157 research outputs found

    VALUATION OF ASIAN OPTIONS IN A HIGH VOLATILITY MARKET WITH JUMPS

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    The evaluation of financial derivatives represents a central part of financial risk management. There are many types of derivatives among other path-dependent options. In this study, we aim at valuing Asian options. They are path dependent and have several benefits. For instance, their values are habitually lower than European options. Also, an Asian option on a commodity drops the risk value close to maturity. Though, the disadvantage is that they are in general difficult to value since the distribution of the payoff is usually unknown. It is agreed in the literature that a stochastic process with a jumps model for the underlying asset provides a more precise value for the option price e.g. [1]. Moreover, the volatility is not constant, and it increases during a crisis see for instance the model of [2]. This work investigates the pricing of Asian options under a modified version of the pioneer Black Scholes model [3]. It aims at suggesting an alternate model that comprises jumps (as in [1] for instance) and increased volatility (see the model of [4]). The study will propose to model the underlying asset with a new “hybrid” stochastic differential equation with jumps and high volatility. Then, under these settings, the valuation of Asian options will be investigated based on the works of [2, 4]. Numerical techniques for finance will be used in this thesis to get a solution to the pricing problem. Several illustrations of the solution will be offered to demonstrate the efficiency of the used methods

    Effective Management and Its Impact on Growth of Small and Medium Sized Pakistani Firms

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    The study is held to observe the impact of Management including Management levels and decision making on the growth of small firms. Study area is Punjab (Pakistan). Small firms have no proper firm structure; they do not follow the formal rules to run the organization. In spite of this, these firms are growing rapidly. If these firms have effective management levels and rational decision making than the firms will grow rapidly. The results show a significant increase in growth by using rational decision making and having effective management levels. Statistical results show that if we spend 1% on independent variable, then it shows an 80% increase in dependent variable

    From Fiscal Decentralisation to Economic Growt The Role of Complementary Institutions

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    Decentralisation is theoretically expected to be a platform towards efficient provision of the local public goods and services. This is expected to boost economic growth due to efficient and effective utilisation of scarce fiscal resources. Nevertheless, the existing empirical studies present mixed results on this expected positive relationship among decentralisation and economic growth. Recently, the theories of fiscal federalism have also pressed upon the enabling environment for effective decentralisation; talking explicitly, an enabling institutional setup is required. The current study explores the complementarity between fiscal decentralisation and other institutions for stimulating growth and the study uses rich crosscountry panel data for the period 1984 to 2012, covering both the developing and developed countries of the world. The results suggest that positive relationship exist between fiscal decentralisation and economic growth for the developed countries while evidence was not found in the case of developing countries. Further, it was found that fiscal decentralisation and quality institutions are complementary for economic growth. JEL Classification: C22, H11, H77, O40 Keywords: Fiscal Decentralisation, Institutions, Economic Growth, Panel Data, unequally spaced panel dat

    On the traffic offloading in Wi-Fi supported heterogeneous wireless networks

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    Heterogeneous small cell networks (HetSNet) comprise several low power, low cost (SBSa), (D2D) enabled links wireless-fidelity (Wi-Fi) access points (APs) to support the existing macrocell infrastructure, decrease over the air signaling and energy consumption, and increase network capacity, data rate and coverage. This paper presents an active user dependent path loss (PL) based traffic offloading (TO) strategy for HetSNets and a comparative study on two techniques to offload the traffic from macrocell to (SBSs) for indoor environments: PL and signal-to-interference ratio (SIR) based strategies. To quantify the improvements, the PL based strategy against the SIR based strategy is compared while considering various macrocell and (SBS) coverage areas and traffic–types. On the other hand, offloading in a dense urban setting may result in overcrowding the (SBSs). Therefore, hybrid traffic–type driven offloading technologies such as (WiFi) and (D2D) were proposed to en route the delay tolerant applications through (WiFi) (APs) and (D2D) links. It is necessary to illustrate the impact of daily user traffic profile, (SBSs) access schemes and traffic–type while deciding how much of the traffic should be offloaded to (SBSs). In this context, (AUPF) is introduced to account for the population of active small cells which depends on the variable traffic load due to the active users

    Assessment of Wastewater Quality of Paharang Drain and its Impact on the Ground Water Quality of Adjacent Areas

