Tail Conditional Expectation for vector-valued Risks

In his paper we introduce a quantile-based risk measure for multivariate financial positions "the vector-valued Tail-conditional-expectation (TCE)". We adopt the framework proposed by Jouini, Meddeb, and Touzi [9] to deal with multi-assets portfolios when one accounts for frictions in the financial market. In this framework, the space of risks formed by essentially bounded random vectors, is endowed with some partial vector preorder >= accounting for market frictions. In a first step we provide a definition for quantiles of vector-valued risks which is compatible with the preorder >=. The TCE is then introduced as a natural extension of the "classical" real-valued tail-conditional-expectation. Our main result states that for continuous distributions TCE is equal to a coherent vector-valued risk measure. We also provide a numerical algorithm for computing vector-valued quantiles and TCE.Risk measures, vector-valued risk measures, coherent risk-measures, quantiles, tail-conditional-expectation

Barrier Option Hedging under Constraints: A Viscosity Approach

We study the problem of finding the minimal initial capital needed in order to hedge without risk a barrier option when the vector of proportions of wealth invested in each risky asset is constraint to lie in a closed convex domain. In the context of a Brownian diffusion model, we provide a PDE characterization of the super-hedging price. This extends the result of Broadie, Cvitanic and Soner (1998) and Cvitanic, Pham and Touzi (1999) which was obtained for plain vanilla options, and provides a natural numerical procedure for computing the corresponding super-hedging price. As a by-product, we obtain a comparison theorem for a class of parabolic PDE with relaxed Dirichet conditions involving a constraint on the gradient.Super-replication, barrier options, portfolio constraints, viscosity solutions

Explicit characterization of the super-replication strategy in financial markets with partial transaction costs

We consider a continuous time multivariate financial market with proportional transaction costs and study the problem of finding the minimal initial capital needed to hedge, without risk, European-type contingent claims. The model is similar to the one considered in Bouchard and Touzi (2000) except that some of the assets can be exchanged freely, i.e. without paying transaction costs. This is the so-called non-effcient friction case. To our knowledge, this is the first time that such a model is considered in a continuous time setting. In this context, we generalize the result of the above paper and prove that the super-replication price is given by the cost of the cheapest hedging strategy in which the number of non-freely exchangeable assets is kept constant over time.Transaction costs, hedging options, viscosity solutions

Making Thinking Visible: Reading Metacognitive Strategies in Intensive English Programs

The use of metacognitive strategies has been linked to increased motivation for reading as well as reading fluency and accuracy. In this study, I evaluated whether teaching three metacognitive strategies (planning, monitoring, and evaluating) would (a) improve intensive English program international students’ metacognitive knowledge, which in turn would (b) improve their comprehension. Eight college English learners (ELs) completed the Metacognitive Awareness of Reading Strategy Inventory (MARSI) (Mokhtari et al., 2018) and a reading test at the beginning of a reading-writing course and again at the end of the course. The results revealed an increase from pretest to posttest in all three domains of reading strategies: global strategies, problem-solving strategies, and support strategies with statistically significant differences in each reading scale. Comprehension test scores revealed mixed results. Whereas performance on true/false and word reference tests did not change significantly from pretest to posttest, performance on wh questions improved across time

The Location of Memory: Diachronic and Synchronic Alibism and Hui Identity

Among China’s various Muslim groups, the Hui stand out on the basis of their ethnicity, history and location, and are considered unlike the Turkic groups in Western territories. The Hui are not confined to a definite region but are present throughout China, and exist in continuous juxtaposition with other groups. For this reason, they determine their identity by simultaneous associations to an exogenous tradition that differentiates them from other Chinese groups, and to endogenous elements that situate them as inherently Chinese. This position of the Hui at the intersection of two presumably mutually-exclusive cultural spheres, namely Muslim and Chinese, results in mode of identity-formation, which I call alibism, and in which identity is founded on the basis of perpetual deferment to an alternative location

Architecture des applications utilisant Watson: cas pratique de l'interrogation d'une base de documents

L’idée initiale de ce travail de bachelor était de créer une application vocale qui utilise les APIs cognitifs de Watson pour interroger une base de documents. Il s’est avéré, après une étude préliminaire, que la création d’une application qui utilise ces APIs cognitifs n’était que la dernière étape dans un grand parcours qui commence par connaître les spécificités des recherches classiques puis le fonctionnement d’un champ de l’intelligence artificielle, à savoir l’apprentissage d’ordonnancement (Learning to rank) et, enfin, maîtriser l’entraînement du système pour répondre à la spécificité de l’application visée. En fait, l'entraînement est le point essentiel, car la façon d’entrainer le système—qualitatif et quantitatif—influence fortement la pertinence des documents retournés. La partie vocale a été laissé de côté pour deux raisons : •Pour ne pas disperser le lecteur et se concentrer sur l’étude des recherches textuelles. •Le service de transformation de voix en texte a pas mal de lacunes pour être intégré avec une recherche textuelle. Pour cette raison nous avons tenté à travers ce document de présenter l’essentiel des connaissances préalables aux développements d’une application cognitive de recherche textuelle. Le travail peut être coupé essentiellement en trois axes : •Les éléments essentiels de Solr qui implémente la recherche classique de la partie Retrieve, •Ce qu’il faut savoir pour entraîner le système pour la partie Rank, •Test de performance du système à travers un jeu de tests pour ressortir quelques conclusions

IEP reading instruction during the COVID-19 emergency remote teaching

Using a mixed method explanatory sequential design, this study investigates intensive English program (IEP) instructors’ perceptions of the impact of COVID-19 emergency remote teaching on reading instruction. Forty-four IEP instructors completed an online survey, and seven of them participated in follow-up interviews. Both quantitative and qualitative results confirmed the impact on the teaching of reading. Some instructors reported having to leave out supplemental learning outcomes and focus on core learning objectives only. Most participants also experienced a decrease in student engagement and student-student interaction during reading and vocabulary instruction. However, student-teacher interaction did not seem impacted. This research supports the view that the teaching of reading is contingent upon multiple factors, particularly the instructional environment

Explicit characterization of the super-replication strategy in financial markets with partial transaction costs

International audienceWe consider a multivariate financial market with transaction costs and study the problem of finding the minimal initial capital needed to hedge, without risk, European-type contingent claims. The model is similar to the one considered in Bouchard and Touzi (2000), except that some of the assets can be exchanged freely, i.e. without paying transaction costs. In this context, we generalize the result of the above paper and prove that the value of this stochastic control problem is given by the cost of the cheapest hedging strategy in which the number of non-freely exchangeable assets is kept constant over time