On the Existence of Shadow Prices

For utility maximization problems under proportional transaction costs, it has been observed that the original market with transaction costs can sometimes be replaced by a frictionless "shadow market" that yields the same optimal strategy and utility. However, the question of whether or not this indeed holds in generality has remained elusive so far. In this paper we present a counterexample which shows that shadow prices may fail to exist. On the other hand, we prove that short selling constraints are a sufficient condition to warrant their existence, even in very general multi-currency market models with possibly discontinuous bid-ask-spreads.Comment: 14 pages, 1 figure, to appear in "Finance and Stochastics

Invasive Group B Streptococcus Disease With Recurrence and in Multiples: Towards a Better Understanding of GBS Late-Onset Sepsis.

Group B Streptococcus (GBS) is a common intestinal colonizer during the neonatal period, but also may cause late-onset sepsis or meningitis in up to 0.5% of otherwise healthy colonized infants after day 3 of life. Transmission routes and risk factors of this late-onset form of invasive GBS disease (iGBS) are not fully understood. Cases of iGBS with recurrence (n=25) and those occurring in parallel in twins/triplets (n=32) from the UK and Ireland (national surveillance study 2014/15) and from Germany and Switzerland (retrospective case collection) were analyzed to unravel shared (in affected multiples) or fixed (in recurrent disease) risk factors for GBS disease. The risk of iGBS among infants from multiple births was high (17%), if one infant had already developed GBS disease. The interval of onset of iGBS between siblings was 4.5 days and in recurrent cases 12.5 days. Disturbances of the individual microbiome, including persistence of infectious foci are suggested e.g. by high usage of perinatal antibiotics in mothers of affected multiples, and by the association of an increased risk of recurrence with a short term of antibiotics [aOR 4.2 (1.3-14.2), P=0.02]. Identical GBS serotypes in both recurrent infections and concurrently infected multiples might indicate a failed microbiome integration of GBS strains that are generally regarded as commensals in healthy infants. The dynamics of recurrent GBS infections or concurrent infections in multiples suggest individual patterns of exposure and fluctuations in host immunity, causing failure of natural niche occupation

Option Pricing in ARCH-type Models: with Detailed Proofs

ARCH-models have become popular for modelling financial time series. They seem, at first, however, to be incompatible with the option pricing approach of Black, Scholes, Merton et al., because they are discrete-time models and posess too much variability. We show that completeness of the market holds for a broad class of ARCH-type models defined in a suitable continuous-time fashion. As an example we focus on the GARCH(1,1)-M model and obtain, through our method, the same pricing formula as Duan (1995), who applied equilibrium-type arguments. This is an extended version of Kallsen and Taqqu (1995). It includes additional comments and detailed proofs. It also includes a chapter concerning "the equality of filtrations" which deals with the following issue. Trading strategies should be based on information (filtration) that traders posess. In practice, however, one typically assumes that thay are predictable with respect to the filtration generated by a Brownian motion which serves as a b..

Pistachio

Within the Anacardiaceae family, the genus Pistacia L. consists of 11 or more species of which one, P. vera L. or pistachio, is commercially grown for its edible nut. Other Pistacia species are used as rootstocks or used in agroforestry. The cultivated pistachio is native to the Middle East and Central Asia. The center of diversity for wild P. vera is in Northern Iran and Southern Turkmenistan as well as parts of Afghanistan. Iran, the USA, Turkey, and Syria are the main pistachio producing countries, contributing over 90% of the world production. Pistacia species are dioecious with several isolated reports of monoecious individuals. Extensive collections of pistachio cultivars and germplasm resources were assembled at several experimental stations in the middle-southern former Soviet republics during the 1950s and 1960s. Selections of native cultivars in Iran, Italy, Greece, Syria, Turkey, and Tunisia were made and are now conserved. The number of described male and female pistachio cultivars is rather limited, and they are conserved in a few gene banks. The California pistachio industry was started with the introduction of the Kerman cultivar. California pistachios are grown primarily on three rootstocks, two species and one interspecific hybrid from the Pistacia genus. Beside the Californian breeding program, the only organized breeding programs at present are located in Spain, Turkey, and Israel. The California breeding program was formerly focused on -precocity (early bearing), nut size, yield, split percentage, and early season harvest. Early season maturity is important to avoid navel orangeworm damage and to maximize the efficiency of harvest and processing facilities. Disease resistance, especially resistance to Alternaria alternata, has been a secondary objective in the program. Molecular markers have been used for genetic studies and determination of the origin of cultivars. While a number of molecular marker studies have been conducted, a molecular genetic marker map has not been constructed yet. © Springer Science+Business Media, LLC 2012. All rights reserved

On the structure of general mean-variance hedging strategies

We provide a new characterization of mean-variance hedging strategies in a general semimartingale market. The key point is the introduction of a new probability measure $P^{\star}$ which turns the dynamic asset allocation problem into a myopic one. The minimal martingale measure relative to $P^{\star}$ coincides with the variance-optimal martingale measure relative to the original probability measure $P$.

Quadratic hedging in affine stochastic volatility models

Mean-variance hedging, Affine processes, Stochastic volatility, Laplace transform, G11, G13, C61,