Wishart Stochastic Volatility: Asymptotic Smile and Numerical Framework

In this paper, a study of a stochastic volatility model for asset pricing is described. Originally presented by J. Da Fonseca, M. Grasselli and C. Tebaldi, the Wishart volatility model identifies the volatility of the asset as the trace of a Wishart process. Contrary to a classic multifactor Heston model, this model allows to add degrees of freedom with regard to the stochastic correlation. Thanks to its flexibility, this model enables a better fit of market data than the Heston model. Besides, the Wishart volatility model keeps a clear interpretation of its parameters and conserves an efficient tractability. Firstly, we recall the Wishart volatility model and we present a Monte Carlo simulation method in sight of the evaluation of complex options. Regarding stochastic volatility models, implied volatility surfaces of vanilla options have to be obtained for a short time. The aim of this article is to provide an accurate approximation method to deal with asymptotic smiles and to apply this procedure to the Wishart volatility model in order to well understand it and to make its calibration easier. Inspired by the singular perturbations method introduced by J.P Fouque, G. Papanicolaou, R. Sircar and K. Solna, we suggest an efficient procedure of perturbation for affine models that provides an approximation of the asymptotic smile (for short maturities and for a two-scale volatility). Thanks to the affine properties of the Wishart volatility model, the perturbation of the Riccati equations furnishes the expected approximations. The convergence and the robustness of the procedure are analyzed in practice but not in theory. The resulting approximations allow a study of the parameters influence and can also be used as a calibration tool for a range of parameters.Wishart processes; stochastic volatility models; stochastic; correlation; singular perturbation, asymptotic smile; Monte Carlo simulation

Wishart Stochastic Volatility: Asymptotic Smile and Numerical Framework

48 pagesIn this paper, a study of a stochastic volatility model for asset pricing is described. Originally presented by J. Da Fonseca, M. Grasselli and C. Tebaldi, the Wishart volatility model identifies the volatility of the asset as the trace of a Wishart process. Contrary to a classic multifactor Heston model, this model allows to add degrees of freedom with regard to the stochastic correlation. Thanks to its flexibility, this model enables a better fit of market data than the Heston model. Besides, the Wishart volatility model keeps a clear interpretation of its parameters and conserves an efficient tractability. Firstly, we recall the Wishart volatility model and we present a Monte Carlo simulation method in sight of the evaluation of complex options. Regarding stochastic volatility models, implied volatility surfaces of vanilla options have to be obtained for a short time. The aim of this article is to provide an accurate approximation method to deal with asymptotic smiles and to apply this procedure to the Wishart volatility model in order to well understand it and to make its calibration easier. Inspired by the singular perturbations method introduced by J.P Fouque, G. Papanicolaou, R. Sircar and K. Solna, we suggest an efficient procedure of perturbation for affine models that provides an approximation of the asymptotic smile (for short maturities and for a two-scale volatility). Thanks to the affine properties of the Wishart volatility model, the perturbation of the Riccati equations furnishes the expected approximations. The convergence and the robustness of the procedure are analyzed in practice but not in theory. The resulting approximations allow a study of the parameters influence and can also be used as a calibration tool for a range of parameters

Understanding, Modeling and Managing Longevity Risk: Key Issues and Main Challenges

This article investigates the latest developments in longevity risk modelling, and explores the key risk management challenges for both the financial and insurance industries. The article discusses key definitions that are crucial for the enhancement of the way longevity risk is understood; providing a global view of the practical issues for longevity-linked insurance and pension products that have evolved concurrently with the steady increase in life expectancy since 1960s. In addition, the article frames the recent and forthcoming developments that are expected to action industry-wide changes as more effective regulation, designed to better assess and efficiently manage inherited risks, is adopted. Simultaneously, the evolution of longevity is intensifying the need for capital markets to be used to manage and transfer the risk through what are known as Insurance-Linked Securities (ILS). Thus, the article will examine the emerging scenarios, and will finally highlight some important potential developments for longevity risk management from a financial perspective with reference to the most relevant modelling and pricing practices in the banking industry.Longevity Risk ; securitization ; risk transfer ; incomplete market ; life insurance ; stochastic mortality ; pensions ; long term interest rate ; regulation ; population dynamics

Partial Splitting of Longevity and Financial Risks: The Longevity Nominal Choosing Swaptions

International audienceIn this paper, we introduce a new structured financial product: the so-called Life Nominal Chooser Swaption (LNCS). Thanks to such a contract, insurers could keep pure longevity risk and transfer a great part of interest rate risk underlying annuity portfolios to financial markets. Before the issuance of the contract, the insurer determines a confidence band of survival curves for her portfolio. An interest rate hedge is set up, based on swaption mechanisms. The bank uses this band as well as an interest rate model to price the product. At the end of the first period (e.g. 8 to 10 years), the insurer has the right to enter into an interest rate swap with the bank, where the nominal is adjusted to her (re-forecasted) needs. She chooses (inside the band) the survival curve that better fits her anticipation of future mortality of her portfolio (during 15 to 20 more years, say) given the information available at that time. We use a population dynamics longevity model and a classical two-factor interest rate model %two-factor Heath-Jarrow-Morton (HJM) model for interest rates to price this product. Numerical results show that the option offered to the insurer (in terms of choice of nominal) is not too expensive in many real-world cases. We also discuss the pros and the cons of the product and of our methodology. This structure enables insurers and financial institutions to remain in their initial field of expertise

