Forecast performance of implied volatility and the impact of the volatility risk premium

Forecasting volatility has received a great deal of research attention, with the relative performance of econometric models based on time-series data and option implied volatility forecasts often being considered. While many studies find that implied volatility is the preferred approach, a number of issues remain unresolved. Implied volatilities are risk-neutral forecasts of spot volatility, whereas time-series models are estimated on risk-adjusted or real world data of the underlying. Recently, an intuitive method has been proposed to adjust these risk-neutral forecasts into their risk-adjusted equivalents, possibly improving on their forecast accuracy. By utilising recent econometric advances, this paper considers whether these risk-adjusted forecasts are statistically superior to the unadjusted forecasts, as well as a wide range of model based forecasts. It is found that an unadjusted risk-neutral implied volatility is an inferior forecast. However, after adjusting for the risk premia it is of equal predictive accuracy relative to a number of model based forecasts.Implied volatility, volatility forecasts, volatility models, volatility risk premium, model confidence sets

Biblical Literacy: Developing a Habit of Personal Bible Reading Among the Members of Contending for the Faith Christian Fellowship

Biblical literacy is an important value in the life of any person, and especially in the life of a believer in Jesus Christ. However, all too often, believers lack a firm grasp of Scripture knowledge and understanding, and consequently, are unprepared to detect and avoid erroneous teaching and to “contend for the faith that was once for all entrusted to the saints” (Jude 3). One of the reasons for this pervasive lack of biblical literacy among many believers is because there is a lack in the development of a habit in personal Bible reading outside of the weekly church services. Therefore, it is the purpose of this thesis project to transition the members of Contending for the Faith Christian Fellowship from only reading the Bible during Sunday and mid-week services to reading it personally and regularly on a weekly basis outside of the scheduled church services. In order to achieve this goal for the members of Contending for the Faith Christian Fellowship, the questionnaire research method was conducted on 12 voluntary members of the church, along with a four week Bible reading exercise. The results were collected confidentially, analyzed, and reported, comparing the pre-four week Bible reading exercise to the post-four week Bible reading exercise

Causal Dependence Tree Approximations of Joint Distributions for Multiple Random Processes

We investigate approximating joint distributions of random processes with causal dependence tree distributions. Such distributions are particularly useful in providing parsimonious representation when there exists causal dynamics among processes. By extending the results by Chow and Liu on dependence tree approximations, we show that the best causal dependence tree approximation is the one which maximizes the sum of directed informations on its edges, where best is defined in terms of minimizing the KL-divergence between the original and the approximate distribution. Moreover, we describe a low-complexity algorithm to efficiently pick this approximate distribution.Comment: 9 pages, 15 figure

Fast self-shadowing using occluder textures

A real-time self-shadowing technique is described. State of the art shadowing techniques that utilize modern hardware often require multiple rendering passes and introduce rendering artifacts. Combining separate ideas from earlier techniques which project geometry onto a plane and project imagery onto an object results in a new real-time technique for self-shadowing. This technique allows an artist to construct occluder textures and assign them to shadow planes for a self-shadowed model. Utilizing a graphics processing unit (GPU), a vertex program computes shadowing coordinates in real-time, while a fragment program applies the shading and shadowing in a single rendering pass. The methodology used to create shadow planes and write the vertex and fragment programs is given, as well as the relation to the previous work. This work includes implementing this technique, applying it to a small set of test models, describing the types of models for which the technique is well suited, as well as those for which it is not well suited, and comparing the techniqueâÂÂs performance and image quality to other state of the art shadowing techniques. This technique performs as well as other real-time techniques and can reduce rendering artifacts in certain circumstances