OPTION PRICING UNDER LÉVY PROCESSES: A UNIFYING FORMULA

A new option pricing formula is presented that unifies several results of the existing literature on pricing exotic options under Lèvy processes. To demonstrate the flexibility of the formula a few examples are given which provide new valuation formulas within the Lévy frameworkLévy processes, pseudo differential operators, option pricing

Valoración de opciones tipo Lookback : una aplicación a la tasa de cambio

El desarrollo de los instrumentos de cobertura conocidos como derivados financieros ha sido realmente vertiginoso a partir de los años noventa. Uno de los más dinámicos grupos son las opciones exóticas, es decir, aquellas que no se ajustan a las condiciones de las tradicionales opciones europeas o americanas. Este estudio se enfoca en la valoración de las opciones exóticas del tipo Lookback para las cuales presenta los métodos analíticos y numéricos usados frecuentemente con éste propósito. Se discute la aplicabilidad de dichos métodos a la valoración de opciones de éste tipo sobre la tasa de cambio y se concluye que en este caso es necesario recurrir al método Montecarlo donde el subyacente sigue un proceso de volatilidad estocástica como el propuesto por Heston (1993). La utilización del método Montecarlo se justifica debido a su flexibilidad, necesaria en la valoración de opciones exóticas cuyo valor depende de la trayectoria seguida por el subyacente (path dependent) y por su mejor aproximación a la realidad, donde los activos financieros estudiados rechazan la existencia de volatilidad constante, uno de los supuestos básicos del modelo Black y Scholes (1973).45 p.The development of instruments for hedging risks known as derivatives has been vertiginous in the last two decades. One of the most dynamic is the group of exotic options, that is to say, those that do not adjust to the conditions of the traditional European or American options. This study focuses on the valuation of Lookback options, and presents the current analytical and numerical methods used for this purpose. Its application to the case of options on the exchange rate is discussed and the study concludes that the use of the Montecarlo method where the underlying asset follows a process of stochastic volatility like the one proposed by Heston (1993) is much more suitable for this case. The flexibility which characterizes this method is necessary for the valuation of exotic options which are path dependent. This method also allows us to model the underlying asset following different stochastic processes when lognormality is rejected

Leveraging social value: multiple valuation logics in the field of social finance

What are the mechanisms behind the advance of financial actors, instruments, and models into the field of social policy design and delivery? Over the past couple of decades, the state’s function as provider of welfare and safety nets against various forms of socio-economic risk has been transformed not just by privatisation or downsizing, but also by the advent of alternative forms of social policy delivery. One example of the latter is social impact investment, a form of investing in social programmes with the intent of pursuing social (and environmental) impact alongside financial return, and yielding innovative financial instruments such as social impact bonds, social stocks, or community bonds. The emergence of this field is generally seen as an outcome of the broader process of financialisation. From this perspective, both financial return and social policy objectives can be achieved via the straightforward implementation of existing financial instruments and methodologies. However, the very process of implicating existing financial technologies in the sphere of the pursuit of social outcomes generates its own set of dynamics. This study focuses on these dynamics from the perspective of the valuation processes underpinning the emergence of social impact investment. It argues that as finance engulfs this field, it engages in a valuation process of fashioning and delineating a hybridised form of value – blended value – supporting its advance, which is distinctly separate, though not independent, from financial value creation. The result of this process is the concomitant proliferation of non-financial spaces of valuation, which come not to replace, but to accompany and support financialisation. In order to make this argument, it looks at the case of the valuation processes undergirding the launch of the world’s first social impact bond in 2010 in the UK. Besides providing an empirical account of the latter, it also makes a theoretical contribution to the literature on financialisation by deepening the understanding of the manner in which financial actors, instruments, and markets advance in non-financial realms

Méliès Boots

Before he became the father of cinematic special effects, George Méliès (1861-1938) was a maker of deluxe French footwear, an illusionist, and a caricaturist. Proceeding from these beginnings, Méliès Boots traces how the full trajectory of Georges Méliès’ career during the late-nineteenth and early-twentieth centuries, along with the larger cultural and historical contexts in which Méliès operated, shaped his cinematic oeuvre. Solomon examines Méliès’ unpublished drawings and published caricatures, the role of laughter in his magic theater productions, and the constituent elements of what Méliès called "the new profession of the cinéaste." The book also reveals Méliès' connections to the Incohérents, a group of ephemeral artists from the 1880s, demonstrating the group’s relevance for Méliès, early cinema, and modernity. By positioning Méliès in relation to the material culture of his time, Solomon demonstrates that Méliès’ work was expressive of a distinctly modern, and modernist, sensibility that appeared in France during the 1880s in the wake of the Second Industrial Revolution

Méliès Boots

Before he became the father of cinematic special effects, George Méliès (1861-1938) was a maker of deluxe French footwear, an illusionist, and a caricaturist. Proceeding from these beginnings, Méliès Boots traces how the full trajectory of Georges Méliès’ career during the late-nineteenth and early-twentieth centuries, along with the larger cultural and historical contexts in which Méliès operated, shaped his cinematic oeuvre. Solomon examines Méliès’ unpublished drawings and published caricatures, the role of laughter in his magic theater productions, and the constituent elements of what Méliès called "the new profession of the cinéaste." The book also reveals Méliès' connections to the Incohérents, a group of ephemeral artists from the 1880s, demonstrating the group’s relevance for Méliès, early cinema, and modernity. By positioning Méliès in relation to the material culture of his time, Solomon demonstrates that Méliès’ work was expressive of a distinctly modern, and modernist, sensibility that appeared in France during the 1880s in the wake of the Second Industrial Revolution

