Optimal Hedging and Scale Inavriance: A Taxonomy of Option Pricing Models

The assumption that the probability distribution of returns is independent of the current level of the asset price is an intuitive property for option pricing models on financial assets. This ‘scale invariance’ feature is common to the Black-Scholes (1973) model, most stochastic volatility models and most jump-diffusion models. In this paper we extend the scale-invariant property to other models, including some local volatility, Lévy and mixture models, and derive a set of equivalence properties that are useful for classifying their hedging performance. Bates (2005) shows that, if calibrated exactly to the implied volatility smile, scale-invariant models have the same ‘model-free’ partial price sensitivities for vanilla options. We show that these model-free price hedge ratios are not optimal hedge ratios for many scale-invariant models. We derive optimal hedge ratios for stochastic and local volatility models that have not always been used in the literature. An empirical comparison of well-known models applied to SP 500 index options shows that optimal hedges are similar in all the smile-consistent models considered and they perform better than the Black-Scholes model on average. The partial price sensitivities of scale-invariant models provide the poorest hedges.

Aplicación del método continuo variable en la planificación de las clases de bailoterapia para el mejoramiento de la resistencia de las participantes de la parroquia "grl. Pedro J. Montero" del cantón Yaguachi, Ecuador

This study sought to find out how the application of the continuous variable method affects the improvement of the resistance of the participants in the dance therapy classes. The general objective of this project was to design a proposal for the application of the continuous variable method in dance therapy classes to achieve the improvement of resistance. A quantitative, experimental, cross-sectional and field study was carried out, with the participation of a total of 20 adult women, aged between 20 and 59 years. To know the initial state of resistance, a pre-intervention evaluation was carried out, recording the results in observation sheets. Student's t statistic was used for related samples because they were the same group evaluated in a pre and post evaluation to compare the means in relation to the research objectives. From the results obtained, it can be seen that there is a significant increase in the resistance observed in the pre-assessment of partial fatigue with an average of 12.95 minutes and the post-assessment of partial fatigue with an average of 22.75 minutes, with a level of confidence of 0.05, observing a value of p =.000. Likewise, it can be seen that there is an increase in the resistance observed in the pre-assessment of total fatigue with an average of 19.80 minutes and in the post-assessment of total fatigue with 30.40 minutes, with a confidence level of 0, 05, observing a value of p =.000.Este estudio pretendía conocer cómo incide la aplicación del método continuo variable en la mejora de la resistencia de las participantes en las clases de bailoterapia. El objetivo general de este proyecto fue diseñar una propuesta de aplicación del método continuo variable en las clases de bailoterapia para lograr el mejoramiento de la resistencia. Se realizó un estudio de tipo cuantitativo, experimental de corte transversal y de campo, participaron un total de 20 mujeres adultas, con edades entre 20 y 59 años. Para saber el estado inicial de resistencia se llevó a cabo una evaluación pre intervención registrando los resultados en fichas de observación. Se utilizó la estadística t de Student para muestras relacionadas por tratarse del mismo grupo evaluado en una pre y post evaluación para comparar las medias en relación a los objetivos de la investigación. De los resultados obtenidos, se aprecia que existe un incremento significativo de la resistencia observada en la pre evaluación de cansancio parcial con una media de 12,95 minutos y la post evaluación de cansancio parcial con una media de 22,75 minutos, con un nivel de confianza de 0,05, observando un valor de p =,000. Así mismo, se aprecia que existe un incremento de la resistencia observada en la pre evaluación de cansancio total con una media de 19,80 minutos y en la post evaluación de cansancio total con 30,40 minutos, con un nivel de confianza de 0,05, observando un valor de p =,000

Ensino de paisagismo no Brasil: gênero e filiação universitária nos quadros docentes e na produção científica em periódicos e anais de encontros de ensino de arquitetura e urbanismo (1994-2016)

Anais do VI Encontro de Iniciação Científica e II Encontro Anual de Iniciação ao Desenvolvimento Tecnológico e Inovação – EICTI 2017 - 04 a 06 de outubro de 2017 - temática Ciências Sociais AplicadasLas desigualdades manifestadas en términos de clase social, género y raza, no sólo son raras en los grandes currículos de los cursos, como el mercado, la docencia y la investigación en Arquitectura, Urbanismo y Paisajismo que también son productores de desigualdades. En Brasil, es perceptible la presencia de más graduandas en relación a graduandos en las clases de arquitectura y urbanismo. Este escenario no se refleja en los ambientes profesionales: el número de docentes hombres muchas veces es superior al de las mujeres en las universidades y la producción teórica contemporánea y pretérita se ve que ésta centralizada en los escritorios de arquitectos hombres, con raras excepciones. Pocas son consagradas como teóricas de peso en el área, particularmente en el área de PaisajismoUniversidade Federal da Integração Latino-Americana (Unila); Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq); Fundação Araucária; Parque Tecnológico Itaipu (PTI) e Companhia de Saneamento do Paraná (SANEPAR

