Delta Hedging in Financial Engineering: Towards a Model-Free Approach

Delta hedging, which plays a crucial rôle in modern financial engineering, is a tracking control design for a "risk-free" management. We utilize the existence of trends in financial time series (Fliess M., Join C.: A mathematical proof of the existence of trends in financial time series, Proc. Int. Conf. Systems Theory: Modelling, Analysis and Control, Fes, 2009. Online: http://hal.inria.fr/inria-00352834/en/) in order to propose a model-free setting for delta hedging. It avoids most of the shortcomings encountered with the now classic Black-Scholes-Merton framework. Several convincing computer simulations are presented. Some of them are dealing with abrupt changes, i.e., jumps.Financial engineering; delta hedging; dynamic hedging; trends; quick fluctuations; abrupt changes; jumps; tracking control; model-free control

Delta Hedging in Financial Engineering: Towards a Model-Free Approach

Delta hedging, which plays a crucial r\^ole in modern financial engineering, is a tracking control design for a "risk-free" management. We utilize the existence of trends in financial time series (Fliess M., Join C.: A mathematical proof of the existence of trends in financial time series, Proc. Int. Conf. Systems Theory: Modelling, Analysis and Control, Fes, 2009. Online: http://hal.inria.fr/inria-00352834/en/) in order to propose a model-free setting for delta hedging. It avoids most of the shortcomings encountered with the now classic Black-Scholes-Merton framework. Several convincing computer simulations are presented. Some of them are dealing with abrupt changes, i.e., jumps.Comment: 18th Mediterranean Conference on Control and Automation, Marrakech : Morocco (2010

Theory of financial risk

This paper examines relationships between theory of financial risk and size. Based on the work of Makridakis / Taleb [2009] and Taleb / Tapiero [2009], presents the problems of excessive risk and imbalances caused by the size of firms. Markets mixed on firm growth traps externalities can influence risk, high-cost for the commons. A policy of regulation and control in markets, while necessary, are still insufficient in economies with little institutional support. Externalities of risk and firm size categories are fundamental to understanding the present financial crisis since the economies of scale.Finance, financial engineering, risk assesment.

"What Role for Central Banks in View of the Current Crisis?"

Central banks have an aversion to bailing out speculators when asset bubbles burst, but ultimately, as custodians of the financial system, they have to do exactly that. Their actions are justified by the goal of protecting the economy from the bursting of bubbles; while their intention may be different, the result is the same: speculators, careless investors, and banks are bailed out. The authors of this new Policy Note say that a far better approach is for central banks to widen their scope and target the net wealth of the personal sector. Using interest rates in both the upswing and the downswing of a (business) cycle would avoid moral hazard. A net wealth target would not impede the free functioning of the financial system, as it deals with the economic consequences of the rise and fall of asset prices rather than with asset prices (equities or houses) per se. It would also help to control liquidity and avoid future crises. The current crisis has its roots in the excessive liquidity that, beginning in the mid 1990s, financed a series of asset bubbles. This liquidity was the outcome of “bad” financial engineering that spilled over to other banks and to the personal sector through securitization, in conjunction with overly accommodating monetary policy. Hence, targeting net wealth would also help control liquidity, the authors say, without interfering with the financial engineering of banks.

InfSOCSol2 An updated MATLAB Package for Approximating the Solution to a Continuous-Time Infinite Horizon Stochastic Optimal Control Problem with Control and State Constraints

This paper is a successor of [AK08]. Both papers describe the same suite of MATLAB R° routines devised to provide an approximately optimal solution to an infinite horizon stochastic optimal control problem. The difference is that this paper explains how to allow for state and control constraints. The suite routines implement a policy improvement algorithm to optimise a Markov decision chain approximating the original control problem, as described in [Kra01c] and [Kra01b].Computational economics, Financial engineering, Approximating Markov decision chains

The Effect of Financial Support on Academic Achievement and Retention of Female Engineering Students

