Error bounds for small jumps of L\'evy processes

The pricing of options in exponential Levy models amounts to the computation of expectations of functionals of Levy processes. In many situations, Monte-Carlo methods are used. However, the simulation of a Levy process with infinite Levy measure generally requires either to truncate small jumps or to replace them by a Brownian motion with the same variance. We will derive bounds for the errors generated by these two types of approximation.Comment: 21 p

Connecting discrete and continuous lookback or hindsight options in exponential L\'evy models

Motivated by the pricing of lookback options in exponential L\'evy models, we study the difference between the continuous and discrete supremum of L\'evy processes. In particular, we extend the results of Broadie et al. (1999) to jump-diffusion models. We also derive bounds for general exponential L\'evy models.Comment: 31 p

Continuity correction for barrier options in jump-diffusion models

33 ppInternational audienceThe aim of this paper is to study the continuity correction for barrier options in jump-diusion models. For this purpose, we express the pay-off a barrier option in terms of the maximum of the underlying process. We then condition with respect to the jump times and to the values of the underlying at the jump times and rely on the connection between the maximum of the Brownian motion and Bessel processes

The Impact Of Organizational Objectives On The Selection Of Defensive Marketing Strategies: Empirical Evidence From A Small Open Economy

Defensive Marketing Strategies (DMSs) do not receive enough attention as offensive or attacking marketing strategies in literature. This gap in the research constitutes a serious weakness in the marketing field. This paper aims to fill this gap in literature by conducting the first study to explore the determinants of the implemented DMSs in Kuwait. Empirically, this study examines the relationship between eight DMSs, demographics, and organizational objectives to define the most prevalent and appropriate DMSs to be deployed in the small open economy of Kuwait. Factor analysis and canonical correlation are used in this study to analyse the obtained data from surveyed board members, CEOs and executive managers of listed companies in the financial sector of Kuwait Stock Exchange (KSE). Results reveal a significant relationship between the eight DMSs and the two sets of identified variables in Kuwait context. Cost leadership strategy ranked the most effective defensive marketing strategy by respondents. Also, results show that organizational objectives are mostly affecting the choice of DMSs

الفقه المالكي في السنغال: الانتشار والتطور - سعيد جاه ومحمد الطاهر الميساوي = The dissemination and development of the Maliki jurisprudence in Senegal

Islam reached sub-Saharan Africa early on by means of Islamic conquests that swept Africa from north to east. The Berbers at that time had all credit for spreading Islam in Sub-Saharan Africa, including Senegal. This paper accounts for a brief historical background and how Maliki jurisprudence is disseminated all over the Republic of Senegal. Senegal is situated in West Africa, where more than eighty scholarly circles, based on the teaching of Maliki jurisprudence, are spread out along the flanks of the Fulani on the banks of the Senegalese river from the heights of Fouta Djallon. These scholarly circles or schools, established by Senegalese jurists and scholars in the region and as time passed, turned from local institutions into becoming centers of learning for many international students coming from outside the country to seek knowledge. This is mostly due to the great reputation and accreditation those scholars had acquired over the years by traveling around the Islamic world to disseminate their knowledge and thoughts in places such as Hijaz (Saudi Arabia) and Morocco. This paper uses a combination of descriptive and historiographical approach to fulfil the objectives set by the study. In the end, it concludes by making some recommendations and suggestions for future studies

Differentiating muscle damage from myocardial injury by meaans of the serum creatinine kinase (CK) isoenzyme MB mass measurement/total CK activity ratio

We immunoenzymometrically measured creatine kinase (CK) isoenzyme MB in extracts of myocardium and in homogenates of five different skeletal muscles. CK-MB concentrations in the former averaged 80.9 micrograms/g wet tissue; in the skeletal muscles it varied widely, being (e.g.) 25-fold greater in diaphragm than in psoas. CK-MB in skeletal muscles ranged from 0.9 to 44 ng/U of total CK; the mean for myocardium was 202 ng/U. In sera from 10 trauma and 36 burn patients without myocardial involvement, maximum ratios for CK-MB mass/total CK activity averaged 7 (SEM 1) ng/U and 18 (SEM 6) ng/U, respectively. Except for an infant (220 ng/U), the highest ratio we found for serum after muscular damage was 38 ng/U. In contrast, the mean maximum ratio determined in 23 cases of acute myocardial infarction exceeded 200 ng/U. Among seven determinations performed 8 to 32 h after onset of symptoms, each infarct patient demonstrated at least one ratio greater than or equal to 110 ng/U. Ratios observed after infarct were unrelated to treatment received during the acute phase. We propose a CK-MB/total CK ratio of 80 ng/U as the cutoff value for differentiating myocardial necrosis from muscular injury

