xetra system which operates at various European exchanges.We study how liquidity supply and demand as well as price volatility affect future trading activity and market resiliency, and discuss the results in the light of predictions implied by theoretical models of financial market microstructure. Parameter estimation and hypotheses testing is conducted using a new econometric methodology designed for the analysis of multivariate count processes.Market microstructure; Liquidity; Trading activity; Multivariate count process