Methods for Downscaling National Material Consumption Data to the Regional and Municipal Levels

Decision makers are looking to reach consumption-based environmental impact targets like Sustainable Development Goal 12, Responsible Consumption and Production. These goals require multifaceted action at municipal, regional, and national levels; however, there are limitations to calculating consumption at the regional and municipal levels. Consumption is dependent on the socioeconomic metabolism of the area, with its unique composition of industries, consumers, and public facilities, which may affect the most appropriate measures to meet goals effectively. In this study, we evaluated several methods to extrapolate municipality- and region-specific consumption from national-level data so that consumption estimates can be used to aid decision makers or make further analyses like environmental impact evaluation. We compared four approaches and validated our findings using reported consumption values as well as results from another model in use. We found that using per capita values for consumption is satisfactory for counties, but consumption in municipalities and metropolitan areas with populations smaller than 500,000 inhabitants was better described by one of the suggested methods on average

Informing sustainable consumption in urban districts: A method for transforming household expenditures into physical quantities

Interventions targeted at district-level are a potentially effective way to reduce consumption-based urban impacts; however, a systematic method for accounting these impacts at district scale has not yet been developed. This article outlines a method for transforming household expenditure data into consumption quantified on a physical basis. Data sources are combined to calculate monetary value per unit mass for different products consumed by households. Socio-economic household archetypes are selected, and typical consumption for these archetypes is calculated by combining expenditure data from a household budget survey with the calculated monetary values per unit mass. The resulting physical quantities of different products consumed are envisaged as an essential part of performing district scale material flow analysis and urban metabolism studies, also as an input for assessing consumption-based environmental impacts and for designing sustainable consumption policies. The method was applied to characterise consumption in urban districts. The obtained results were used to assess of districts\u27 consumption-based impacts with life cycle assessment (LCA) and to inform design of sharing economy. The method was found to be an effective way to evaluate the demand for products in different districts; this in turn could inform objective measures to aid more sustainable urban consumption

Business cycles and trends in Germany and Portugal: macroeconomic policy implications in the Euro Area

We describe the neoclassical view of the business cycle by European Institutions in the Euro Area, and derive the stylized facts of business cycles and trends for Germany and Portugal in the period 1991–2018. The data are extracted from the European Commission’s AMECO database. To separate cycle and trend, we use the decomposition available in the AMECO database for the output, and the Hodrick-Prescott filter for the other variables. The results show that the amplitude of the business cycle and persistence of shocks are greater in Portugal than in Germany. They also show that the stylized facts of the business cycles of the two economies are quite different. Moreover, common shocks have asymmetric consequences. In the long run, there has been a convergence of inflation, general government structural balances, and real unit labour costs, but general government consolidated gross debt, fixed investment, and per capita potential GDP have been increasingly diverging, despite the behaviour of real wages and net exports in the two countries. Additionally, temporary shocks have permanent effects on the Portuguese economy. The results raise questions about the place-neutral macroeconomic policy enforced by the European institutions in the Euro Area, particularly in what concerns cohesion Member States.info:eu-repo/semantics/acceptedVersio

Cooperative binding in a phosphine oxide-based halogen bonded dimer drives supramolecular oligomerization

The authors thank the Marie Curie Initial Training Network on Replication and Adaption in Networks (ReAd) for financial support (early stage researcher funding to L.M.).Triphenylphosphine oxide forms halogen-bonded (XB) complexes with pentafluoroiodobenzene and a 1,4-diaryl-5-iodotriazole. The stability of these complexes is assessed computationally and by 31P NMR spectroscopy in d8-toluene solution, where both complexes are weakly associated. This knowledge is applied to the design and synthesis of two self-complementary phosphine oxide-iodotriazole hybrids that incorporate a phosphine oxide XB acceptor and a 1,4-diphenyl-5-iodotriazole XB donor within the same molecule. The self-complementary design of these modules facilitates their assembly in both d8-toluene and, surprisingly, d2-DCM into dimers, with significant stabilities, through the formation of halogen-bonded diads. The stability of these assemblies is a result of significant levels of cooperative binding that is present in both solvents. The connection of two of these hybrid units together, using a flexible spacer, facilitates the aggregation of these modules in d2-DCM solution, through halogen bonding, forming oligomeric assemblies.PostprintPeer reviewe