Arbitrage Based Pricing When Volatility Is Stochastic

One of the early examples of stochastic volatility models is Clark [1973]. He suggested that asset price movements should be tied to the rate at which transactions occur. To accomplish this, he made a distinction between transaction time and calendar time. This framework has hitherto been relatively unexploited to study derivative security pricing. This paper studies the implications of absence of arbitrage in economies where: (i) trade takes place in transaction time, (ii) there is a single state variable whose transaction-time price path is binomial, (iii) there are risk-free bonds with calendar-time maturities, and (iv) the relation between transaction time and calendar time is stochastic. The state variable could be interpreted in various ways. For example, it could be the price of a share of stock, as in Black and Scholes [1973], or a factor that summarizes changes in the investment opportunity set, as in Cox, Ingersoll and Ross [1985], or one that drives changes in the term structure of interest rates (Ho and Lee [1986], Heath, Jarrow and Morton [1992]). Property (iv) generally introduces stochastic volatility in the process of the state variable when recorded in calendar time. The paper investigates the pricing of derivative securities with calendar-time maturity. The restrictions obtained in Merton (1973) using simple buy-and-hold arbitrage portfolio arguments do not necessarily hold. Conditions are derived for all derivatives to be priced by dynamic arbitrage, i.e., for market completeness in the sense of Harrison and Pliska [1981]. A particular class of stationary economies where markets are indeed complete is characterized. Nous étudions la problématique de détermination de prix d'options lorsque la volatilité est stochastique. Normalement, la présence d'une volatilité stochastique entraîne une incomplétude des marchés. Nous proposons une approche par arbitrage, malgré cette apparente incomplétude. Elle consiste à exploiter une modélisation de la volatilité, proposée par Clark (1973), fondée sur une distinction entre un temps calendaire et un temps de transaction. En faisant cette distinction et en supposant qu'il y a une simple variable d'état binomiale en temps de transaction et un taux sans risque en temps calendaire, nous discutons les conditions d'absence d'opportunités d'arbitrage. Nous caractérisons les conditions permettant la détermination des prix d'options par arbitrage dynamique dans le sens de Harrison et Pliska (1981) et nous montrons que les restrictions à la Merton (1973) ne s'appliquent plus.Incomplete Markets, Transaction Time, Change of Time, Stochastic Volatility, Marchés incomplets, Temps de transaction, Changement de temps, Volatilité stochastique

Topological and algebraic properties of universal groups for right-angled buildings

We study universal groups for right-angled buildings. Inspired by Simon Smith's work on universal groups for trees, we explicitly allow local groups that are not necessarily finite nor transitive. We discuss various topological and algebraic properties in this extended setting. In particular, we characterise when these groups are locally compact, when they are abstractly simple, when they act primitively on residues of the building, and we discuss some necessary and sufficient conditions for the groups to be compactly generated. We point out that there are unexpected aspects related to the geometry and the diagram of these buildings that influence the topological and algebraic properties of the corresponding universal groups.Comment: 31 page

The impact of demographic change and its challenges for the workforce in the European public sectors. Three priority areas to invest in future HRM. EIPA Working Paper 2012/W/01

European public sectors are particularly affected by the demographic challenge and an ageing and shrinking workforce. According to OECD statistics, over 30% of public employees of central government in 13 countries will leave during the next 15 years. Moreover, the public sector has as compared to the private sector to rely on a much older workforce, who will have to work longer in future. Against this background, European governments need to react and re-think major elements of current HR and organisational management in the public sector. Particularly the skills in age management should be improved in order to also maintain in future a highly productive, competent and efficient public sector and to ensure that public employees stay longer ‘employable’, ‘healthy’, ‘fit for the job’ and ‘up to the task’. The survey suggests some solutions by investing more in three priority areas in the field of HRM

La part arménienne des études turques

En 1890, les répétiteurs de turc des écoles de langues orientales en Europe sont tous Arméniens. Trente ans plus tard, il n’y en a plus qu’un – et encore. La présente enquête revient sur cette séquence arménienne de la turcologie (des années 1850 à la Grande Guerre), au moment où le domaine se disciplinarise. Une séquence généralement oubliée des histoires de la turcologie, qui ont privilégié les grands noms – nationaux – au détriment des subalternes et des Orientaux. Cet oubli tient aussi à la turquification qui touche la discipline au tournant du siècle, et qui débouche sur le remplacement des Arméniens par des répétiteurs « Turcs », considérés plus conformes. Après un état des lieux et une mise au point sur le statut de répétiteur, qui institue une hiérarchie entre professeurs (nationaux) et « répétiteurs indigènes » (orientaux), j’examine les conditions de cette préférence arménienne, les modalités de recrutement et le rôle majeur des Arméniens dans l’enseignement de la langue turque, mais aussi dans son étude.In 1890, the lecturers (répétiteurs) of Turkish in the Schools of Oriental languages in Europe are all Armenians. Thirty years later, there is only one left. This enquiry looks at this Armenian sequence (from the 1850s to the Great War), as the discipline becomes an autonomous field of study. This sequence has often been forgotten in the narratives about Turkology, that privileged great – national – names to the detriment of subalterns and Orientals. The status of lecturer institutes indeed a hierarchy between (national) professors and (Oriental) “indigenous lecturers”. The oblivion also stems from the “Turkification” of the discipline at the turn of the century, that leads to the substitution of Armenians by “Turkish” lecturers, considered as more ideologically compliant. After an inventory of these teachers and clarifications about the status of lecturer, I examine the conditions of this Armenian preference, the modes of recruitment and the critical role played by Armenians in the teaching of the Turkish language and in its study