Securing and Auto-Synchronizing Communication over Free-Space Optics Using Quantum Key Distribution and Chaotic Systems

Free-Space Optical (FSO) communication provides very large bandwidth, relatively low cost, low power, low mass of implementation, and improved security when compared to conventional Free-Space Radio-Frequency (FSRF) systems. In this paper, we demonstrate a communication protocol that demonstrates improved security and longer-range FSO communication, compared to existing FSO security techniques, such as N-slit interferometers. The protocol integrates chaotic communications with Quantum Key Distribution (QKD) techniques. A Lorenz chaotic system, which is inherently secure and auto-synchronized, is utilized for secure data communications over a classical channel, while QKD is used to exchange crucial chaotic system parameters over a secure quantum channel. We also provide a concept of operations for a NASA mission combining chaotic communications and QKD operating synergistically in an end-to-end space communications link. The experimental simulation results and analysis are favorable towards our approach

PENINGKATAN PEMAHAMAN PENCEGAHAN DAN HUKUM KESEHATAN TERKAIT PANDEMI COVID-19 DI KLINIK CAHAYA KEMANG, KABUPATEN BOGOR

The spread of Covid-19 in Indonesia is still very high. One area that has a high impact is Kemang District, which is located in Bogor Regency. The Kemang District people need the right information to help maintain their health and prevent the transmission of Covid-19. Educational activities regarding Covid-19 aim to motivate the public so that they support the government's movement in breaking the chain of spread of Covid-19. The team provided educational media in the form of posters, pocket books, and videos on prevention of transmission and health laws related to Covid-19. In addition, the provision of materials online using ZOOM. The public understands that the prevention of Covid-19 transmission can be done with health protocols and increasing body resistance with a healthy lifestyle and vaccination. A healthy lifestyle includes maintaining a balanced diet with nutrition, exercise, and sleep patterns. Traditional medicines and supplements that are often consumed by the community also need to be adjusted to the needs of each individual. The public also gains insight into health laws related to Covid-19.Penyebaran Covid-19 di Indonesia masih sangat tinggi. Salah satu daerah yang memiliki dampak tinggi adalah Kecamatan Kemang yang terletak di Kabupaten Bogor. Masyarakat Kecamatan Kemang membutuhkan informasi yang tepat untuk membantu menjaga kesehatan diri dan mencegah penularan Covid-19. Kegiatan edukasi mengenai Covid-19 bertujuan untuk memotivasi masyarakat sehingga mendukung gerakan pemerintah dalam pemutusan rantai penyebaran Covid-19. Tim memberikan media edukasi berupa poster, buku saku, dan video pencegahan penularan dan hukum kesehatan terkait Covid-19. Selain itu, pemberian materi secara daring menggunakan ZOOM. Masyarakat memahami bahwa pencegahan penularan Covid-19 dapat dilakukan dengan protokol kesehatan dan peningkatan daya tahan tubuh dengan pola hidup sehat serta vaksinasi. Pola hidup sehat termasuk menjaga pola makan dengan nutrisi seimbang, olahraga, serta pola tidur. Obat tradisional dan suplemen yang sering dikonsumsi masyarakat juga perlu disesuaikan kebutuhan setiap individu. Masyarakat juga mendapatkan wawasan hukum kesehatan terkait Covid-19

MicroRNA and cDNA-Microarray as Potential Targets against Abiotic Stress Response in Plants: Advances and Prospects

Abiotic stresses, such as temperature (heat and cold), salinity, and drought negatively affect plant productivity; hence, the molecular responses of abiotic stresses need to be investigated. Numerous molecular and genetic engineering studies have made substantial contributions and revealed that abiotic stresses are the key factors associated with production losses in plants. In response to abiotic stresses, altered expression patterns of miRNAs have been reported, and, as a result, cDNA-microarray and microRNA (miRNA) have been used to identify genes and their expression patterns against environmental adversities in plants. MicroRNA plays a significant role in environmental stresses, plant growth and development, and regulation of various biological and metabolic activities. MicroRNAs have been studied for over a decade to identify those susceptible to environmental stimuli, characterize expression patterns, and recognize their involvement in stress responses and tolerance. Recent findings have been reported that plants assign miRNAs as critical post-transcriptional regulators of gene expression in a sequence-specific manner to adapt to multiple abiotic stresses during their growth and developmental cycle. In this study, we reviewed the current status and described the application of cDNA-microarray and miRNA to understand the abiotic stress responses and different approaches used in plants to survive against different stresses. Despite the accessibility to suitable miRNAs, there is a lack of simple ways to identify miRNA and the application of cDNA-microarray. The elucidation of miRNA responses to abiotic stresses may lead to developing technologies for the early detection of plant environmental stressors. The miRNAs and cDNA-microarrays are powerful tools to enhance abiotic stress tolerance in plants through multiple advanced sequencing and bioinformatics techniques, including miRNA-regulated network, miRNA target prediction, miRNA identification, expression profile, features (disease or stress, biomarkers) association, tools based on machine learning algorithms, NGS, and tools specific for plants. Such technologies were established to identify miRNA and their target gene network prediction, emphasizing current achievements, impediments, and future perspectives. Furthermore, there is also a need to identify and classify new functional genes that may play a role in stress resistance, since many plant genes constitute an unexplained fraction