21,595 research outputs found
A new comparative approach to macroeconomic modeling and policy analysis
In the aftermath of the global financial crisis, the state of macroeconomic modeling and the use of macroeconomic models in policy analysis has come under heavy criticism. Macroeconomists in academia and policy institutions have been blamed for relying too much on a particular class of macroeconomic models. This paper proposes a comparative approach to macroeconomic policy analysis that is open to competing modeling paradigms. Macroeconomic model comparison projects have helped produce some very influential insights such as the Taylor rule. However, they have been infrequent and costly, because they require the input of many teams of researchers and multiple meetings to obtain a limited set of comparative findings. This paper provides a new approach that enables individual researchers to conduct model comparisons easily, frequently, at low cost and on a large scale. Using this approach a model archive is built that includes many well-known empirically estimated models that may be used for quantitative analysis of monetary and fiscal stabilization policies. A computational platform is created that allows straightforward comparisons of models’ implications. Its application is illustrated by comparing different monetary and fiscal policies across selected models. Researchers can easily include new models in the data base and compare the effects of novel extensions to established benchmarks thereby fostering a comparative instead of insular approach to model development
Options hedging under liquidity costs
Following the framework of Cetin, Jarrow and Protter (CJP) we study the problem of super-replication in presence of liquidity costs under additional restrictions on the gamma of the hedging strategies in a generalized Black-Scholes economy. We find that the minimal super-replication price is different than the one suggested by the Black-Scholes formula and is the unique viscosity solution of the associated dynamic programming equation. This is in contrast with the results of CJP who find that the arbitrage free price of a contingent claim coincides with the Black-Scholes price. However, in CJP a larger class of admissible portfolio processes is used and the replication is achieved in the L^2 approximating
sense
Large liquidity expansion of super-hedging costs
We consider a financial market with liquidity cost as in \c{C}etin, Jarrow
and Protter [2004], where the supply function depends on
a parameter with corresponding to the perfect
liquid situation. Using the PDE characterization of \c{C}etin, Soner and Touzi
[2010] of the super-hedging cost of an option written on such a stock, we
provide a Taylor expansion of the super-hedging cost in powers of .
In particular, we explicitly compute the first term in the expansion for a
European Call option and give bounds for the order of the expansion for a
European Digital Option
Incremental Consistency Guarantees for Replicated Objects
Programming with replicated objects is difficult. Developers must face the
fundamental trade-off between consistency and performance head on, while
struggling with the complexity of distributed storage stacks. We introduce
Correctables, a novel abstraction that hides most of this complexity, allowing
developers to focus on the task of balancing consistency and performance. To
aid developers with this task, Correctables provide incremental consistency
guarantees, which capture successive refinements on the result of an ongoing
operation on a replicated object. In short, applications receive both a
preliminary---fast, possibly inconsistent---result, as well as a
final---consistent---result that arrives later.
We show how to leverage incremental consistency guarantees by speculating on
preliminary values, trading throughput and bandwidth for improved latency. We
experiment with two popular storage systems (Cassandra and ZooKeeper) and three
applications: a Twissandra-based microblogging service, an ad serving system,
and a ticket selling system. Our evaluation on the Amazon EC2 platform with
YCSB workloads A, B, and C shows that we can reduce the latency of strongly
consistent operations by up to 40% (from 100ms to 60ms) at little cost (10%
bandwidth increase, 6% throughput drop) in the ad system. Even if the
preliminary result is frequently inconsistent (25% of accesses), incremental
consistency incurs a bandwidth overhead of only 27%.Comment: 16 total pages, 12 figures. OSDI'16 (to appear
Conditional-Mean Hedging Under Transaction Costs in Gaussian Models
We consider so-called regular invertible Gaussian Volterra processes and
derive a formula for their prediction laws. Examples of such processes include
the fractional Brownian motions and the mixed fractional Brownian motions. As
an application, we consider conditional-mean hedging under transaction costs in
Black-Scholes type pricing models where the Brownian motion is replaced with a
more general regular invertible Gaussian Volterra process.Comment: arXiv admin note: text overlap with arXiv:1706.0153
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