Social Participation of Students with Special Educational Needs in Mainstream Seventh Grade

AbstractThis study addresses the social participation of students with special educational needs (SEN) in mainstream 7th grade in Flanders (Belgium). Social participation (i.e., social interactions, peer acceptance, friendships, and social self-concept) was assessed by means of questionnaires among 86 students with autism spectrum disorder (ASD), 61 students with motor and/or sensory disabilities (MOTSENS) and 1926 normally developing classmates. Seventh grade students with ASD scored less favorably in all aspects. Girls with MOTSENS scored less favorably on some aspects of social participation than typically expected of their peers. The social participation of students with ASD and students with MOTSENS did not differ significantly

Transturcologiques

État des lieux L’histoire de la turcologie a été largement négligée. Les études turques ont certes fait l’objet de plusieurs récapitulations sous forme de manuels ou de numéros de revue (par exemple Yeni Türkiye 2002 ou TALD 2010). Cette littérature a principalement été produite par les turcologues eux-mêmes, soucieux de dresser un état du champ ou de rendre hommage à leurs prédécesseurs, raison pour laquelle elle revêt souvent une forte tonalité internaliste et hagiographique. La plupart du ..

Treatment protocols and management of retained fetal membranes in cattle by rural practitioners in Belgium

Retained fetal membranes (RFM) is a frequent postpartum disorder in cattle causing considerable economic losses, and a common indication for antibiotic (AB) administration. There is controversy with regard to the treatment of RFM, and scientific recommendations are often in conflict with current legislation on AB use and practical routines in the field. The aim of this study was to assess the therapeutic approaches of RFM by Belgian rural veterinarians. A digital survey was sent to 468 Belgian veterinarians; 149 complete questionnaires (Wallonia: 78; Flanders: 71) were obtained. Survey questions captured socio-demographic characteristics, case definition, therapeutic approaches and treatment options for RFM. Questions on treatment were duplicated for dairy and beef cattle. When confronted with dairy cows suffering from RFM without fever, 35.6 % of vets do not treat with AB, while the majority administers AB, either intrauterine (47.6 %), systemically (10.7 %) or both (6.1 %). Dairy cows with RFM and fever receive a systemic (33.5 %), intrauterine (2.7 %) or combined (61.8 %) AB treatment. For a beef cow with RFM without fever, 21.5 % of vets prefer no AB treatment, while others prefer an intrauterine (24.2 %), systemic (24.8 %), combined (29.5 %) AB treatment. Beef cows with RFM and fever receive AB from the large majority of vets, by systemic (34.9 %) or combined (56.3 %) administration. In case of a parenteral treatment, benzylpenicillin, amoxicillin and ampicillin are by far the most frequently used molecules; only a minority of vets use cephalosporins. Manual placental removal is attempted by 93.9 % of the respondents. These results demonstrate that there is room for improvement when considering the treatment protocols of RFM. Many veterinarians use AB in RFM cows not presenting symptoms of general illness, or administer intrauterine AB in cows with or without clinical signs of illness. Concerning the molecules of choice, practical routines are largely in line with national AB recommendations. Beef cows suffering from RFM are treated more rigorously than dairy cows, regardless of their rectal temperature

A comparison of the CAM-ICU and the NEECHAM Confusion Scale in intensive care delirium assessment: an observational study in non-intubated patients

No summary availabl

Description of plasma penicillin G concentrations after intramuscular injection in double-muscled cows to optimize the timing of antibiotherapy for Caesarean section

In order to improve the efficacy of penicillin injection during caesarean section, we aimed to identify the optimal timing of its preoperative administration. A study was conducted in 12 adult, non-pregnant Belgian Blue cows. To evaluate the plasma penicillin concentrations, blood samples were taken from the jugular vein at −5, 15, 30, 45, 60, 120, 240, 480 min relative to the intramuscular (IM) injection of 21,000 IU/kg of body weight of penicillin G. Results showed that plasma concentrations at 15 min after IM injection (668.3 ± 73.7 ng/mL) largely exceeded the minimal inhibitory concentration (MIC) of penicillin-sensitive bacteria (MIC &lt; 125 ng/mL). With increasing time, plasma concentrations continued to rise, attaining an increasing proportion of moderately sensitive bacteria (250 ng/mL &gt; MIC &lt; 2000 ng/mL). The maximal concentration was reached between 1 and 4 h (average: 1.495.1 ± 181.7 ng/mL) after IM injection in the majority of cows, and decreased non-significantly to 1002.1 ± 93.2 ng/mL at 8 h. In conclusion, plasma penicillin concentrations at 15 min after an IM injection inhibit penicillin-sensitive bacteria. However, in order to obtain the maximal protective effect of the antibiotherapy, surgery should be started at 1 to 2 h after IM penicillin injection.</jats:p