Malaria Transmission Pattern in an Area Selected for Clinical Trials in the Sudanian Area of Senegal (West Africa)

Malaria transmission pattern was studied in 3 villages (Toubanding, Daga Ndoup, and Keur Samba Guèye) situated within an area selected for clinical trials. The study was conducted in the rainy season from July to December 2011. The main objective of this work was to gather baseline data on malaria transmission intensity and other entomological parameters before the advent of clinical trials. Mosquitoes were collected by Human-Landing Collections (HLCs) and by pyrethrum spray catches (PSCs). Five anopheline species were collected, namely, An. arabiensis, An. gambiae, An. funestus, An. pharoensis, and An. rufipes, giving a heterogeneous distribution within the study area. The populations dynamics of the vectors varied temporarily in each village depending on the pattern of the rainy season. Transmission intensity estimated by the entomological inoculation rate (EIR) was measured in each of the three villages with the variations linked to the microecological differences between the villages. Measurements were calculated for August, September, and October and were found to vary between 4 and 30 infected bites per person over the study period with a peak intensity observed in September. These results indicate that epidemiological field trials on malaria could be conducted in this area on the basis of the differences observed with transmission intensity, micro-ecological variations, and the objectives of the trials

Vector competence of Aedes vexans (Meigen), Culex poicilipes (Theobald) and Cx. quinquefasciatus Say from Senegal for West and East African lineages of Rift Valley fever virus

Background Rift Valley fever virus (RVFV; Phlebovirus, Bunyaviridae) is a mosquito–borne, zoonotic pathogen. In Senegal, RVFV was first isolated in 1974 from Aedes dalzieli (Theobald) and thereafter from Ae. fowleri (de Charmoy), Ae. ochraceus Theobald, Ae. vexans (Meigen), Culex poicilipes (Theobald), Mansonia africana (Theobald) and Ma. uniformis (Theobald). However, the vector competence of these local species has never been demonstrated making hypothetical the transmission cycle proposed for West Africa based on serological data and mosquito isolates. Methods Aedes vexans and Cx. poicilipes, two common mosquito species most frequently associated with RVFV in Senegal, and Cx. quinquefasciatus, the most common domestic species, were assessed after oral feeding with three RVFV strains of the West and East/central African lineages. Fully engorged mosquitoes (420 Ae. vexans, 563 Cx. quinquefasciatus and 380 Cx. poicilipes) were maintained at 27 ± 1 °C and 70–80 % relative humidity. The saliva, legs/wings and bodies were tested individually for the RVFV genome using real-time RT-PCR at 5, 10, 15 and 20 days post exposure (dpe) to estimate the infection, dissemination, and transmission rates. Genotypic characterisation of the 3 strains used were performed to identify factors underlying the different patterns of transmission. Results The infection rates varied between 30.0–85.0 % for Ae. vexans, 3.3–27 % for Cx. quinquefasciatus and 8.3–46.7 % for Cx. poicilipes, and the dissemination rates varied between 10.5–37 % for Ae. vexans, 9.5–28.6 % for Cx. quinquefasciatus and 3.0–40.9 % for Cx. poicilipes. However only the East African lineage was transmitted, with transmission rates varying between 13.3–33.3 % in Ae. vexans, 50 % in Cx. quinquefasciatus and 11.1 % in Cx. poicilipes. Culex mosquitoes were less susceptible to infection than Ae. vexans. Compared to other strains, amino acid variation in the NSs M segment proteins of the East African RVFV lineage human-derived strain SH172805, might explain the differences in transmission potential. Conclusion Our findings revealed that all the species tested were competent for RVFV with a significant more important role of Ae. vexans compared to Culex species and a highest potential of the East African lineage to be transmitted