4,263 research outputs found
Rezension zu Katharina KnĂ€pper, Die Religion der frĂŒhen Achaimeniden in ihrem VerhĂ€ltnis zum Avesta, Forschungen zur Antiken Welt (MĂŒnchen 2011)
Option Valuation with Conditional Heteroskedasticity and Non-Normality
We provide results for the valuation of European style contingent claims for a large class of specifications of the underlying asset returns. Our valuation results obtain in a discrete time, infinite state-space setup using the no-arbitrage principle and an equivalent martingale measure. Our approach allows for general forms of heteroskedasticity in returns, and valuation results for homoskedastic processes can be obtained as a special case. It also allows for conditional non-normal return innovations, which is critically important because heteroskedasticity alone does not suffice to capture the option smirk. We analyze a class of equivalent martingale measures for which the resulting risk-neutral return dynamics are from the same family of distributions as the physical return dynamics. In this case, our framework nests the valuation results obtained by Duan (1995) and Heston and Nandi (2000) by allowing for a time-varying price of risk and non-normal innovations. We provide extensions of these results to more general equivalent martingale measures and to discrete time stochastic volatility models, and we analyze the relation between our results and those obtained for continuous time models. Nous prĂ©sentons les rĂ©sultats dâune Ă©tude portant sur lâĂ©valuation de crĂ©ances Ă©ventuelles de style europĂ©en pour une grande variĂ©tĂ© de caractĂ©ristiques liĂ©es au rendement des actifs sous-jacents. Les rĂ©sultats de notre Ă©valuation proposent en temps discret une formule Ă©tat-espace infinie, Ă partir du principe de non-arbitrage et dâune mesure de martingale Ă©quivalente. Notre approche permet de tenir compte de formes gĂ©nĂ©rales dâhĂ©tĂ©roscĂ©dasticitĂ© dans les rendements et dâobtenir, dans des cas spĂ©ciaux, des rĂ©sultats dâĂ©valuation liĂ©s aux processus homoscĂ©dastiques. Elle permet aussi de considĂ©rer les innovations conditionnellement non normales en matiĂšre de rendement, ce qui reprĂ©sente un facteur critique, compte tenu du fait que lâhĂ©tĂ©roscĂ©dasticitĂ© ne permet pas, Ă elle seule, de saisir pleinement le caractĂšre ironique de lâoption. Nous analysons une catĂ©gorie de mesures de martingale Ă©quivalentes dont la dynamique du rendement risque-neutre obtenu est de la mĂȘme famille de distribution que la dynamique du rendement physique. Dans ce cas, notre cadre dâĂ©tude soutient les rĂ©sultats dâĂ©valuation obtenus par Duan (1995) et par Heston et Nandi (2000) et tient compte du coĂ»t du risque variant dans le temps et des innovations non normales. Nous Ă©tendons ces rĂ©sultats aux mesures de martingale Ă©quivalentes plus gĂ©nĂ©rales et aux modĂšles de volatilitĂ© stochastique en temps discret et analysons aussi la relation entre nos rĂ©sultats et ceux obtenus dans le cas des modĂšles en temps continu.GARCH, risk-neutral valuation, no-arbitrage, non-normal innovations, GARCH (hĂ©tĂ©roscĂ©dasticitĂ© conditionnelle autorĂ©gressive gĂ©nĂ©ralisĂ©e), Ă©valuation du risque neutre, absence dâarbitrage, innovations non normales
Model-based Purchase Predictions for Large Assortments
Being able to accurately predict what a customer will purchase next is of paramount importance to successful online retailing. In practice, customer purchase history data is readily available to make such predictions, sometimes complemented with customer characteristics. Given the large assortments maintained by online retail- ers, scalability of the prediction method is just as important as its accuracy. We study two classes of models that use such data to predict what a customer will buy next: A novel approach that uses latent Dirichlet allocation (LDA), and mixtures of Dirichlet-Multinomials (MDM). A key benefit of a model-based approach is the potential to accommodate observed customer heterogeneity through the inclusion of predictor variables. We show that LDA can be extended in this direction while retaining its scalability. We apply the models to purchase data from an online re- tailer and contrast their predictive performance with that of a collaborative filter and a discrete choice model. Both LDA and MDM outperform the other meth- ods. Moreover, LDA attains performance similar to that of MDM while being far more scalable, rendering it a promising approach to purchase prediction in large assortments
Marketing Analytics for High-Dimensional Assortments
Over the past two decades online retailing has become ubiquitous and todayâs large online retailers enable customers to purchase virtually any product. As a consequence product assortments at such retailers are of a different order of magnitude compared to the traditional brick-and-mortar stores. In this dissertation model-based methods are presented that can be used to model purchase decisions in such high-dimensional product assortments.
