European Option Pricing with Liquidity Shocks

We study the valuation and hedging problem of European options in a market subject to liquidity shocks. Working within a Markovian regime-switching setting, we model illiquidity as the inability to trade. To isolate the impact of such liquidity constraints, we focus on the case where the market is completely static in the illiquid regime. We then consider derivative pricing using either equivalent martingale measures or exponential indifference mechanisms. Our main results concern the analysis of the semi-linear coupled HJB equation satisfied by the indifference price, as well as its asymptotics when the probability of a liquidity shock is small. We then present several numerical studies of the liquidity risk premia obtained in our models leading to practical guidelines on how to adjust for liquidity risk in option valuation and hedging.Comment: 25 pages, 6 figure

Operations management tools to be applied for textile

17th World Textile Conference of the Association-of-Universities-for-Textiles (AUTEX) - Shaping the Future of Textiles -- MAY 29-31, 2017 -- GREECEIn this paper, basic concepts of process analysis such as flow time, inventory, bottleneck, labour cost and utilization are illustrated first. The effect of bottleneck on the results of a business are especially emphasized. In the next section, tools on productivity measurement; KPI (Key Performance Indicators) Tree, OEE (Overall Equipment Effectiveness) and Takt Time are introduced and exemplified. KPI tree is a diagram on which we can visualize all the variables of an operation which are driving financial results through cost and profit. OEE is a tool to measure a potential extra capacity of an equipment or an employee. Takt time is a tool to determine the process flow rate according to the customer demand. KPI tree is studied through the whole process while OEE is exemplified for a stenter frame machine which is the most important machine (and usually the bottleneck) and the most expensive investment in a finishing plant. Takt time is exemplified for the quality control department. Finally quality tools, six sigma, control charts and jidoka are introduced. Six sigma is a tool to measure process capability and by the way probability of a defect. Control chart is a powerful tool to monitor the process. The idea of jidoka (detect, stop and alert) is about alerting the people that there is a problem in the process.Assoc Univ Textile

Tire containing thermally exfoliated graphite oxide

A tire, tire lining or inner tube, containing a polymer composite, made of at least one rubber and/or at least one elastomer and a modified graphite oxide material, which is a thermally exfoliated graphite oxide with a surface area of from about 300 sq m/g to 2600 sq m/g

Packaging material and flexible medical tubing containing thermally exfoliated graphite oxide

A packaging material or flexible medical tubing containing a modified graphite oxide material, which is a thermally exfoliated graphite oxide with a surface area of from about 300 m.sup.2/g to 2600 m.sup.2/g

Conductive ink containing thermally exfoliated graphite oxide and method a conductive circuit using the same

A conductive ink containing a conductive polymer, wherein the conductive polymer contains at least one polymer and a modified graphite oxide material, which is a thermally exfoliated graphite oxide with a surface area of from about 300 sq m/g to 2600 sq m/g, and it use in a method for making a conductive circuit

Emulsifier containing thermally exfoliated graphite oxide

An emulsifier containing a modified graphite oxide material, which is a thermally exfoliated graphite oxide with a surface area of from about 300 m.sup.2/g to 2600 m.sup.2/g

Gas storage cylinder formed from a composition containing thermally exfoliated graphite

A gas storage cylinder or gas storage cylinder liner, formed from a polymer composite, containing at least one polymer and a modified graphite oxide material, which is a thermally exfoliated graphite oxide with a surface area of from about 300 m(exp 2)/g to 2600 m(exp 2)2/g