Utility based pricing and hedging of jump diffusion processes with a view to applications

We discuss utility based pricing and hedging of jump diffusion processes with emphasis on the practical applicability of the framework. We point out two difficulties that seem to limit this applicability, namely drift dependence and essential risk aversion independence. We suggest to solve these by a re-interpretation of the framework. This leads to the notion of an implied drift. We also present a heuristic derivation of the marginal indifference price and the marginal optimal hedge that might be useful in numerical computations.Comment: 23 pages, v2: publishe

Financial reporting demands in a globalised world: The harmonisation of accounting rules

OECD accounting regimes have significantly changed over the last three decades. Financial reporting rules for (public) companies have become more similar, and the ways in which accounting rules are set and enforced have converged. This paper explores to what extent (financial) globalisation drives convergence of financial reporting systems. We analyse globalisation developments and changes in accounting regulation in six large OECD countries: Canada, France, Germany, Great Britain, Japan and the USA. We identify changes in the demand and supply patters of accounting regulation, and present empirical evidence for the concurrence of financial globalisation and accounting harmonisation. A newly developed financial globalisation index and changes in accounting regulation are jointly analysed. We find that the analysed countries have experienced distinct waves of globalisation since the beginning of the 1970s and that these waves coincide with a delayed accounting harmonisation. -- Die Rechnungslegungssysteme der OECD-Staaten haben sich in den letzten drei Jahrzehnten erheblich verändert. Für kapitalmarktorientierte Unternehmen sind die Rechnungslegungsregeln ähnlicher geworden, und auch die Wege zur Entwicklung und Durchsetzung von Rechnungslegungsnormen haben sich angeglichen. Dieser Beitrag untersucht, in welchem Ausmaß die (finanzielle) Globalisierung eine Konvergenz von Rechnungslegungssystemen vorantreibt. Analysiert werden Globalisierungsentwicklungen und Veränderungen von Rechnungslegungsregulierung in den sechs großen OECD-Staaten: Deutschland, Frankreich, Großbritannien, Japan, Kanada und den USA. Muster im Angebots- und Nachfrageverhalten bezüglich der Regulierung von Rechnungslegung werden untersucht, und dabei wird empirische Evidenz für einen Zusammenfallen von finanzieller Globalisierung und Harmonisierung der Rechnungslegung gefunden. Für die untersuchten Länder können seit Beginn der 1970er Jahre verschiedene Wellen der Globalisierung festgestellt werden, die, zeitlich versetzt, mit einer Harmonisierung von Rechnungslegung korrelieren.

The probability distribution of a trapped Brownian particle in plane shear flows

We investigate the statistical properties of an over-damped Brownian particle that is trapped by a harmonic potential and simultaneously exposed to a linear shear flow or to a plane Poiseuille flow. Its probability distribution is determined via the corresponding Smoluchowski equation, which is solved analytically for a linear shear flow. In the case of a plane Poiseuille flow, analytical approximations for the distribution are obtained by a perturbation analysis and they are substantiated by numerical results. There is a good agreement between the two approaches for a wide range of parameters.Comment: 5 pages, 4 figur

Real-time Spatial Detection and Tracking of Resources in a Construction Environment

Construction accidents with heavy equipment and bad decision making can be based on poor knowledge of the site environment and in both cases may lead to work interruptions and costly delays. Supporting the construction environment with real-time generated three-dimensional (3D) models can help preventing accidents as well as support management by modeling infrastructure assets in 3D. Such models can be integrated in the path planning of construction equipment operations for obstacle avoidance or in a 4D model that simulates construction processes. Detecting and guiding resources, such as personnel, machines and materials in and to the right place on time requires methods and technologies supplying information in real-time. This paper presents research in real-time 3D laser scanning and modeling using high range frame update rate scanning technology. Existing and emerging sensors and techniques in three-dimensional modeling are explained. The presented research successfully developed computational models and algorithms for the real-time detection, tracking, and three-dimensional modeling of static and dynamic construction resources, such as workforce, machines, equipment, and materials based on a 3D video range camera. In particular, the proposed algorithm for rapidly modeling three-dimensional scenes is explained. Laboratory and outdoor field experiments that were conducted to validate the algorithm’s performance and results are discussed

Coupling of Active Motion and Advection Shapes Intracellular Cargo Transport

Intracellular cargo transport can arise from passive diffusion, active motor-driven transport along cytoskeletal filament networks, and passive advection by fluid flows entrained by such motor/cargo motion. Active and advective transport are thus intrinsically coupled as related, yet different representations of the same underlying network structure. A reaction-advection-diffusion system is used here to show that this coupling affects the transport and localization of a passive tracer in a confined geometry. For sufficiently low diffusion, cargo localization to a target zone is optimized either by low reaction kinetics and decoupling of bound and unbound states, or by a mostly disordered cytoskeletal network with only weak directional bias. These generic results may help to rationalize subtle features of cytoskeletal networks, for example as observed for microtubules in fly oocytes.Comment: revtex, 5 pages, 5 figures, to appear in PRL (http://prl.aps.org/