On the Efficiency of Simplified Weak Taylor Schemes for Monte Carlo Simulation in Finance

The purpose of this paper is to study the efficiency of simplified weak schemes for stochastic differential equations. We present a numerical comparison between weak Taylor schemes and their simplified versions. In the simplified schemes discrete random variables, instead of Gaussian ones, are generated to approximate multiple stochastic integrals. We show that an implementation of simplified schemes based on random bits generators significantly increases the computational speed. The efficiency of the proposed schemes is demonstrated.random bits generators; stochastic differential equations; simplified weak taylor schemes

Translating Compliments in Subtitles

pp.91-11

On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance

Event-driven uncertainties such as corporate defaults, operational failures or central bank announcements are important elements in the modelling of financial quantities. Therefore, stochastic differential equations (SDEs) of jump-diffusion type are often used in finance. We consider in this paper weak discrete time approximations of jump-diffusion SDEs which are appropriate for problems such as derivative pricing and the evaluation of risk measures. We present regular and jump-adapted predictor-corrector schemes with first and second order of weak convergence. The regular schemes are constructed on regular time discretizations that do not include jump times, while the jump-adapted schemes are based on time discretizations that include all jump times. A numerical analysis of the accuracy of these schemes when applied to the jump-diffusion Merton model is provided.weak approximations; Monte Carlo simulations; predictor-corrector schemes; jump diffusions

On the Strong Approximation of Jump-Diffusion Processes

In financial modelling, filtering and other areas the underlying dynamics are often specified via stochastic differential equations (SDEs) of jump-diffusion type. The class of jump-diffusion SDEs that admits explicit solutions is rather limited. Consequently, there is a need for the systematic use of discrete time approximations in corresponding simulations. This paper presents a survey and new results on strong numerical schemes for SDEs of jump-diffusion type. These are relevant for scenario analysis, filtering and hedge simulation in finance. It provides a convergence theorem for the construction of strong approximations of any given order of convergence for SDEs driven by Wiener processes and Poisson random measures. The paper covers also derivative free, drift-implicit and jump adapted strong approximations. For the commutative case particular schemes are obtained. Finally, a numerical study on the accuracy of several strong schemes is presented.jump-diffusion processes; stochastic Taylor expansion; discrete time approximation; simulation; strong convergence

On the Strong Approximation of Pure Jump Processes

This paper constructs strong discrete time approximations for pure jump processes that can be described by stochastic differential equations. Strong approximations based on jump-adapted time discretizations, which produce no discretization bias, are analyzed. The computational complexity of these approximations is proportional to the jump intensity. Furthermore, by exploiting a stochastic expansion for pure jump processes, higher order discrete time approximations, whose computational complexity is not dependent on the jump intensity, are proposed. The strong order of convergence of the resulting schemes is analyzed.pure jump processes; stochastic Taylor expansion; discrete time approximation; simulation; strong convergence

Approximation of Jump Diffusions in Finance and Economics

In finance and economics the key dynamics are often specified via stochastic differential equations (SDEs) of jump-diffusion type. The class of jump-diffusion SDEs that admits explicit solutions is rather limited. Consequently, discrete time approximations are required. In this paper we give a survey of strong and weak numerical schemes for SDEs with jumps. Strong schemes provide pathwise approximations and therefore can be employed in scenario analysis, filtering or hedge simulation. Weak schemes are appropriate for problems such as derivative pricing or the evaluation of risk measures and expected utilities. Here only an approximation of the probability distribution of the jump-diffusion process is needed. As a framework for applications of these methods in finance and economics we use the benchmark approach. Strong approximation methods are illustrated by scenario simulations. Numerical results on the pricing of options on an index are presented using weak approximation methods.jump-diffusion processes; discrete time approximation; simulation; strong covergence; weak convergence; benchmark approach; growth optimal portfolio

