1,218 research outputs found
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
Structural Transformation in Developed and Developing Countries
Differences in key features of the development process across rich and poor countries can provide clues to the sources of the large variation of cross-country income. Kuznets included structural transformation as one of six stylized facts of economic development, nding that developed countries all followed the same process. In this paper, I compare structural transformation processes in developed and developing countries. I nd that developing countries follow distinct structural transformation paths that deviate from that followed by developed countries. A puzzling nding is the presence of substantial sectoral changes during times of economic stagnation or decline. --Africa,Asia,Latin America,Structural Transformation,Economic Development,Structural Change
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
Electromagnetic radiation generated by a charged particle plunging into a Schwarzschild black hole: Multipolar waveforms and ringdowns
Electromagnetic radiation emitted by a charged particle plunging from
slightly below the innermost stable circular orbit into a Schwarzschild black
hole is examined. Both even- and odd-parity electromagnetic perturbations are
considered. They are described by using gauge invariant master functions and
the regularized multipolar waveforms as well as their unregularized
counterparts constructed from the quasinormal-mode spectrum are obtained for
arbitrary directions of observation and, in particular, outside the orbital
plane of the plunging particle. They are in excellent agreement and the results
especially emphasize the impact of higher harmonics on the distortion of the
waveforms.Comment: v2: Figures 1 and 7 modified. Minor changes in the text to match the
published versio
Impact of the business environment on output and productivity in Africa
Africa is the poorest part of the world and it has the worst environment for long term business success by most standards. Empirical works normally find a negative correlation between income per worker and measures for poor business environment. This paper develops a general equilibrium model to assess the quantitative effects of the business environment, including access to finance, regulation, crime, corruption and infrastructure, on output and TFP for 30 Sub-Saharan African countries. We find that the quantitative effects of these areas of the business environment are large. They together can explain about 67% of the variation in income per capita relative to the US. Improving these dimensions of the business environment will be key for the long term development of the continent.Business environment, Investment Climate, African Development, Productivity
Impact of the business environment on output and productivity in Africa
We develop a general equilibrium model to assess the quantitative effects of the business environment, including regulation, crime, corruption, infrastructure and access to finance, on output and total factor productivity (TFP) for 30 Sub-Saharan African countries. The first four dimensions create inefficiencies at the firm level and are modeled as a tax on output. From the data, we find that on average firms in Africa lose a fifth of their sales due to those inefficiencies. On the other hand, poor access to credit affects the reallocation of resources across firms, capital formation and production scale. We find that the quantitative effects of these dimensions of the business environment are large, leading to decreases in output and TFP in the range of 40 to 77 percent and 18 to 44 percent respectively. Overall, they explain 67 percent of the variation in income per worker relative to the US.Business environment, Investment Climate, African Development, Productivity, Credit Constraints
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