An efficient dual Monte Carlo upper bound for Bermudan style derivatives

Based on a duality approach for Monte Carlo construction of upper bounds for American/Bermudan derivatives (Rogers, Haugh & Kogan), we present a new algorithm for computing dual upper bounds in an efficient way. The method is applied to Bermudan swaptions in the context of a LIBOR market model, where the dual upper bound is constructed from the maximum of still alive swaptions. We give a numerical comparison with Andersen's lower bound method and its dual considered by Andersen & Broadie

Monte Carlo Greeks for financial products via approximative Greenian kernels

In this paper we introduce efficient Monte Carlo estimators for the valuation of high-dimensional derivatives and their sensitivities (''Greeks''). These estimators are based on an analytical, usually approximative representation of the underlying density. We study approximative densities obtained by the WKB method. The results are applied in the context of a Libor market model

Enhanced policy iteration for American options via scenario selection

In Kolodko \& Schoenmakers (2004) and Bender \& Schoenmakers (2004) a policy iteration was introduced which allows to achieve tight lower approximations of the price for early exercise options via a nested Monte-Carlo simulation in a Markovian setting. In this paper we enhance the algorithm by a scenario selection method. It is demonstrated by numerical examples that the scenario selection can significantly reduce the number of actually performed inner simulations, and thus can heavily speed up the method (up to factor 10 in some examples). Moreover, it is shown that the modified algorithm retains the desirable properties of the original one such as the monotone improvement property, termination after a finite number of iteration steps, and numerical stability

Policy iteration for american options: overview

This paper is an overview of recent results by Kolodko and Schoenmakers (2006), Bender and Schoenmakers (2006) on the evaluation of options with early exercise opportunities via policy improvement. Stability is discussed and simulation results based on plain Monte Carlo estimators for conditional expectations are presented

Iterating snowballs and related path dependent callables in a multi-factor Libor model

We propose a valuation method for callable structures in a multi-factor Libor model which are path-dependent in the sense that, after calling, one receives a sequence of cash-flows in the future, instead of a well specified cash-flow at the calling date. The method is based on a Monte Carlo procedure for standard Bermudans recently developed in \citet{KSc}, and is applied to the cancelable snowball interest rate swap. The proposed procedure is quite generic, straightforward to implement, and can be easily adapted to other related path-dependent products

Economic transition and elections in Poland 1

Poland's economic and political transition, one of the most successful, has depended very heavily on job creation in new firms to replace the jobs lost in the formerly state-owned enterprises. This paper uses survey and aggregate data from three Polish elections to suggest that these de novo firms, the individuals they employ, and the residents in the local areas where they exist become an important constituency supporting pro-reform political parties and constraining the actions of parties less sympathetic to the reforms. The creation of this political constituency helps explain how countries can successfully pursue both economic and political reforms. JEL classification: D72, P26.Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/72227/1/1468-0351.00139.pd

Developmental perspectives on Europe

The crisis of 2008–2009 has ended, stockmarkets skyrocketed in 2012–2013, while growth of the real sector remained sluggish in Europe. This article attempts to explain the latter puzzle. Analyzing long term factors, the costs of short-termism in crisis management become obvious. The limitations of EU as a growth engine are highlighted

Оценка эффективности применения комбинации силимарина и берберина в составе самоэмульгирующейся системы при экспериментальном поражении печени парацетамолом

The hepatoprotective properties of the silymarin and the plant alkaloid berberine combinationin experimental paracetamol-inducedliver damage were studied. Silymarin was obtained from milk thistle seeds. The conditions for extraction of flavonolignans (silymarin) were optimized. 70 % ethyl alcohol, ethyl acetate and water were used as extractants. It was shown that the optimal conditions for the extraction of flavonolignans in order to obtain the maximum yield of flavonolignans were alcohol extraction in a Soxhlet apparatus. The experiment showed that the combined of silymarin and berberine was greater than their individual actions, which most effectively permitted stabilization of hepatocyte membranes and prevented altering their integrity in paracetamol-induced toxic liver damage. The self-emulsifying system with silymarin and berberine to a greater extent a significant extent prevented dystrophic changes in hepatocytes and necrosis in liver tissue, reduced hyperfermentemia in rat blood serum, prevented disturbance in the activity of thioredoxin reductase and enzymes of the glutathione antioxidant system and there by more effectively prevented hepatocyte functional impairment.. Изучены гепатозащитные свойства комбинации силимарина и растительного алкалоида берберина при экспериментальном поражении печени парацетамолом. Силимарин получали из семян расторопши пятнистой. Проведена оптимизация условий экстракционного извлечения флаволигнанов (силимарина). В качестве экстрагентов использовали 70 %-ный этиловый спирт, этилацетат и воду. Показано, что оптимальными условиями экстракции флаволигнанов для получения их максимального выхода является спиртовая экстракция в аппарате Сокслета. Установлено, что сочетанное применение силимарина с берберином в большей степени по сравнению с их действием в отдельности стабилизирует мембраны гепатоцитов и предотвращает нарушение их целостности при токсическом поражении печени парацетамолом. Выявлено, что силимарин и берберин в составе разработанной самоэмульгирующейся системы в большей мере предотвращают дистрофические изменения гепатоцитов и некрозы в ткани печени, снижают степень выраженности гиперферментемии в сыворотке крови крыс, предотвращают нарушение активности тиоредоксинредуктазы и ферментов глутатионовой антиоксидантной системы и тем самым эффективнее предотвращают нарушение функциональных способностей гепатоцитов