Citation: Yang, Y. L., & Grauer, B. (2016, June), The Effect of Financial Support on Academic Achievement and Retention of Female Engineering Students Paper presented at 2016 ASEE Annual Conference & Exposition, New Orleans, Louisiana. 10.18260/p.26136Engineering is one of the STEM (Science, Technology, Engineering, and Mathematics) fields in which women are severely underrepresented. Among those who do enter engineering, women are more likely to drop out of the major than men. Financial difficulty is among the top factors influencing retention of underrepresented students in engineering. Previous studies have examined the usefulness of different types of financial support for racial and gender minority students such as stipend, internship, and scholarship. This study focused on another type of financial support – a loan repayment award – and its influence on undergraduate women’s academic achievement and completion in College of Engineering at ____ University. Specifically, a private foundation ____ provided an incentive award to undergraduate women by offering to pay off subsidized student loans upon completion of an engineering degree. We examined whether this financial incentive upon graduation influenced achievement measured by GPA (grade point average) and graduation rates among female engineering students. This quantitative study used a pretest-posttest quantitative design. Forty sophomore women engineering students, matched by first generation status and ethnicity, were randomly placed into the experimental group (selected to receive repayment of their student loans on completion of an engineering degree) and the control group (not selected to receive loan repayment upon completion of an engineering degree). Students in the experimental group were told that their subsidized loans incurred during their time at _______ University would be paid off after graduation with an engineering degree. Students in the control group were not told about the program. The baseline grade point average (GPA), final GPA, graduation status, and demographic information were collected from all participants. Multiple statistical methods were used including independent t-test, analysis of covariance, and chi-square test. We found that (1) while the experimental group and the control group as a whole were very similar in terms of their average baseline GPAs, participants in the control group who successfully graduated with an Engineering degree had statistically significantly higher baseline GPAs than those who did not graduate; by contrast participants in the experimental group who graduated with an Engineering degree had very heterogeneous baseline GPAs. (2) The results from analysis of covariance showed that among those who graduated with an Engineering degree, the final GPAs between the experimental group and the control group were not statistically different after controlling for the baseline GPAs. (3) The experimental group completion rate was statistically significant higher than the control group. We concluded that the loan repayment award not only had a positive influence on completion rates, but also influenced completion by a greater variety of students in terms of GPA’s. Students in the experimental group had a wider range of GPA’s and lower mean GPA than the control group, suggesting that loan repayment may improve persistence for engineering students with lower GPA’s

Financial Engineering and Project Risk Management: Imperatives for Professional Quantity Surveyors

Financial Engineering is synonymous with designing the appropriate financing strategies for a project, taking into consideration cost and impact on project risk and cost management of the project. Project risk management is a formal process that systematically identifies, analyzes and responds to risk throughout a projects lifecycle. In most developing economies, quantity surveyors shy away from their role of financial engineering, cost engineering and management of process plant projects for lack of familiarity with these concepts and methods. Thus the primary aim of this article is to provide quantity surveyors with an understanding of the tools and skills needed to meet their expanded challenge of financial engineering and risk management which are essential elements of project control and cost management in process plant projects. The paper presents an integrated framework for financing and managing risks of mega projects. Keywords: Financial Engineering, project risks, systematic management, integrated framework

Fabrication of free-standing ordered fluorescent polymer nanofibres by electrospinning

The authors are grateful to the Engineering and Physical Sciences Research Council for financial support.We demonstrate a static fabrication approach to make free-standing ordered arrays of fluorescent nanofibres through control of the transverse electrospinning field. The alignment and the density of the nanofibre arrays are optimised by careful design of both the source and collector electrode geometries which can control the transverse electric field over the full path of the jet. In doing so, we fabricate suspended fluorescent nanofibres with an aspect ratio of 10(4), and with a substantially increased density and order parameter (by a factor of similar to 10 compared to random deposition). Electrostatic modelling suggests that the field distribution of the component is the main contribution to the ordering between the plates. This method offers increased efficiency for the creation of ordered fibres collected over a small area and the characterisation of their photoluminescent properties.Publisher PDFPeer reviewe

Entrepreneurial Intentions among Engineering Students: Applying a Theory of Planned Behavior Perspective

This research employs the Theory of Planned Behavior in an attempt to identify the factors that exert an influence on the entrepreneurial intentions of undergraduate students. The authors hope to contribute to understanding the process of entrepreneurial intentions in engineering students in the context of a developing country, taking as an example engineering students in the city of Medellín. Descriptive field and cross-sectional research was conducted using a quantitative methodological design. Data was collected using a self-administered questionnaire. The sample was made up of 636 undergraduate engineering students. Following validation, statistical Somers’ D was used to evaluate the associations between the constructs found in the Theory of Planned Behavior. It proved possible to corroborate the influence of attitudes, perceived behavioral control, current behavioral control and entrepreneurial behavior on the intention of engineering students to create a business in the future. The authors propose that current behavioral control is the most influential factor on entrepreneurial intention in engineering students. Consequently, university entrepreneurial education initiatives and efforts to motivate entrepreneurship need to be accompanied by programs that help students identify business opportunities and financial mechanisms that will allow fledgling entrepreneurs to feel confident in their personal capacities (attitudes) and their ability to access financial support to help them create businesses