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    This study was conducted to assess the effect of wastewater quality of Paharang drain Faisalabad on ground water quality of adjacent areas. Ground water samples and drain water samples were collected and analyzed by using standard methods. Parameters of wastewater samples were compared with Pakistan National Environmental Quality Standards (NEQS). Results indicated that physico-chemical parameters including pH, total dissolved solids (TDS), chloride, fluoride and total hardness were found exceeding the permissible limits in wastewater samples. Similarly, few physicochemical parameters in groundwater were found within the permissible limit while electrical conductivity (EC), TDS, chlorides (Cl), fluoride (F), and total hardness in most of samples were found above the Pak EPA and WHO standard limits. Heavy metals like nickel (Ni), chromium (Cr), iron (Fe), lead (Pb), and arsenic (As) were found within the prescribed concentrations in drain and ground water samples. Statistical analysis showed significant effect of some drain wastewater parameters like conductivity, TDS, salt, temperature, and Cl on the corresponding ground water quality. A strong positive correlation between pH, EC, TDS, Salt, and Cl in drain wastewater and strong positive correlation between EC, TDS and Salt in ground water samples was observed. For improving the ground water quality in the adjacent areas textile wastewater treatment all factories is required, and a combined effluent treatment plant (CETP) at the Paharang drain is also recommended

    Portal biliopathy

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    Portal biliopathy (PB) is a rare disorder, which mostly presents as sub-clinically. It occurs most commonly due to idiopathic extrahepatic portal vein obstruction. We present three cases having features of portal biliopathy secondary to portal hypertension. Our first case did not have a prior history of chronic liver disease while next two patients had previous history of chronic liver disease resulting in portal hypertension. Cavernous transformation of the portal vein due to extrahepatic portal vein obstruction is not infrequent but biliary obstruction in association with this disorder is distinctly uncommon. Proper case management is very important as prolonged biliary duct obstruction can lead to the development of ascending cholangitis or later on secondary biliary cirrhosis

    Median survival time of patients after transcatheter chemo-embolization for hepatocellular carcinoma

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    Objective: To determine the effect on survival after transarterial chemoembolization (TACE) in patients with unresectable hepatocellular carcinoma (HCC).Design: Longitudinal cohort study.PLACE AND DURATION OF STUDY: Radiology Department, The Aga Khan University Hospital, Stadium Road, Karachi, from December 1997 to September 2005.PATIENTS AND Methods: Patients undergoing TACE procedure for HCC were prospectively followed. Fortythree patients were enrolled from December 1997 to March 2003 in the study and subjected to chemoembolization therapy. Eight out of 43 patients were excluded from the study, who lost to follow-up. All the patients were followed till their death. Median and mean survival were calculated.Results: The median survival of these 35 patients was 410 days (13.6 months), with 95% confidence interval (236 days lower bound and 536 days upper bound). Mean survival time was 603 days (20.1 months) with 95% confidence interval (394 days lower bound and 812 days upper bound). There was significant difference in mean survival time (in days) by Child s Pugh class (chi(2) = 12.384; df=2, p-value=0.002).CONCLUSION: The study showed that TACE is an effective palliative treatment. TACE increases the median survival time

    Antidiarrheal and antispasmodic activities of polygonum bistorta rhizomes are mediated predominantly through K+ channels activation

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    Polygonum bistorta is a popular medicinal herb used to treat diarrhea. This study provides pharmacological basis to its folk use in diarrhea using in vivo and in vitro assays. Administration of P. bistorta rhizomes extract to mice offered protection against castor oil-induced diarrhea at 300-1,000 mg/kg and was found safe up to the dose of 5 g/kg. In isolated rabbit jejunum, the extract caused a dose-dependent relaxation of spontaneous and low K+ (25 mM)-induced contractions with weak effect against high K+ (80 mM). In tissues pretreated with glibenclamide or tetraethylammonium chloride (TEA), the relaxant effect of the extract was markedly inhibited by TEA only. While verapamil showed complete relaxation of spontaneous, low K+, low K+ with TEA and high K+-induced contractions. In guinea-pig ileum, mild atropine-sensitive effect was observed. This study indicates that P. bistorta possesses anti-diarrheal and antispasmodic activities mediated predominantly through K+-channels activation along with weak Ca++ antagonist effect
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