Estimating jumps for structural models of credit risk.

Li Chin Pang.Thesis (M.Phil.)--Chinese University of Hong Kong, 2006.Includes bibliographical references (leaves 64-66).Abstracts in English and Chinese.Chapter 1 --- Introduction --- p.1Chapter 2 --- Structural Models of Credit Risk --- p.7Chapter 2.1 --- Barrier-Independent Models --- p.8Chapter 2.2 --- Barrier-Dependent Models --- p.9Chapter 2.3 --- Empirical Literature --- p.10Chapter 3 --- Jump-Diffusion Models --- p.13Chapter 3.1 --- Analytical Option Pricing Formula --- p.14Chapter 3.1.1 --- The Jump-Diffusion Model of Merton --- p.14Chapter 3.1.2 --- The Jump-Diffusion Model of Kou --- p.15Chapter 3.2 --- Simulation for Options --- p.19Chapter 3.2.1 --- Simulation for Barrier-Independent Options --- p.19Chapter 3.2.2 --- Brownian Bridge Simulation for DOC Option --- p.20Chapter 4 --- Likelihood Function for Equity Returns --- p.24Chapter 4.1 --- Likelihood Function on Equity Return --- p.26Chapter 4.2 --- Degeneracy Problem of Likelihood Function --- p.27Chapter 5 --- The Proposed Framework --- p.31Chapter 5.1 --- Penalized Likelihood Estimation --- p.31Chapter 5.2 --- Expectation-Maximization Algorithm --- p.36Chapter 5.3 --- The MJD Structural Model --- p.41Chapter 5.4 --- The K<JD Structural Model --- p.43Chapter 5.5 --- Computation of the E-step --- p.47Chapter 6 --- Performance of Estimation --- p.49Chapter 6.1 --- Simulation Checks --- p.49Chapter 6.2 --- Empirical Performance --- p.55Chapter 6.2.1 --- Bond Selection --- p.55Chapter 6.2.2 --- Empirical Results --- p.57Chapter 7 --- Conclusion --- p.62Bibliography --- p.6

Applications of robust optimal control to decision making in the presence of uncertainty

This thesis is concerned with robustness of decision making in financial economics. Feedback control models developed in engineering are applied to three separate though linked problems in order to examine the role and impact of robustness in the creation and application of decision rules. Three problems are examined using robust optimal control techniques to evaluate the impact of robustness and stability in financial economic models. The first problem examines the use of linear models of robust optimal control in the pricing of castastrophe based derivatives and finds its relative performance to be superior to the popular jump diffusion and stochastic volatility models in the pricing of these emerging instruments. The novelty of the approach arises from the examination of the impact of robustness and stability of the pricing solution. The second problem involves robustness and stability of hedging. An alternative method of creating hedging rules is developed. The method is based on robust control Lyapunov functions that are simple, robust and stable in operation, yet in practice are not so conservative that they eliminate all trading gains. The third problem involves the development of robust control policies for managing risk, using non-linear robust optimal control techniques to provide clear evidence of superior performance of robust models when compared with existing VAR and EVT approaches to risk management. The novelty in the approach arises from the development of a simple and powerful risk management metric

States, parties and socialist revolutions

The structure/agency dilemma remains one of the most contentious issues in modem sociology. This thesis examines the relationship between these concepts in the light of theories of revolutions. The types of revolution analysed are socialist revolutions, defined as Marxistinspired regime transformations accompanied by widespread revolt from below. The argument advanced is that the origins and development of socialist movements to the position of state power is more complex than the dominant structuralist paradigm assumes. No model of socialist revolutions can be adequate without combining long-term structuralist considerations of social process with short-to-medium purposive factors such as political mobilisation, organisation and ideology. This thesis adopts a comparative historical analysis to support this claim. Using two apparently dissimilar cases, the Bolshevik Revolution in Russia and the Sandinista Revolution in Nicaragua, it is argued that despite spatial and temporal differences a generalisable set of factors can be advanced which explain the occurrence of socialist revolutions

Resolution of degeneracy in Merton's portfolio problem

The Merton problem determines the optimal intertemporal portfolio choice by maximizing the expected utility and is the basis of modern portfolio theory in continuous-time finance. However, its empirical performance is disappointing. The estimation errors of the expected rates of returns make the optimal policy degenerate, resulting in an extremely low (or unbounded) expected utility value for a high-dimensional portfolio. We further prove that the estimation error of the variance-covariance matrix leads to the degenerated policy of solely investing in the risk-free asset. This study proposes a constrained $\ell_1$-minimization approach to resolve the degeneracy in the high-dimensional setting and stabilize the performance in the low-dimensional setting. The proposed scheme can be implemented with simple linear programming and involves negligible additional computational time, compared to standard estimation. We prove the consistency of our framework that our estimate of the optimal control tends to be the true one. We also derive the rate of convergence. Simulation studies are provided to verify the finite-sample properties. An empirical study using S&P 500 component stock data demonstrates the superiority of the proposed approach.Published versio

Maritime expressions:a corpus based exploration of maritime metaphors

This study uses a purpose-built corpus to explore the linguistic legacy of Britain’s maritime history found in the form of hundreds of specialised ‘Maritime Expressions’ (MEs), such as TAKEN ABACK, ANCHOR and ALOOF, that permeate modern English. Selecting just those expressions commencing with ’A’, it analyses 61 MEs in detail and describes the processes by which these technical expressions, from a highly specialised occupational discourse community, have made their way into modern English. The Maritime Text Corpus (MTC) comprises 8.8 million words, encompassing a range of text types and registers, selected to provide a cross-section of ‘maritime’ writing. It is analysed using WordSmith analytical software (Scott, 2010), with the 100 million-word British National Corpus (BNC) as a reference corpus. Using the MTC, a list of keywords of specific salience within the maritime discourse has been compiled and, using frequency data, concordances and collocations, these MEs are described in detail and their use and form in the MTC and the BNC is compared. The study examines the transformation from ME to figurative use in the general discourse, in terms of form and metaphoricity. MEs are classified according to their metaphorical strength and their transference from maritime usage into new registers and domains such as those of business, politics, sports and reportage etc. A revised model of metaphoricity is developed and a new category of figurative expression, the ‘resonator’, is proposed. Additionally, developing the work of Lakov and Johnson, Kovesces and others on Conceptual Metaphor Theory (CMT), a number of Maritime Conceptual Metaphors are identified and their cultural significance is discussed

A Holmes and Doyle Bibliography, Volume 9: All Formats—Combined Alphabetical Listing

This bibliography is a work in progress. It attempts to update Ronald B. De Waal’s comprehensive bibliography, The Universal Sherlock Holmes, but does not claim to be exhaustive in content. New works are continually discovered and added to this bibliography. Readers and researchers are invited to suggest additional content. This volume contains all listings in all formats, arranged alphabetically by author or main entry. In other words, it combines the listings from Volume 1 (Monograph and Serial Titles), Volume 3 (Periodical Articles), and Volume 7 (Audio/Visual Materials) into a comprehensive bibliography. (There may be additional materials included in this list, e.g. duplicate items and items not yet fully edited.) As in the other volumes, coverage of this material begins around 1994, the final year covered by De Waal's bibliography, but may not yet be totally up-to-date (given the ongoing nature of this bibliography). It is hoped that other titles will be added at a later date. At present, this bibliography includes 12,594 items