Governing Social Bodies: Affect and Number in Contemporary Cricket

Two recent cybernetics-derived academic disciplines, biomechanics and operations research, have worked to reshape cricket. Liberalization and the consequent large flows of money into the game have resulted in a transformation in how the game is regulated, coached, and played. In this dissertation, I have focused on how cricket is now being produced through an account of the use of biomechanics in the regulating and coaching of cricket and an appraisal of the role that operations research plays in regulating interruptions to individual games of cricket. I argue that these twin developments correspond to Foucault's notion of a contemporary governmentality organized around the body as machine and the species of body, respectively. A consideration of the manner in which cybernetics underpins these practices and theories broadens and deepens accounts of both how the contemporary world is continually being shaped and being studied

Gramsci in Cairo: neoliberal authoritarianism, passive revolution and failed hegemony in Egypt under Mubarak, 1991-2010

Most existing interpretations of the thought of Antonio Gramsci in International Relations and International Political Economy are strongly influenced by the seminal account provided by Cox in the early 1980s. Recovering the hitherto neglected concept of philosophy of praxis, this thesis departs from the 'Coxian orthodoxy' and develops an alternative understanding of Gramsci that sees hegemony as a combination of coercion and consent emerging from the articulation on three overlapping dimensions, respectively involving the interaction of the economic and the political, the international and the national, the material and the ideational. The potential of this approach is illustrated by examining the unfolding of neoliberal economic reforms in Egypt in the past two decades. It is argued that, firstly, the interaction of economic and political factors produced the emergence of a neoliberal authoritarian regime with a predatory capitalist oligarchy playing an ever greater role. Secondly, articulation across different spatial scales brought about a passive revolution managed by the state with the aim of adapting to the globalising imperatives of capital accumulation without broadening political participation. Lastly, the performative power of neoliberalism as an ideology fundamentally reshaped economic policymaking in favour of the rising capitalist elite. This focus on the shift in class relations produced by – and itself reinforcing – neoliberal reforms allows us to understand how the already waning hegemony of the Egyptian regime under Mubarak gradually unravelled. The rise of the capitalist oligarchy upset relations of force both within the ruling bloc and in society at large, effectively breaking the post- Nasserite social pact. Passive revolution witnessed the abdication to the pursuit of hegemony on the national scale, with the attempt of replacing it with reliance on the neoliberal hegemony prevalent on the international scale. The success of neoliberalism as an ideology did not obscure the increasingly inability of the regime to provide material benefits, however marginal, to subaltern classes. Thus, the affirmation of neoliberalism in Egypt corresponded to the failure of hegemony on the national scale

French development aid and the reforms of 1998–2002

This study is an analysis of the changes to the institutions and doctrines of French development aid between 1998 and 2002, and specifically the reforms announced by Prime Minister Jospin in February 1998. This includes analysis of institutional reorganisation and of new policy doctrines. The study considers the implications of these changes for the relations between France and former French colonies of sub-Saharan Africa, including detailed analysis of the aid relationship between France and Cote d’Ivoire. Using qualitative data, especially personally conducted interviews in Paris and Côte d’Ivoire and analysis of official documents, this is the first major studyof these reforms that puts them into historical and theoretical perspective. It thereby contributes to the wider debate over continuity and change both in French aid policy and in France’s relations with sub-Saharan Africa. It also furthers understanding of the mechanisms and dynamics of reform within French state administration. This study compares French development aid policy and institutional architecture from the 1960s up to the mid 1990s with the new institutions and policies put in place in the 1998–2002 period. Chapter 1 looks at the creation of French aid policy in the late 1950s and early 1960s and considers its imperial origins. Chapter 2 examines French aid from 1960 to 1995 and places it in the context of the global politics of development aid and the policies of other donors, in order to highlight the specificities of the French case. The French reaction to the emergence of the structural adjustment and later good governance agendas is considered. Chapter 3 examines the content of the reforms put in place by Jospin and associated changes in the 1998–2002 period, including the reactions of officials and critics. Chapter 4 is a case study of the changes made to the aid relationship between France and Cote d’Ivoire and the effects of instability in Côte d’Ivoire on French policy. The impact on French policy of the growing role of multilateral donors in Côte d’Ivoire is also considered. Chapter 5 examines the evolutions in French doctrine which have run in parallel to the Jospin reforms, looking at French attitudes to major development issues, particularly the relationship between the state and the market. French development aid is part of the long-term continuities of French foreign policy, and especially France’s desire to demonstrate the universal validity of its cultural and political achievements. In this study French aid is analysed as an extension of these foreign policy aims within the specific post-colonial relations with sub-Saharan Africa. French aid has helped to maintain a protected environment within which the French have sought not only to support close political allies, but also to reproduce a “model” of society and politics. This study asks whether the French can continue to use aid in this way in the light of the Jospin reforms and the events of the 1998–2002 period.This study asks whether the changes of this period can be seen as a convergence between French aid and the policies, practices and norms of other aid donors. To this end, the notion of an aid donor “regime” is used. This helps to show that reform of French policy occurs in a context of interaction with other aid donors, and to show how that interaction affects French polic