Inf-convolution of G-expectations

In this paper we will discuss the optimal risk transfer problems when risk measures are generated by G-expectations, and we present the relationship between inf-convolution of G-expectations and the inf-convolution of drivers G.Comment: 23 page

Web browser as platform for audiovisual performances

The present study aims to address the following research question: how to create a tool for audiovisual performance, allowing for real-time usage of shared online visual resources, which can be customizable, and used across a variety of different hardware platforms? To address this issue, we have developed AVVX (AudioVisual Vector eXchange), a novel application for audiovisual performances, based on open web technologies such as HTML5, JavaScript and SVG (Scalable Vector Graphics). This paper contextualizes AVVX with related work and technologies, and then presents the design and development of the software. Taking as a starting point a workshop conducted with AVVX, the project has been evaluated by means of a questionnaire and user tests. The results of the tests indicate that the web browser, together with open web technologies, can provide a foundation for a customizable, content-sharing and multi-platform approach to audiovisual performance

Pricing Options in Incomplete Equity Markets via the Instantaneous Sharpe Ratio

We use a continuous version of the standard deviation premium principle for pricing in incomplete equity markets by assuming that the investor issuing an unhedgeable derivative security requires compensation for this risk in the form of a pre-specified instantaneous Sharpe ratio. First, we apply our method to price options on non-traded assets for which there is a traded asset that is correlated to the non-traded asset. Our main contribution to this particular problem is to show that our seller/buyer prices are the upper/lower good deal bounds of Cochrane and Sa\'{a}-Requejo (2000) and of Bj\"{o}rk and Slinko (2006) and to determine the analytical properties of these prices. Second, we apply our method to price options in the presence of stochastic volatility. Our main contribution to this problem is to show that the instantaneous Sharpe ratio, an integral ingredient in our methodology, is the negative of the market price of volatility risk, as defined in Fouque, Papanicolaou, and Sircar (2000).Comment: Keywords: Pricing derivative securities, incomplete markets, Sharpe ratio, correlated assets, stochastic volatility, non-linear partial differential equations, good deal bound

Exponential martingales and changes of measure for counting processes

We give sufficient criteria for the Dol\'eans-Dade exponential of a stochastic integral with respect to a counting process local martingale to be a true martingale. The criteria are adapted particularly to the case of counting processes and are sufficiently weak to be useful and verifiable, as we illustrate by several examples. In particular, the criteria allow for the construction of for example nonexplosive Hawkes processes as well as counting processes with stochastic intensities depending on diffusion processes

The Future of Radio Revisited: Expert Perspectives and Future Scenarios for Radio Media in 2025

In 2005-2006 the research group DRACE (Digital Radio Cultures in Europe) performed a study on how 43 people in key positions related to the radio industry in four European countries and Canada viewed the future of radio and which delivery technologies they considered would be most successful. In addition, it analyzed the motives and reasons why certain technologies were seen as more promising than others. Finally, it presented four different future scenarios for radio media. The study was published in the Journal of Radio and Audio Media, May 2008. In 2005 the future of radio was considered much less obvious and clear than it appeared 10 years previously. Instead of a transition from analog to digital audio broad- casting (DAB), there was a selection of alternative technological options for digital audio delivery. When looking back from 2015 and considering the results of expert interviews, the project group about Public Service Media in the HERA project: Transnational Radio Encounters found interesting perspectives in replicating this study – now looking forward to 2025. By using the same questionnaire and interviewing the same experts (or new persons in the same positions) they could both confront the predictions with the present situation, looking for technological, regulatory, policy based, user oriented contexts. Furthermore, they could ask the experts to look ten years forward from now. Besides from the interviews, desk studies were in order to explore the national similarities and differences as background for the analysis of the scenarios for the 2015 and 2025 studies. This comparative study involves Denmark, Finland, Germany, Ireland and the UK

Performance of utility based strategies for hedging basis risk

The performance of optimal strategies for hedging a claim on a non-traded asset is analyzed. The claim is valued and hedged in a utility maximization framework, using exponential utility. A traded asset, correlated with that underlying the claim, is used for hedging, with the correlation $\rho$ typically close to 1. Using a distortion method (Zariphopoulou 2001, Finance and Stochastics 5, 61-82) we derive a nonlinear expectation representation for the claim's ask price and a formula for the optimal hedging strategy. We generate a perturbation expansion for the price and hedging strategy in powers of $\epsilon^{2}=1-\rho^{2}$. The terms in the price expansion are proportional to the central moments of the claim payoff under the minimal martingale measure. The resulting fast computation capability is used to carry out a simulation based test of the optimal hedging program, computing the terminal hedging error over many asset price paths. These errors are compared with those from a naive strategy which uses the traded asset as a proxy for the non-traded one. The distribution of the hedging error acts as a suitable metric to analyze hedging performance. We find that the optimal policy improves hedging performance, in that the hedging error distribution is more sharply peaked around a non-negative profit. The frequency of profits over losses is increased, and this is measured by the median of the distribution, which is always increased by the optimal strategies. An empirical example illustrates the application ofthe method to the hedging of a stock basket using index futures

Robust pricing and hedging of double no-touch options

Double no-touch options, contracts which pay out a fixed amount provided an underlying asset remains within a given interval, are commonly traded, particularly in FX markets. In this work, we establish model-free bounds on the price of these options based on the prices of more liquidly traded options (call and digital call options). Key steps are the construction of super- and sub-hedging strategies to establish the bounds, and the use of Skorokhod embedding techniques to show the bounds are the best possible. In addition to establishing rigorous bounds, we consider carefully what is meant by arbitrage in settings where there is no {\it a priori} known probability measure. We discuss two natural extensions of the notion of arbitrage, weak arbitrage and weak free lunch with vanishing risk, which are needed to establish equivalence between the lack of arbitrage and the existence of a market model.Comment: 32 pages, 5 figure

Web Browser as Platform for Audiovisual Performances

The present study aims to address the following research question: how to create a tool for audiovisual performance, allowing for real-time usage of shared online visual resources, which can be customizable, and used across a variety of different hardware platforms? To address this issue, we have developed AVVX (AudioVisual Vector eXchange), a novel application for audiovisual performances, based on open web technologies such as HTML5, JavaScript and SVG (Scalable Vector Graphics). This paper contextualizes AVVX with related work and technologies, and then presents the design and development of the software. Taking as a starting point a workshop conducted with AVVX, the project has been evaluated by means of a questionnaire and user tests. The results of the tests indicate that the web browser, together with open web technologies, can provide a foundation for a customizable, content-sharing and multi-platform approach to audiovisual performance