Accents and dialect as a source of humour: the case of Rio

The present work stems from a research project carried out with G. De Rosa on the dubbing and subtitling of the film Rio (Saldanha, 2011), produced by Blue Sky Studios, in which the original English dialogues are compared and contrasted to translations into several languages, i.e. Brazilian Portuguese and Italian, making occasional reference to other dubbed versions, e.g. the Mexican, Spanish and Portuguese versions. In particular, this paper is devoted to an analy-sis of the Italian dubbing of Rio into Italian, focusing especially on humorous aspects and sociolinguistic variation and drawing a comparison with another animated film, i.e. The Aristocats (Reitherman, 1970)

Audiovisual Texts and Subtitling in the Teaching of Pragmatics

In this paper I analyze the potentialities inscribed in the use of audiovisual material – two different TV series, Lost and Brothers & Sisters – and subtitles (DVD subtitles and the fansubs produced by the two largest Italian fansubbing communities, i.e. Itasa and Subsfactory) in teaching the dynamics of (im)politeness rituals. Since unwritten politeness rules vary considerably across cultures, a TV series offers learners examples of situated language use, where all the semiotic codes contribute equally to communication. In the case of Lost, the setting and the theme of the series make the dialogues simple and essential, with people very often opting out from expected politeness rituals because of the urgency of the situation. These features are not a shortcoming but an advantage, as they facilitate understanding in a teaching context. In Brothers and Sisters, on the other hand, interactions are generally more relaxed, as they involve family members and friends in everyday situations, but because of a high level of intimacy or rivalry between family members, they often dispense with politeness. In particular, I analyze the interactional style, the conversational behavior and politeness, or most often impoliteness, strategies used by the main protagonists of the two series in their pilot episode, showing how different subtitles can be used to favor the understanding and learning of pragmatic phenomena

Compliments in fansubs and in professional subtitles: The case of Lost

This contribution aims to explore the occurrences of compliments and their translations in professional subtitles and fansubs, i.e. subtitles produced by non-professional translators. As an amateur phenomenon, fansubbing does not have to comply with the norms that govern professional subtitling and generally exhibits greater accuracy in rendering idiolectal traits, character identity and intertexual references. For this reason, a comparison between the translation of compliments in professional and non-professional subtitles seemed quite promising, as evidence from previous studies suggests that socio-pragmatic meaning often tends to be jeopardized in interlinguistic subtitles. Their different aims and requisites make it possible for fansubs to grant much more attention to these aspects of language, compliments included, as useful indicators of the social forces at play. This paper offers the results of a linguistic comparison between these two types of subtitles for the American TV series Lost (2004-2010), a popular TV series around the world. The subject matter and the rapid rhythm of the series make the presence of ritual talk quite reduced and abrupt, but the analysis of the rendering of compliments in the DVD subtitles and in the fansubs produced by the two largest Italian fansubber communities, i.e. Itasa (http://www.italiansubs.net) and Subsfactory (http://www.subsfactory.it/) surprisingly shows no major discrepancies

Vocatives in Subtitles: a Survey across Genres

The purpose of this contribution is to investigate the function of vocatives and their translation in interlinguistic subtitles over different film genres. Our previous investigation (Bruti, Perego 2005) was based on a small corpus that included 2 British and 2 American films, belonging approximately to the same genre, i.e. COMEDY (with the exception of "The Talented Mr Ripley", which begins as a COMEDY but turns into a DRAMATIC MYSTERY STORY). This project aims to investigate the various roles vocatives play in the construction of the narrative according to the different needs that different film genres aim to fulfil. The corpus has therefore been extended to include: a full-length animated feature from Walt Disney Pictures ("Bambi", D. Hand, 1942), an action film ("Lethal Weapon 4", R. Donner, 1998), an adaptation from a literary masterpiece ("Sense and Sensibility", A. Lee, 1996), a popular comedy series (two episodes of "Sex and the City", Season 4, “The Agony and the Ex-tasy”, M.P. King, 2001 and “I heart NY”, M.P. King 2002) and an animated series (two episodes of "The Simpsons", “Homer in the night”, R. Moore, 1989-90; “Homer the Moe”, J. Kamerman, 2001-02)