6,132 research outputs found
RMCMC: A System for Updating Bayesian Models
A system to update estimates from a sequence of probability distributions is
presented. The aim of the system is to quickly produce estimates with a
user-specified bound on the Monte Carlo error. The estimates are based upon
weighted samples stored in a database. The stored samples are maintained such
that the accuracy of the estimates and quality of the samples is satisfactory.
This maintenance involves varying the number of samples in the database and
updating their weights. New samples are generated, when required, by a Markov
chain Monte Carlo algorithm. The system is demonstrated using a football league
model that is used to predict the end of season table. Correctness of the
estimates and their accuracy is shown in a simulation using a linear Gaussian
model
The chopthin algorithm for resampling
Resampling is a standard step in particle filters and more generally
sequential Monte Carlo methods. We present an algorithm, called chopthin, for
resampling weighted particles. In contrast to standard resampling methods the
algorithm does not produce a set of equally weighted particles; instead it
merely enforces an upper bound on the ratio between the weights. Simulation
studies show that the chopthin algorithm consistently outperforms standard
resampling methods. The algorithms chops up particles with large weight and
thins out particles with low weight, hence its name. It implicitly guarantees a
lower bound on the effective sample size. The algorithm can be implemented
efficiently, making it practically useful. We show that the expected
computational effort is linear in the number of particles. Implementations for
C++, R (on CRAN), Python and Matlab are available.Comment: 14 pages, 4 figure
Recursive Calculation of Effective Potential and Variational Resummation
We set up a method for a recursive calculation of the effective potential
which is applied to a cubic potential with imaginary coupling. The result is
resummed using variational perturbation theory (VPT), yielding an exponentially
fast convergence.Comment: Author Information under
http://www.physik.fu-berlin.de/~kleinert/institution.html Latest update of
paper (including all PS fonts) at
http://www.physik.fu-berlin.de/~kleinert/350
The impact of delivery risk on optimal production and futures hedging
Multiple delivery specifications exist on nearly all commodity futures contracts. Sellers are typically allowed to choose among several grades of the underlying commodity. On the delivery day, the futures price converges to the spot price of the cheapest-to-deliver grade rather than to that of the par-delivery grade of the commodity. This imposes an additional delivery risk on hedgers. This paper derives the optimal production and futures hedging strategy for a risk-averse competitive firm in the presence of delivery risk. We show that, depending on its relative valuation, the delivery option may induce the firm to produce more than in the absence of delivery risk. If delivery risk is additively related to commodity price risk, the firm will under-hedge its exposure to commodity price risk. If delivery risk is multiplicatively related to commodity price risk, the firm will under- or over-hedge this exposure. For constant relative risk aversion, this is illustrated by a numerical example.delivery risk, futures, risk management, production
Restricted Export Flexibility and Risk Management with Options and Futures
This paper examines the production, export and risk management decisions of a risk-averse competitive firm under exchange rate risk. The firm is export flexible in allocating its output to either the domestic market or a foreign market after observing the exchange rate. Export flexibility is restricted by certain minimum sales requirements that are due to long-term considerations. Currency options are sufficient to derive a separation result under restricted export flexibility. Under fairly priced currency futures and options, full hedging with both instruments is optimal. Introducing fairly-priced currency options stimulates production provided that the currency futures market is unbiased.restricted export flexibility, risk management, currency futures, currency options
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