These methods are able to accurately predict at the individual customer level which product will be purchased next out of the large assortment. In addition, the methods provide substantive insights in the patterns that underlie the observed purchase behavior. The applicability of such methods in practice hinges on their scalability and this holds especially true for online retailers.
Model results should be rapidly obtained and the estimation time should not significantly increase in case the customer base or product assortment expands. Scalability is therefore a focal point in this dissertation. The methods introduced are adaptations and extensions of fast scalable methods from the machine learning literature that make these methods also suitable for the online retailing context. This ensures that estimation times remain feasible even if the size of the retailer increases and opens the way for advanced model-based marketing analytics in high-dimensional assortments
Access to medicines from a health system perspective
Most health system strengthening interventions ignore interconnections between systems components. In particular, complex relationships between medicines and health financing, human resources, health information and service delivery are not given sufficient consideration. As a consequence, populations' access to medicines (ATM) is addressed mainly through fragmented, often vertical approaches usually focusing on supply, unrelated to the wider issue of access to health services and interventions. The objective of this article is to embed ATM in a health system perspective. For this purpose, we perform a structured literature review: we examine existing ATM frameworks, review determinants of ATM and define at which level of the health system they are likely to occur; we analyse to which extent existing ATM frameworks take into account access constraints at different levels of the health system. Our findings suggest that ATM barriers are complex and interconnected as they occur at multiple levels of the health system. Existing ATM frameworks only partially address the full range of ATM barriers. We propose three essential paradigm shifts that take into account complex and dynamic relationships between medicines and other components of the health system. A holistic view of demand-side constraints in tandem with consideration of multiple and dynamic relationships between medicines and other health system resources should be applied; it should be recognized that determinants of ATM are rooted in national, regional and international contexts. These are schematized in a new framework proposing a health system perspective on AT
Using XDAQ in Application Scenarios of the CMS Experiment
XDAQ is a generic data acquisition software environment that emerged from a
rich set of of use-cases encountered in the CMS experiment. They cover not the
deployment for multiple sub-detectors and the operation of different processing
and networking equipment as well as a distributed collaboration of users with
different needs. The use of the software in various application scenarios
demonstrated the viability of the approach. We discuss two applications, the
tracker local DAQ system for front-end commissioning and the muon chamber
validation system. The description is completed by a brief overview of XDAQ.Comment: Conference CHEP 2003 (Computing in High Energy and Nuclear Physics,
La Jolla, CA
The CMS Event Builder
The data acquisition system of the CMS experiment at the Large Hadron
Collider will employ an event builder which will combine data from about 500
data sources into full events at an aggregate throughput of 100 GByte/s.
Several architectures and switch technologies have been evaluated for the DAQ
Technical Design Report by measurements with test benches and by simulation.
This paper describes studies of an EVB test-bench based on 64 PCs acting as
data sources and data consumers and employing both Gigabit Ethernet and Myrinet
technologies as the interconnect. In the case of Ethernet, protocols based on
Layer-2 frames and on TCP/IP are evaluated. Results from ongoing studies,
including measurements on throughput and scaling are presented.
The architecture of the baseline CMS event builder will be outlined. The
event builder is organised into two stages with intelligent buffers in between.
The first stage contains 64 switches performing a first level of data
concentration by building super-fragments from fragments of 8 data sources. The
second stage combines the 64 super-fragments into full events. This
architecture allows installation of the second stage of the event builder in
steps, with the overall throughput scaling linearly with the number of switches
in the second stage. Possible implementations of the components of the event
builder are discussed and the expected performance of the full event builder is
outlined.Comment: Conference CHEP0
5,6,7,8-TetraÂhydroÂquinoline 1-oxide hemihydrate
In the title compound, C9H11NO·0.5H2O, the asymmetric unit contains two similar molÂecules of 5,6,7,8-tetraÂhydroÂquinoline 1-oxide and one water molÂecule. The water molÂecule links the two O atoms of both independent N-oxides into dimers via OâHâŻO hydrogen bonds, forming a three-dimensional network along [101], which is additionally stabilized by weak CâHâŻO interÂmolecular interÂactions. In each molÂecule, the saturated six-membered rings exist in a conformation interÂmediate between a half-chair and sofa
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