Random Time Forward Starting Options

We introduce a natural generalization of the forward-starting options, first discussed by M. Rubinstein. The main feature of the contract presented here is that the strike-determination time is not fixed ex-ante, but allowed to be random, usually related to the occurrence of some event, either of financial nature or not. We will call these options {\bf Random Time Forward Starting (RTFS)}. We show that, under an appropriate "martingale preserving" hypothesis, we can exhibit arbitrage free prices, which can be explicitly computed in many classical market models, at least under independence between the random time and the assets' prices. Practical implementations of the pricing methodologies are also provided. Finally a credit value adjustment formula for these OTC options is computed for the unilateral counterparty credit risk.Comment: 19 pages, 1 figur

Fourier transform pure nuclear quadrupole resonance by pulsed field cycling

We report the observation of Fourier transform pure NQR by pulsed field cycling. For deuterium, well resolved spectra are obtained with high sensitivity showing the low frequency nu0 lines and allowing assignments of quadrupole couplings and asymmetry parameters to inequivalent deuterons. The technique is ideally applicable to nuclei with low quadrupolar frequencies (e.g., 2D, 7Li, 11B, 27Al, 23Na, 14N) and makes possible high resolution structure determination in polycrystalline or disordered materials

Extreme times for volatility processes

We present a detailed study on the mean first-passage time of volatility processes. We analyze the theoretical expressions based on the most common stochastic volatility models along with empirical results extracted from daily data of major financial indices. We find in all these data sets a very similar behavior that is far from being that of a simple Wiener process. It seems necessary to include a framework like the one provided by stochastic volatility models with a reverting force driving volatility toward its normal level to take into account memory and clustering effects in volatility dynamics. We also detect in data a very different behavior in the mean first-passage time depending whether the level is higher or lower than the normal level of volatility. For this reason, we discuss asymptotic approximations and confront them to empirical results with a good agreement, specially with the ExpOU model.Comment: 10, 6 colored figure

Generalised risk-sensitive control with full and partial state observation

This paper generalises the risk-sensitive cost functional by introducing noise dependent penalties on the state and control variables. The optimal control problems for the full and partial state observation are considered. Using a change of probability measure approach, explicit closed-form solutions are found in both cases. This has resulted in a new risk-sensitive regulator and filter, which are generalisations of the well-known classical results

Endoscopic Obliteration for Bleeding Peptic Ulcer

A group of 133 patients treated for bleeding peptic ulcer in our Department, is reviewed. Within several hours of admission, all patients underwent upper gastrointestinal tract gastroscopy and obliteration of the bleeding ulcer. Bleeding gastric ulcers were found in 41 patients, and duodenal ulcers in 92 patients. Patients were classified according to the Forrest scale: IA – 11 patients, IB – 49 patients, IIA – 35 patients, lIB – 40 patients. In 126 (94.7%) patients the bleeding was stopped, and 7 required urgent surgery: 3 patients with gastric ulcer underwent gastrectomy, and 4 with duodenal ulcer – truncal vagotomy with pyloroplasty and had the bleeding site underpinned. Fifty-five patients underwent elective surgery: gastrectomy and vagotomy (18 patients with gastric ulcer), highly selective vagotomy (25 patients with duodenal ulcer) and truncal vagotomy and pyloroplasty (12 patients with duodenal ulcer). None of the patients was observed to have recurrent bleeding

Boundary-crossing identities for diffusions having the time-inversion property

We review and study a one-parameter family of functional transformations, denoted by (S (β)) β∈ℝ, which, in the case β<0, provides a path realization of bridges associated to the family of diffusion processes enjoying the time-inversion property. This family includes Brownian motions, Bessel processes with a positive dimension and their conservative h-transforms. By means of these transformations, we derive an explicit and simple expression which relates the law of the boundary-crossing times for these diffusions over a given function f to those over the image of f by the mapping S (β), for some fixed β∈ℝ. We give some new examples of boundary-crossing problems for the Brownian motion and the family of Bessel processes. We also provide, in the Brownian case, an interpretation of the results obtained by the standard method of images and establish connections between the exact asymptotics for large time of the densities corresponding to various curves of each family